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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25307
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| Title: | | A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure  |
| Authors: | | Blaskowitz, Oliver J. Herwartz, Helmut |
| Issue Date: | | 2008 |
| Series/Report no.: | | SFB 649 discussion paper 2008,064 |
| Abstract: | | 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. |
| Subjects: | | Model selection principal components factor analysis exante forecasting EURIBOR swap term structure trading strategies |
| JEL: | | C32 C53 E43 G29 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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