Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25307 
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dc.contributor.authorBlaskowitz, Oliver J.en
dc.contributor.authorHerwartz, Helmuten
dc.date.accessioned2008-11-07-
dc.date.accessioned2009-07-23T15:15:05Z-
dc.date.available2009-07-23T15:15:05Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/25307-
dc.description.abstractThe 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,064en
dc.subject.jelC32en
dc.subject.jelC53en
dc.subject.jelE43en
dc.subject.jelG29en
dc.subject.ddc330en
dc.subject.keywordModel selectionen
dc.subject.keywordprincipal componentsen
dc.subject.keywordfactor analysisen
dc.subject.keywordexante forecastingen
dc.subject.keywordEURIBOR swap term structureen
dc.subject.keywordtrading strategiesen
dc.subject.stwZinsswapen
dc.subject.stwZinsstrukturen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwVarianzanalyseen
dc.subject.stwWertpapierhandelen
dc.subject.stwStrategieen
dc.subject.stwHauptkomponentenanalyseen
dc.subject.stwFaktorenanalyseen
dc.subject.stwTheorieen
dc.subject.stwEuromarkten
dc.subject.stwEU-Staatenen
dc.titleA note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure-
dc.type|aWorking Paperen
dc.identifier.ppn584574479en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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