A Test of Integration and Cointegration of Commercial Mortgage Rates
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Bibliographic InfoArticle provided by Springer in its journal Journal of Financial Services Research.
Volume (Year): 18 (2000)
Issue (Month): 1 (October)
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Web page: http://www.springerlink.com/link.asp?id=102934
integration; securitization; commercial mortgage yields; capital markets; Treasury Securities Yields;
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.:
- Craig S. Hakkio & Mark Rush, 1987. "Market efficiency and cointegration," Research Working Paper 87-05, Federal Reserve Bank of Kansas City.
- Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The Pricing of Multiclass Commercial Mortgage-Backed Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(04), pages 581-603, December.
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
- Rothberg, James P & Nothaft, Frank E & Gabriel, Stuart A, 1989. "On the Determinants of Yield Spreads between Mortgage Pass-Through and Treasury Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 2(4), pages 301-15, December.
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- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Saul B. Klaman, 1961. "The Mortgage Market," Journal of Finance, American Finance Association, vol. 16(2), pages 255-260, 05.
- Hendershott, Patric H. & Van Order, Robert, 1989.
"Integration of mortgage and capital markets and the accumulation of residential capital,"
Regional Science and Urban Economics,
Elsevier, vol. 19(2), pages 189-210, May.
- Patric H. Hendershott & Robert Van Order, 1989. "Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital," NBER Working Papers 2847, National Bureau of Economic Research, Inc.
- Kau, James B. & Keenan, Donald C. & Muller, Walter III & Epperson, James F., 1987. "The valuation and securitization of commercial and multifamily mortgages," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 525-546, September.
- Jonathan Wiley & Brandon Cline & Xudong Fu & Tian Tang, 2012. "Valuation Effects for Asset Sales," Journal of Financial Services Research, Springer, vol. 41(3), pages 103-120, June.
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