Bond pricing when the short term interest rate follows a threshold process
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- Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
References listed on IDEAS
- Nathalie Girouard & Christophe André, 2005. "Measuring Cyclically-adjusted Budget Balances for OECD Countries," OECD Economics Department Working Papers 434, OECD Publishing.
- Vincent Koen & Paul van den Noord, 2005. "Fiscal Gimmickry in Europe: One-Off Measures and Creative Accounting," OECD Economics Department Working Papers 417, OECD Publishing.
- Bouthevillain, C. & Van Den Dool, G. & Langenus, G. & Mohr, M. & Momigliano, S. & Tujula, M. & De Cos, P.H. & Cour-Thimann, Philippine, 2001.
"Cyclically Adjusted Budget Balances: an Alternative Approach,"
77, Quebec a Montreal - Recherche en gestion.
- Bouthevillain, Carine & Cour-Thimann, Philippine & van de Dool, Gerrit & Hernández de Cos, Pablo & Langenus, Geert & Mohr, Matthias & Momigliano, Sandro & Tujula, Mika, 2001. "Cyclically adjusted budget balances: an alternative approach," Working Paper Series 0077, European Central Bank.
- Nathalie Girouard & Robert W. R. Price, 2004. "Asset Price Cycles, “One-Off” Factors and Structural Budget Balances," OECD Economics Department Working Papers 391, OECD Publishing.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Renne Jean-Paul, 2017.
"A model of the euro-area yield curve with discrete policy rates,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 21(1), pages 99-116, February.
- Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
More about this item
KeywordsThreshold process; term structure of interest rates; nonlinear yield function;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-FIN-2006-08-05 (Finance)
- NEP-FMK-2006-08-05 (Financial Markets)
- NEP-MAC-2006-08-05 (Macroeconomics)
- NEP-MON-2006-08-05 (Monetary Economics)
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