Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Theofanis Archontakis"'
Autor:
Wolfgang Lemke, Theofanis Archontakis
Publikováno v:
Quantitative Finance
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6714b5b077624fecf7d2f0472656fdfb
http://www.ssoar.info/ssoar/handle/document/22114
http://www.ssoar.info/ssoar/handle/document/22114
Autor:
Theofanis Archontakis, Wolfgang Lemke
Publikováno v:
SSRN Electronic Journal.
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=doi_dedup___::16ac9d7e899f23c579da9f8d6f903315
https://doi.org/10.2139/ssrn.2785277
https://doi.org/10.2139/ssrn.2785277
Autor:
Wolfgang Lemke, Theofanis Archontakis
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=doi_dedup___::0ec2473d85e9311aac01c0ac6389fb1e
https://www.econstor.eu/bitstream/10419/19634/1/200606dkp.pdf
https://www.econstor.eu/bitstream/10419/19634/1/200606dkp.pdf
We analyse the term structure of interest rates extracted from US Treasury STRIPS data. There is a potential interest from a scientific and economic point of view to look at short and long term bonds simultaneously. In terms of modelling this means t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32e7da67cb36ec2f44e69b610f82eb30
https://doi.org/10.1007/s00362-006-0297-8
https://doi.org/10.1007/s00362-006-0297-8
Autor:
Wolfgang Lemke, Theofanis Archontakis
Publikováno v:
SSRN Electronic Journal.
Using a stochastic discount factor approach, this paper derives the exact solution for bond yields in the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2acbfea7ae797737f79271f69354e4cc
https://doi.org/10.2139/ssrn.891222
https://doi.org/10.2139/ssrn.891222