Testing affine term structure models in case of transaction costs

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

zbMATH Keywords

transaction costs; market frictions; model misspecification; interest rate models

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

A portfolio-based evaluation of affine term structure models

Cites Work

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