Mukuddem-Petersen, J.; Petersen, M. A.; Bosch, T.; … - In: Applied Financial Economics 21 (2011) 19, pp. 1397-1408
We address the impact of speculative mortgage funding on the pricing of subprime residential mortgage loans (measured by risk premia) and securities backed by these mortgages (measured by ABX.HE indices). In this regard, we make use of techniques involving multivariate Vector Autoregressive...