Testing Affine Term Structure Models in Case of Transaction Costs

Joost Driessen (), Bertrand Melenberg () and Theo Nijman

No 1999-84, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Interest Rate Models; Market Frictions; Transaction Costs; Model Misspecification (search for similar items in EconPapers)
Date: 1999
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Journal Article: Testing affine term structure models in case of transaction costs (2005)
Working Paper: Testing Affine Term Structure Models in Case of Transaction Costs (2000)
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