Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process
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References listed on IDEAS
- Hall, Arden, 2000. "Controlling for Burnout in Estimating Mortgage Prepayment Models," Journal of Housing Economics, Elsevier, vol. 9(4), pages 215-232, December.
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- repec:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509 is not listed on IDEAS
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KeywordsMortgage; Prepayment; refinance; burnout; MBS; duration; convexity;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G19 - Financial Economics - - General Financial Markets - - - Other
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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