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Controlling for Burnout in Estimating Mortgage Prepayment Models

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  • Hall, Arden
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    File URL: http://www.sciencedirect.com/science/article/B6WJR-45F4X2C-8/2/b2dec0328cca385c99397d240516d7a5
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    Article provided by Elsevier in its journal Journal of Housing Economics.

    Volume (Year): 9 (2000)
    Issue (Month): 4 (December)
    Pages: 215-232

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    Handle: RePEc:eee:jhouse:v:9:y:2000:i:4:p:215-232

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    Web page: http://www.elsevier.com/locate/inca/622881

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    1. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    2. Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
    3. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
    4. Eduardo S. Schwartz & Walter N. Torous, 1993. "Mortgage Prepayment and Default Decisions: A Poisson Regression Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 431-449.
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    Cited by:
    1. Nicholas Sharp & Paul Johnson & David Newton & Peter Duck, 2009. "A New Prepayment Model (with Default): An Occupation-time Derivative Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 118-145, August.
    2. Yongheng Deng & John M. Quigley, 2003. "Woodhead Behavior and the Pricing of Residential Mortgages," Working Paper 8616, USC Lusk Center for Real Estate.
    3. Gan, Jumwu, 2009. "Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process," MPRA Paper 15596, University Library of Munich, Germany.

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