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Testing affine term structure models in case of transaction costs

Author

Listed:
  • Driessen, J.J.A.G.

    (Tilburg University, School of Economics and Management)

  • Melenberg, B.

    (Tilburg University, School of Economics and Management)

  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2005. "Testing affine term structure models in case of transaction costs," Other publications TiSEM 2ed41129-d5ec-451f-9b57-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:2ed41129-d5ec-451f-9b57-7ffec83c9e41
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    Cited by:

    1. Walch, Florian & Lennkh, Rudolf Alvise, 2015. "Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral," Working Paper Series 1793, European Central Bank.
    2. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    3. Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, vol. 58(10), pages 1916-1932, October.
    4. Rudolf Alvise Lennkh & Florian Walch, 2015. "Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral," Working Papers 6, European Stability Mechanism.
    5. Andrea Beltratti & Paolo Colla, 2007. "A portfolio-based evaluation of affine term structure models," Annals of Operations Research, Springer, vol. 151(1), pages 193-222, April.

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