Blaskowitz, Oliver J.; Herwartz, Helmut; de Cadenas … - Institut für Volkswirtschaftslehre, … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex?ante forecasting performance for...
