Testing affine term structure models in case of transaction costs (Q262758): Difference between revisions

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-Theo E. Nijman
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+Theo E. Nijman
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+MaRDI publication profile
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+W3123070429
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@@ Property / cites work @@
+Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
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+Q4230831
@@ Property / cites work: Q4230831 / rank @@
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@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Martingales and arbitage in securities markets with transaction costs
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+Wald Criteria for Jointly Testing Equality and Inequality Restrictions
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+Design and Estimation of Quadratic Term Structure Models *
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+Asset Pricing in Economies with Frictions
@@ Property / cites work: Asset Pricing in Economies with Frictions / rank @@
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+An equilibrium characterization of the term structure
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+The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
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