BLASKOWITZ, OLIVER; HERWARTZ, HELMUT - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 465-489
In this study, we forecast the term structure of EURIBOR swap rates by means of rolling vector autoregressive (VAR) models. In advance, a principal component analysis (PCA) is adopted to reduce the dimensionality of the term structure. To statistically assess the forecasting performance for...