Blaskowitz, Oliver; Herwatz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors … selection strategies based on the PCA/AR model. To evaluate ex-ante fore-
casting performance for particular rates, different … big hit ability.
Keywords: Principal components, ex–ante forecasting, EURIBOR swap rates, term struc-
ture, directional …