Testing affine term structure models in case of transaction costs
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Publication:262758
DOI10.1016/j.jeconom.2004.04.014zbMath1335.91092MaRDI QIDQ262758
Joost Driessen, Bertrand Melenberg, Theo E. Nijman
Publication date: 30 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://fmwww.bc.edu/RePEc/es2000/0553.pdf
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91G30: Interest rates, asset pricing, etc. (stochastic models)
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