2008-10-21Buch DOI: 10.18452/4156
A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
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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