@techreport{Lemke2006Bond,
abstract = {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.},
author = {Wolfgang Lemke and Theofanis Archontakis},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C63; G12; E43; 330; Threshold process; term structure of interest rates; nonlinear yield function; Zinsstruktur; Arbitrage Pricing; Zins; Wertpapieranalyse; Theorie},
language = {eng},
number = {2006,06},
title = {Bond pricing when the short term interest rate follows a threshold process},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19634},
year = {2006}
}