Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25259 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2008,017
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data driven, adaptive model selection strategies based on the PCA/AR model. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors, directional accuracy and big hit ability are considered. It turns out that relative to benchmark models, the adaptive approach offers additional forecast accuracy in terms of directional accuracy and big hit ability.
Schlagwörter: 
Principal components
ex-ante forecasting
EURIBOR swap rates
term structure
directional accuracy
big hit ability
JEL: 
C32
C53
E43
G29
Dokumentart: 
Working Paper

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