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Title:A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure PDF Logo
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
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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