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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25307
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Blaskowitz, Oliver J. | | en_US |
| dc.contributor.author | | Herwartz, Helmut | | en_US |
| dc.date.accessioned | | 2008-11-07 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:15:05Z | | - |
| dc.date.available | | 2009-07-23T15:15:05Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25307 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2008,064 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | G29 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Model selection | | en_US |
| dc.subject.keyword | | principal components | | en_US |
| dc.subject.keyword | | factor analysis | | en_US |
| dc.subject.keyword | | exante forecasting | | en_US |
| dc.subject.keyword | | EURIBOR swap term structure | | en_US |
| dc.subject.keyword | | trading strategies | | en_US |
| dc.subject.stw | | Zinsswap | | en_US |
| dc.subject.stw | | Zinsstruktur | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Ökonometrisches Modell | | en_US |
| dc.subject.stw | | Varianzanalyse | | en_US |
| dc.subject.stw | | Wertpapierhandel | | en_US |
| dc.subject.stw | | Strategie | | en_US |
| dc.subject.stw | | Hauptkomponentenanalyse | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Euromarkt | | en_US |
| dc.subject.stw | | EU-Staaten | | en_US |
| dc.title | | A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 584574479 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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