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A Test of Integration and Cointegration of Commercial Mortgage Rates

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Author Info

  • J. Sa-Aadu
  • James Shilling
  • George Wang
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    Abstract

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    File URL: http://hdl.handle.net/10.1023/A:1026575523385
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 18 (2000)
    Issue (Month): 1 (October)
    Pages: 45-61

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    Handle: RePEc:kap:jfsres:v:18:y:2000:i:1:p:45-61

    Contact details of provider:
    Web page: http://www.springerlink.com/link.asp?id=102934

    Related research

    Keywords: integration; securitization; commercial mortgage yields; capital markets; Treasury Securities Yields;

    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. Craig S. Hakkio & Mark Rush, 1987. "Market efficiency and cointegration," Research Working Paper 87-05, Federal Reserve Bank of Kansas City.
    2. 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.
    3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    4. 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.
    5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    6. 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.
    7. Saul B. Klaman, 1961. "The Mortgage Market," Journal of Finance, American Finance Association, vol. 16(2), pages 255-260, 05.
    8. 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.
    9. 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.
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    Cited by:
    1. 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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