A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

The paper proposes a data driven adaptive model selection strategy. The selection criterionmeasures economic ex-ante forecasting content by means of trading implied cash flows.Empirical evidence suggests that the proposed strategy is neither exposed to selection biasnor to the risk of choosing excessively poor models from a parameterized class of candidatespecifications.

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Year of publication:	2008-10-21
Authors:	Blaskowitz, Oliver ; Herwartz, Helmut
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Prognose \| Faktoranalyse

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Extent:	514048 bytes 11 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere SFB 649 Discussion Paper ; 2008-064
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G29 - Financial Institutions and Services. Other ; Forecast, decision making ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; Europe. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005862428