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Optimal Mortgage Refinancing with Regime Switches

  • Toshio Kimura

    ()

  • Naoki Makimoto

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9072-2
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 15 (2008)
    Issue (Month): 1 (March)
    Pages: 47-65

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    Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:47-65
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
    2. repec:cup:cbooks:9780521834063 is not listed on IDEAS
    3. 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.
    4. 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.
    5. 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.
    6. Guo, Xin & Miao, Jianjun & Morellec, Erwan, 2005. "Irreversible investment with regime shifts," Journal of Economic Theory, Elsevier, vol. 122(1), pages 37-59, May.
    7. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
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