In intertemporal asset pricing models, transaction costs are usually neglected. In this paper we explicitly incorporate transaction costs in these models and analyze to what extent this extension is helpful in explaining the cross-section of expected returns. An empirical analysis using CRSP...

In this paper we formulate two tractable two-factor affine term structure models, imposing weak assumptions on the distributions of the measurement errors involved in the different yields. Exploiting the implied moment conditions, the models are estimated by the generalized method of moments...