In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the … homogeneity of the term structure. -- Principal components ; Factor Analysis ; Ex-ante forecasting ; EURIBOR swap rates ; Term …

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …