dc.contributor.author | Lemke, Wolfgang | de |
dc.contributor.author | Archontakis, Theofanis | de |
dc.date.accessioned | 2011-02-23T03:46:00Z | de |
dc.date.accessioned | 2012-08-30T07:09:56Z | |
dc.date.available | 2012-08-30T07:09:56Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22114 | |
dc.description.abstract | This paper derives analytical solutions for arbitrage-free bond yields when the short-term interest rate follows an autoregressive process with the intercept switching endogenously. This process from the SETAR family is especially suited to capture the near-unit-root behavior typically observed in the evolution of short-term interest rates. The derived yield functions, mapping the one-month rate into n-period yields, exhibit a convex/concave shape to the left and the right of
the threshold value, respectively; a pattern which is also found in US bond yield data. The longer the time to maturity, the more distinct the nonlinearity of the yield function becomes. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Bond pricing; Term structure of interest rates; Threshold models | |
dc.title | Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 8 | de |
dc.publisher.country | GBR | |
dc.source.issue | 8 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Financial Planning, Accountancy | en |
dc.subject.classoz | Finanzwirtschaft, Rechnungswesen | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221143 | de |
dc.date.modified | 2011-03-15T15:12:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 811-822 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090406 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680701691451 | de |
dc.subject.methods | Theorieanwendung | de |
dc.subject.methods | theory application | en |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 15 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |