Archontakis, Theofanis; Lemke, Wolfgang - In: Economic Notes 37 (2008) 1, pp. 75-117
This paper studies a nonlinear one-factor term structure model in discrete time. The short-term interest rate follows a self-exciting threshold autoregressive (SETAR) process that allows for shifts in the intercept and the variance. In comparison with a linear model, we find empirical evidence...