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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
dc.contributor.authorBlaskowitz, Oliver
dc.contributor.authorHerwatz, Helmut
dc.date.accessioned2017-06-15T23:48:30Z
dc.date.available2017-06-15T23:48:30Z
dc.date.created2008-12-03
dc.date.issued2008-10-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4808
dc.description.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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectModel selectioneng
dc.subjectPrincipal componentseng
dc.subjectFactor analysiseng
dc.subjectEx–ante forecastingeng
dc.subjectEURIBOR swap term structureeng
dc.subjectTrading strategieseng
dc.subject.ddc330 Wirtschaft
dc.titleA note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10093630
dc.identifier.doihttp://dx.doi.org/10.18452/4156
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages11
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue64
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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