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A dynamic look at subprime loan performance

Danis, Michelle A. (contributor); … - 2005

whether delinquency has any predictive power of the future performance of a mortgage. Using a sample of subprime mortgages … from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong …

Persistent link: https://www.econbiz.de/10002977392

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115886

Time-varying risk premia and the cross section of stock returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001973914

Pessimistic beliefs under rational learning : quantitative implications for the equity premium puzzle

Guidolin, Massimo (contributor) - 2005

"In the presence of infrequent but observable structural breaks, we show that a model in which the representative agent is on a rational learning path concerning the real consumption growth process can generate high equity premia and low risk-free interest rates. In fact, when the model is...

Persistent link: https://www.econbiz.de/10002917582

High equity premia and crash fears : rational foundations

Guidolin, Massimo (contributor) - 2005

"We show that when in Lucas trees model the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk...

Persistent link: https://www.econbiz.de/10002977384