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 exante 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.

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Year of publication:	2008
Authors:	Blaskowitz, Oliver J. ; Herwartz, Helmut
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Zinsswap \| Zinsstruktur \| Prognoseverfahren \| Ökonometrisches Modell \| Varianzanalyse \| Wertpapierhandel \| Strategie \| Hauptkomponentenanalyse \| Faktorenanalyse \| Theorie \| Euromarkt \| EU-Staaten \| Model selection \| principal components \| factor analysis \| exante forecasting \| EURIBOR swap term structure \| trading strategies

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Series:	SFB 649 Discussion Paper ; 2008-064
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	584574479 [GVK] hdl:10419/25307 [Handle] RePEc:zbw:sfb649:sfb649dp2008-064 [RePEc]
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:	EconStor

Persistent link: https://www.econbiz.de/10010271837