Incorporating the dynamic link between mortgage and treasury markets in pricing and hedging MBS
Year of publication: |
2006
|
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Authors: | Bhattacharya, Anand K. ; Sekhar, Aryasomayajula ; Fabozzi, Frank J. |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 16.2006, 2, p. 39-45
|
Subject: | Asset-Backed Securities | Asset-backed securities | Hypothek | Mortgage | Staatspapier | Government securities | Hedging | Kointegration | Cointegration | ARCH-Modell | ARCH model |
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