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 crite- rion measures economic ex–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of choosing excessively poor models from a parameterized class of candidate specifications.

MoreLess

Year of publication:	2008-10
Authors:	Blaskowitz, Oliver ; Herwartz, Helmut
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Model selection \| Principal components \| Factor analysis \| Ex–ante forecasting \| EURIBOR swap term structure \| Trading strategies

More details

Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2008-064 7 pages
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
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005489961