| dc.creator |
Lemke, Wolfgang |
|
| dc.creator |
Archontakis, Theofanis |
|
| dc.date |
2006 |
|
| dc.date.accessioned |
2013-10-16T07:06:01Z |
|
| dc.date.available |
2013-10-16T07:06:01Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/19634 |
|
| dc.identifier |
ppn:510392393 |
|
| dc.identifier |
RePEc:zbw:bubdp1:4243 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/19634 |
|
| dc.description |
Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields, respectively. This is in contrast to linear short-rate process which imply an affine yield function. The intervals for which convexity or concavity prevails increase with time to maturity. |
|
| dc.language |
eng |
|
| dc.relation |
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,06 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
C63 |
|
| dc.subject |
G12 |
|
| dc.subject |
E43 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Threshold process |
|
| dc.subject |
term structure of interest rates |
|
| dc.subject |
nonlinear yield function |
|
| dc.subject |
Zinsstruktur |
|
| dc.subject |
Arbitrage Pricing |
|
| dc.subject |
Zins |
|
| dc.subject |
Wertpapieranalyse |
|
| dc.subject |
Theorie |
|
| dc.title |
Bond pricing when the short term interest rate follows a threshold process |
|
| dc.type |
doc-type:workingPaper |
|