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pro vyhledávání: '"Archontakis, Theofanis"'
Autor:
Archontakis, Theofanis.
Frankfurt am Main, Univ., Diss., 2007.
Kumulierte Diss.
Kumulierte Diss.
Externí odkaz:
http://swbplus.bsz-bw.de/bsz280780699inh.htm
Publikováno v:
Quantitative Finance, 8, 8, 811-822
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 t
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22114
Autor:
Archontakis, Theofanis1 archontakis@union-panagora.de, Lemke, Wolfgang2 lemke_wolfgang@yahoo.de
Publikováno v:
Economic Notes. Feb2008, Vol. 37 Issue 1, p75-117. 43p. 12 Charts, 10 Graphs.
This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::f897bb429ad5ea9eab817d67aff20ab2
https://hdl.handle.net/10419/19679
https://hdl.handle.net/10419/19679
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, mappin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::4bc016ba8052d816865382c3b40ea1b8
https://hdl.handle.net/10419/19634
https://hdl.handle.net/10419/19634
Publikováno v:
Statistical Papers; Jun2006, Vol. 47 Issue 3, p443-459, 17p