Blaskowitz, Oliver; Herwartz, Helmut; Santiago, Gonzalo … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex–ante forecasting performance for...