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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Lemke, Wolfgang | en |
dc.contributor.author | Archontakis, Theofanis | en |
dc.date.accessioned | 2009-01-28T16:01:37Z | - |
dc.date.available | 2009-01-28T16:01:37Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/19634 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2006,06 | en |
dc.subject.jel | C63 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | E43 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Threshold process | en |
dc.subject.keyword | term structure of interest rates | en |
dc.subject.keyword | nonlinear yield function | en |
dc.subject.stw | Zinsstruktur | en |
dc.subject.stw | Arbitrage Pricing | en |
dc.subject.stw | Zins | en |
dc.subject.stw | Wertpapieranalyse | en |
dc.subject.stw | Theorie | en |
dc.title | Bond pricing when the short term interest rate follows a threshold process | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 510392393 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:4243 | en |
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