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Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes

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  • Hidetoshi Nakagawa

    ()

  • Tomoaki Shouda

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-005-9002-5
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 11 (2004)
    Issue (Month): 3 (September)
    Pages: 233-266

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    Handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:233-266

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: mortgage-backed securities (MBS); prepayment cost; oan pool risk; structural approach with incomplete information; asymptotic arbitrage-free condition;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Deng, Yongheng & Quigley, John M., 2004. "Woodhead Behavior and the Pricing of Residential Mortgages," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy qt85q0w8xj, Berkeley Program on Housing and Urban Policy.
    2. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, Econometric Society, vol. 69(3), pages 633-64, May.
    3. McConnell, John J & Singh, Manoj, 1994. " Rational Prepayments and the Valuation of Collateralized Mortgage Obligations," Journal of Finance, American Finance Association, American Finance Association, vol. 49(3), pages 891-921, July.
    4. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-42, Board of Governors of the Federal Reserve System (U.S.).
    5. O. Renault & O. Scaillet & B. Leblanc, 2000. "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, vol. 4(1), pages 109-111.
    6. Downing, Chris & Stanton, Richard & Wallace, Nancy E., 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley qt2qb613r5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    7. Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 15(1), pages 1-26.
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