Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Author:
Affiliation:
1. UCLA Anderson School, NBER, and CEPR
2. UCLA Anderson School
3. UCLA Anderson School and NBER
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/31/3/1132/24434571/hhx140.pdf
Reference71 articles.
1. Systemic sovereign credit risk: Lessons from the U.S. and Europe.;Ang,;Journal of Monetary Economics,2013
2. Pricing mortgage-backed securities in a multifactor interest rate environment: A multivariate density estimation approach.;Boudoukh,;Review of Financial Studies,1997
3. Determinants of GNMA mortgage prices.;Brennan,;Real Estate Economics,1985
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