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  • 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 the near-unit-root behavior typically observed in the evolution of short-term interest rates. The derived yield functions, mapping the one-month rate into n-period yields, exhibit a convex/concave shape to the left and the right of the threshold value, respectively; a pattern which is also found in US bond yield data. The longer the time to maturity, the more distinct the nonlinearity of the yield function becomes. (xsd:string)
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?:dateModified
  • 2008 (xsd:gyear)
?:datePublished
  • 2008 (xsd:gyear)
?:doi
  • 10.1080/14697680701691451 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 8 (xsd:string)
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  • Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 8, 2008, 8, 811-822 (xsd:string)
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?:urn
  • urn:nbn:de:0168-ssoar-221143 ()
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  • 8 (xsd:string)