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Testing Affine Term Structure Models in Case of Transaction Costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 1999
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...
Persistent link: https://www.econbiz.de/10011091459
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Common Factors in International Bond Returns
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 2000
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of...
Persistent link: https://www.econbiz.de/10011092795
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Testing Affine Term Structure Models in Case of Transaction Costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Econometric Society - 2000
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...
Persistent link: https://www.econbiz.de/10005231133
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - In: Journal of Econometrics 126 (2005) 1, pp. 201-232
Persistent link: https://www.econbiz.de/10005238942
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - 1999 - 2. vers
Persistent link: https://www.econbiz.de/10001416198
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of econometrics 126 (2005) 1, pp. 201-232
Persistent link: https://www.econbiz.de/10002538651
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Common factors in international bond returns
Driessen, Joost (contributor);  … - 2000
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...
Persistent link: https://www.econbiz.de/10001528975
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Common factors in international bond returns
Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of international money and finance 22 (2003) 5, pp. 629-656
Persistent link: https://www.econbiz.de/10001787726
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - In: Journal of econometrics 126 (2005) 1, pp. 201
Persistent link: https://www.econbiz.de/10006749124
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Testing Affine Term Structure Models in Case of Transaction Costs
Driessen, Joost - 2000
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...
Persistent link: https://www.econbiz.de/10012743485