Testing affine term structure models in case of transaction costs

DOI10.1016/J.JECONOM.2004.04.014MaRDI QIDQ262758zbMATH OpenOpenAlexFDO

Authors Joost Driessen, Bertrand Melenberg, Theo 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

model misspecificationinterest rate modelstransaction costsmarket frictions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Testable implications of affine term structure models
• Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
• On the equivalence of a class of affine term structure models
• A portfolio-based evaluation of affine term structure models
• Consistency conditions for affine term structure models.
• Identification and estimation of Gaussian affine term structure models
• Derivative asset pricing with transaction costs: an extension
• A Nonparametric Dimension Test of the Term Structure
• Affine term structure models: A time‐change approach with perfect fit to market curves

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Asset Pricing in Economies with Frictions
• Design and Estimation of Quadratic Term Structure Models *
• Large Sample Properties of Generalized Method of Moments Estimators
• Martingales and arbitage in securities markets with transaction costs
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions

Cited in

(3)

• A portfolio-based evaluation of affine term structure models
• Testable implications of affine term structure models
• Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations

This page was built for publication: Testing affine term structure models in case of transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q262758)