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Adaptive Forecasting of the EURIBOR Swap Term Structure
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …. To evaluate ex-ante forecastingperformance for particular rates, different forecast features such as mean squared errors … offers additional forecast accuracy in terms of directional accuracy and big hit ability. …
Persistent link: https://www.econbiz.de/10005860579
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Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach
Blaskowitz, Oliver; Herwartz, Helmut; de Cadenas … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive …
Persistent link: https://www.econbiz.de/10005862104
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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
The paper proposes a data driven adaptive model selection strategy. The selection criterionmeasures economic ex-ante forecasting content by means of trading implied cash flows.Empirical evidence suggests that the proposed strategy is neither exposed to selection biasnor to the risk of choosing...
Persistent link: https://www.econbiz.de/10005862428