Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
Tóm tắt
Từ khóa
Tài liệu tham khảo
Bartlett W. W. , 1989, Mortgage-Backed Securities: Products, Analysis, Trading, New York Institute of Finance, New York.
Cox, 1985, An Intertemporal General Equilibrium Model of Asset Prices, Econometrica, 50, 363, 10.2307/1911241
Fabozzi F. , 1993, The Handbook of Mortgage-Backed Securities, Probus Publishing, Chicago.
Johnston E. Van Drunen L. , 1988, “Pricing Mortgage Pools with Heterogeneous Mortgages: Empirical Evidence,” working paper, University of Utah.
Litterman, 1991, Common Factors Affecting Bond Returns, Journal of Fixed Income, 1, 54, 10.3905/jfi.1991.692347
Pagan A. Hong Y. S. , 1991, “Non-parametric Estimation and the Risk Premium,” in Barnett W. Powell J. Tauchen G. (eds.), Semiparametric and Nonparametric Methods in Econometrics and Statistics, Cambridge University Press, Cambridge, U.K.
Richard, 1989, Prepayments on Fixed-Rate Mortgage-Backed Securities, Journal of Portfolio Management, 15, 74, 10.3905/jpm.1989.409207
Scott D. W. , 1992, Multivariate Density Estimation: Theory, Practice and Visualization, Wiley, New York.
Stanton R. H. , 1992, “Essays in Financial Economics: Contingent Claims Analysis and Mortgage Prepayment,” unpublished dissertation, Stanford University.
Timmis G. C. , 1985, “Valuation of GNMA Mortgage-Backed Securities with Transaction Costs, Heterogeneous Households and Endogeneously Generated Prepayment Rates,” working paper, Carnegie Mellon University.