Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
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- Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005. "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers 2005-04, Christian-Albrechts-University of Kiel, Department of Economics.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Oliver Blaskowitz & Helmut Herwartz, 2009.
"Adaptive forecasting of the EURIBOR swap term structure,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 28(7), pages 575-594.
- Oliver Blaskowitz & Helmut Herwatz, 2008. "Adaptive Forecasting of the EURIBOR Swap Term Structure," SFB 649 Discussion Papers SFB649DP2008-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
More about this item
KeywordsPrincipal components; Factor Analysis; Ex–ante forecasting; EURIBOR swap rates; Term structure; Trading strategies;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-ECM-2005-10-29 (Econometrics)
- NEP-EEC-2005-10-29 (European Economics)
- NEP-FIN-2005-10-29 (Finance)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-FOR-2005-10-29 (Forecasting)
- NEP-MAC-2005-10-29 (Macroeconomics)
- NEP-MON-2005-10-29 (Monetary Economics)
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