Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/19634 
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dc.contributor.authorLemke, Wolfgangen
dc.contributor.authorArchontakis, Theofanisen
dc.date.accessioned2009-01-28T16:01:37Z-
dc.date.available2009-01-28T16:01:37Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/19634-
dc.description.abstractUsing 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.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2006,06en
dc.subject.jelC63en
dc.subject.jelG12en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordThreshold processen
dc.subject.keywordterm structure of interest ratesen
dc.subject.keywordnonlinear yield functionen
dc.subject.stwZinsstrukturen
dc.subject.stwArbitrage Pricingen
dc.subject.stwZinsen
dc.subject.stwWertpapieranalyseen
dc.subject.stwTheorieen
dc.titleBond pricing when the short term interest rate follows a threshold process-
dc.typeWorking Paperen
dc.identifier.ppn510392393en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:4243en

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