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Property Derivatives and Index-Linked Mortgages

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Author Info

  • Juerg Syz

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  • Paolo Vanini
  • Marco Salvi

Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-007-9071-5
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 36 (2008)
Issue (Month): 1 (January)
Pages: 23-35

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Handle: RePEc:kap:jrefec:v:36:y:2008:i:1:p:23-35

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: House price risk; Mortgage default risk; Rent or buy; Hedonic index; D14; G10; G21; R31;

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References

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  1. Robert J. Shiller & Allan N. Weiss, 1994. "Home Equity Insurance," Cowles Foundation Discussion Papers 1074, Cowles Foundation for Research in Economics, Yale University.
  2. Joao Cocco, 2000. "Hedging House Price Risk With Incomplete Markets," Computing in Economics and Finance 2000 317, Society for Computational Economics.
  3. Campbell, John, 2006. "Household Finance," Scholarly Articles 3157877, Harvard University Department of Economics.
  4. Englund, Peter & Hwang, Min & Quigley, John M, 2002. "Hedging Housing Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
  5. Goetzmann, W.N., 1990. "The Single Family Home In The Investment Portfolio," Papers fb-_90-15, Columbia - Graduate School of Business.
  6. Matteo Iacoviello & Francois Ortalo-Magne, 2002. "Hedging Housing Risk in London," Boston College Working Papers in Economics 539, Boston College Department of Economics.
  7. Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN, 2005. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," FAME Research Paper Series rp160, International Center for Financial Asset Management and Engineering.
  8. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
  9. Baesel, Jerome B. & Biger, Nahum, 1980. "The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 457-468, June.
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Citations

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Cited by:
  1. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
  2. Drouhin, Pierre-Arnaud, 2012. "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918 edited by Batsch, Laurent.

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