Modeling the FIBOR/EURIBOR swap term structure: An empirical approach
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- repec:hum:wpaper:sfb649dp2008-017 is not listed on IDEAS
- Blaskowitz, Oliver J. & Herwartz, Helmut, 2008. "Adaptive forecasting of the EURIBOR swap term structure," SFB 649 Discussion Papers 2008-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
Principal components; Factor Analysis; Ex-ante forecasting; EURIBOR swap rates; Term structure; Trading strategies.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-10-29 (Econometrics)
- NEP-EEC-2005-10-29 (European Economics)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-FOR-2005-10-29 (Forecasting)
- NEP-MAC-2005-10-29 (Macroeconomics)
- NEP-MON-2005-10-29 (Monetary Economics)
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