Blaskowitz, Oliver (contributor); … - 2005
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 …