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 … relatively small transaction costs are taken into account. The average transaction costs for T-bills, due to the bid-ask spread …, are around 1.5 basis points. At this size of transaction costs and for monthly holding periods, the misspecification of …