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

Oliver Blaskowitz and Helmut Herwartz

No SFB649DP2008-064, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

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.

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
Date: 2008-10
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-064.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2008-064

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
Contact information at EDIRC.
Series data maintained by RDC-Team ().