Table 8 Drivers for each subperiod in their order of selection by the respective method
Subperiods | January 2000–November 2007 | January 2008–August 2011 | October 2011–December 2014 | February 2015–December 2020 |
|---|---|---|---|---|
p values (REER) | DAX, VSMI | EURUSD1m, CHFUSD10y2y | CHFUSD1m, SMI, CHFUSD10y2y | CHFEUR1m, FCI, SMI, VDAX |
p values (EUR/CHF) | CHFUSD1m, DAX | CHFUSD10y2y, VSMI, DAX | CHFEUR1m | FCI, SMI, CHFEUR30y, (EURUSD1m) |
lars/stepwise | CHFUSD1m, DAX, EURUSD30y | CHFUSD10y2y, VSMI, DAX | VSMI | FCI, EURUSD30y, EURUSD1m, SMI, VSMI |
lars/lar | CHFUSD1m, DAX, EURUSD30y, EURUSD1m, EURUSD10y2y | CHFUSD10y2y, VSMI, CHFEUR1m, DAX, CHFEUR30y, EURUSD10y2y, EURUSD1m | – | FCI, EURUSD30y, SMI, EURUSD1m, CHFEUR30y, DAX, VSMI |
lars/lasso | CHFUSD1m, DAX, EURUSD30y, EURUSD1m, EURUSD10y2y | CHFUSD10y2y, VSMI, CHFEUR1m, DAX, CHFEUR30y, EURUSD10y2y, EURUSD1m, CHFUSD30y | – | FCI, EURUSD30y, SMI, EURUSD1m, CHFEUR30y, DAX, VSMI |
lars/stagewise.forward | CHFUSD1m, DAX, EURUSD30y, EURUSD1m, EURUSD10y2y | CHFUSD10y2y, VSMI, CHFEUR1m, DAX, CHFEUR30y, EURUSD10y2y, EURUSD1m, CHFUSD30y | – | FCI, EURUSD30y, SMI, EURUSD1m, CHFEUR30y, DAX, VSMI, CHFUSD10y2y, EURUSD10y2y |
Fivefold 15times CV (\(C_p\)): | CHFUSD30y, CHFUSD1m | VSMI | VSMI | VSMI, CHFEUR30y, FCI |
Fivefold 15times CV (\(R^2\)): | CHFUSD30y, CHFUSD1m, EURUSD30y, EURUSD10y2y | VSMI, DAX, VDAX, CHFUSD10y2y | VSMI | VSMI, CHFEUR30y, FCI, CHFUSD1m, EURUSD10y2y |