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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Oliver Blaskowitz Helmut Herwartz
SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
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.
Keywords: Model selection; Principal components; Factor analysis; Ex–ante forecasting; EURIBOR swap term structure; Trading strategies. (search for similar items in EconPapers)
JEL-codes: C32 C53 E43 G29 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fmk, nep-for and nep-mac
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Persistent link: http://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2008-064
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