Blaskowitz, Oliver; Herwatz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors … big hit ability.
Keywords: Principal components, ex–ante forecasting, EURIBOR swap rates, term struc-
ture, directional … approach yields promising results in
forecasting macroeconomic variables. A particular issue in dynamic ex–ante forecasting
is …