A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
AbstractThe 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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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2008-064.
Length: 7 pages
Date of creation: Oct 2008
Date of revision:
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; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-28 (All new papers)
- NEP-ECM-2008-10-28 (Econometrics)
- NEP-FMK-2008-10-28 (Financial Markets)
- NEP-FOR-2008-10-28 (Forecasting)
- NEP-MAC-2008-10-28 (Macroeconomics)
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