Kerkhof, F.L.J.; Pelsser, A. - Tilburg University, Center for Economic Research - 2002
In this paper we show that, contrary to the claim made in Longsta, Santa-Clara, and Schwartz (2001a) and Longsta, Santa-Clara, and Schwartz (2001b), discrete string models are not more parsimonious than market models.In fact, they are found to be observationally equivalent.We derive that, for...
