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dc.contributor.authorBlaskowitz, Oliver J.en_US
dc.contributor.authorHerwartz, Helmuten_US
dc.date.accessioned2008-11-07en_US
dc.date.accessioned2009-07-23T15:15:05Z-
dc.date.available2009-07-23T15:15:05Z-
dc.date.issued2008en_US
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_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,064en_US
dc.subject.jelC32en_US
dc.subject.jelC53en_US
dc.subject.jelE43en_US
dc.subject.jelG29en_US
dc.subject.ddc330en_US
dc.subject.keywordModel selectionen_US
dc.subject.keywordprincipal componentsen_US
dc.subject.keywordfactor analysisen_US
dc.subject.keywordexante forecastingen_US
dc.subject.keywordEURIBOR swap term structureen_US
dc.subject.keywordtrading strategiesen_US
dc.subject.stwZinsswapen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwVarianzanalyseen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwStrategieen_US
dc.subject.stwHauptkomponentenanalyseen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwTheorieen_US
dc.subject.stwEuromarkten_US
dc.subject.stwEU-Staatenen_US
dc.titleA note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structureen_US
dc.typeWorking Paperen_US
dc.identifier.ppn584574479en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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