Testing affine term structure models in case of transaction costs

Research output: Contribution to journalArticleScientificpeer-review

248 Downloads (Pure)
Original languageEnglish
Pages (from-to)201-232
Number of pages31
JournalJournal of Econometrics
Volume126
Issue number1
Publication statusPublished - 2005

Cite this

@article{2ed41129d5ec451f9b577ffec83c9e41,
title = "Testing affine term structure models in case of transaction costs",
author = "J.J.A.G. Driessen and B. Melenberg and T.E. Nijman",
note = "DP 9984 Pagination: 31",
year = "2005",
language = "English",
volume = "126",
pages = "201--232",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

Testing affine term structure models in case of transaction costs. / Driessen, J.J.A.G.; Melenberg, B.; Nijman, T.E.

In: Journal of Econometrics, Vol. 126, No. 1, 2005, p. 201-232.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Testing affine term structure models in case of transaction costs

AU - Driessen, J.J.A.G.

AU - Melenberg, B.

AU - Nijman, T.E.

N1 - DP 9984 Pagination: 31

PY - 2005

Y1 - 2005

M3 - Article

VL - 126

SP - 201

EP - 232

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -