Speculative funding and its impact on subprime mortgage product pricing
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References listed on IDEAS
- Ingo Fender & Martin Scheicher, 2009.
"The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 19(24), pages 1925-1945.
- Ingo Fender & Martin Scheicher, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," BIS Working Papers 279, Bank for International Settlements.
- Gregory E. Elliehausen & Min Hwang, 2010. "Mortgage contract choice in subprime mortgage markets," Finance and Economics Discussion Series 2010-53, Board of Governors of the Federal Reserve System (U.S.).
- Scheicher, Martin & Fender, Ingo, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series 1056, European Central Bank.
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Keywordssubprime mortgage crisis; residential mortgage loans; mortgage securitization; ABX.HE indices; vector autoregressive model; generalized impulse response function;
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