Optimal Mortgage Refinancing with Regime Switches
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Mortgage refinance; Regime switch; Bellman equation; Optimal stopping;
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- Ang, Andrew & Bekaert, Geert, 2002.
"Regime Switches in Interest Rates,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(2), pages 163-82, April.
- Hurst, Erik & Stafford, Frank, 2004. "Home Is Where the Equity Is: Mortgage Refinancing and Household Consumption," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 985-1014, December.
- Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013.
"Optimal Mortgage Refinancing: A Closed‐Form Solution,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 45(4), pages 591-622, 06.
- Sumit Agarwal & John C. Driscoll & David Laibson, 2007. "Optimal Mortgage Refinancing: A Closed Form Solution," NBER Working Papers 13487, National Bureau of Economic Research, Inc.
- Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
- Xin Guo & Jianjun Miao & Erwan Morellec, 2002.
"Irreversible Investment with Regime Shifts,"
FAME Research Paper Series
rp99, International Center for Financial Asset Management and Engineering.
- Paul Bennett & Richard Peach & Stavros Peristiani, 1997.
"Structural change in the mortgage market and the propensity to refinance,"
9736, Federal Reserve Bank of New York.
- Bennett, Paul & Peach, Richard & Peristiani, Stavros, 2001. "Structural Change in the Mortgage Market and the Propensity to Refinance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(4), pages 955-75, November.
- Paul Bennett & Richard Peach & Stavros Peristiani, 1998. "Structural change in the mortgage market and the propensity to refinance," Staff Reports 45, Federal Reserve Bank of New York.
- Wayne R. Archer & David C. Ling, 1993. "Pricing Mortgage-Backed Securities: Integrating Optimal Call and Empirical Models of Prepayment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 373-404.
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