Resource title

Adaptive forecasting of the EURIBOR swap term structure

Resource image

image for OpenScout resource :: Adaptive forecasting of the EURIBOR swap term structure

Resource description

In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data driven, adaptive model selection strategies based on the PCA/AR model. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors, directional accuracy and big hit ability are considered. It turns out that relative to benchmark models, the adaptive approach offers additional forecast accuracy in terms of directional accuracy and big hit ability.

Resource author

Oliver J. Blaskowitz, Helmut Herwartz

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25259

Resource license

Adapt according to the presented license agreement and reference the original author.