Resource title

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

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

Resource description

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante 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.

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/10419/25307

Resource license

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