A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure.
Year of publication: |
2008-10
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Authors: | Blaskowitz, Oliver ; Herwartz, Helmut |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Model selection | Principal components | Factor analysis | Ex–ante forecasting | EURIBOR swap term structure | Trading strategies |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2008-064 7 pages |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G29 - Financial Institutions and Services. Other |
Source: |
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Blaskowitz, Oliver J., (2008)
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver, (2005)
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver J., (2005)
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