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Prepayment analysis for securitization

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  • De Toldi, M.
  • Gourieroux, C.
  • Monfort, A.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3YCDPG6-G/2/938d9dc1ead3e504b3e3814aa26291ab
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 2 (1995)
Issue (Month): 1 (March)
Pages: 45-70

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Handle: RePEc:eee:empfin:v:2:y:1995:i:1:p:45-70

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.
  2. Sean Becketti & Charles S. Morris, 1990. "The prepayment experience of FNMA mortgage-backed securities," Research Working Paper 90-01, Federal Reserve Bank of Kansas City.
  3. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-66, September.
  4. Gourieroux Christian & Monfort A, 1991. "Modèles de durée et effets de génération," CEPREMAP Working Papers (Couverture Orange) 9131, CEPREMAP.
  5. Hun Y. Park & Anil K. Bera, 1987. "Interest-Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 79-97.
  6. Trivedi, P K & Alexander, J N, 1989. "Reemployment Probability and Multiple Unemployment Spells: A Partial-Likelihood Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 395-401, July.
  7. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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