Testing affine term structure models in case of transaction costs

DOI10.1016/J.JECONOM.2004.04.014zbMath1335.91092OpenAlexW3123070429MaRDI 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 costsmarket frictionsmodel misspecificationinterest rate models

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)

Related Items (1)

A portfolio-based evaluation of affine term structure models

Cites Work

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• Design and Estimation of Quadratic Term Structure Models *
• The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
• An equilibrium characterization of the term structure
• Asset Pricing in Economies with Frictions

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