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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

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Author Info
Oliver Blaskowitz
Helmut Herwartz

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Abstract

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic ex–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of choosing excessively poor models from a parameterized class of candidate specifications.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-064.pdf
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Publisher Info
Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2008-064.

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Length: 7 pages
Date of creation: Oct 2008
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Handle: RePEc:hum:wpaper:sfb649dp2008-064

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Related research
Keywords: Model selection; Principal components; Factor analysis; Ex–ante forecasting; EURIBOR swap term structure; Trading strategies.;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
G29 - Financial Economics - - Financial Institutions and Services - - - Other

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This page was last updated on 2009-11-25.

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