Narrow search
Showing 1 - 9 of 9
Cover Image
Common volatility in MBS returns : a factor GARCH approach
Koutmos, Gregory - In: The journal of fixed income 10 (2001) 4, pp. 59-66
Persistent link: https://www.econbiz.de/10001580723
Cover Image
Modeling short-term interest rate volatility : information shocks versus interest rate levels
Koutmos, Gregory - In: The journal of fixed income 9 (2000) 4, pp. 19-22
Persistent link: https://www.econbiz.de/10001495246
Cover Image
Dynamic cross hedging with mortgage-backed securities
Koutmos, Gregory - In: The journal of fixed income 8 (1998) 2, pp. 37-51
Persistent link: https://www.econbiz.de/10001252729
Cover Image
The volatility of interest rates across maturities and frequencies
Koutmos, Gregory - In: The journal of fixed income 8 (1998) 3, pp. 27-31
Persistent link: https://www.econbiz.de/10001364561
Cover Image
THE VOLATILITY OF INTEREST RATES ACROSS MATURITIES AND FREQUENCIES
Koutmos, Gregory - In: The journal of fixed income 8 (1998) 3, pp. 27-32
Persistent link: https://www.econbiz.de/10007346939
Cover Image
DYNAMIC CROSS HEDGING WITH MORTGAGE-BACKED SECURITIES
Koutmos, Gregory; Kroner, Kenneth F.; Pericli, Andreas - In: The journal of fixed income 8 (1998) 2, pp. 37-52
Persistent link: https://www.econbiz.de/10007350352
Cover Image
MODELING THE DYNAMICS OF MBS SPREADS - This article investigates the dynamics of mean reversion and volatility in mortgage-backed security spreads, the yield spreads between conven...
Koutmos, Gregory - In: The journal of fixed income 12 (2002) 2, pp. 43-49
Persistent link: https://www.econbiz.de/10007164219
Cover Image
COMMON VOLATILITY IN MBS RETURNS: A FACTOR GARCH APPROACH
Koutmos, Gregory - In: The journal of fixed income 10 (2001) 4, pp. 59-66
Persistent link: https://www.econbiz.de/10007173951
Cover Image
MODELING SHORT-TERM INTEREST RATE VOLATILITY: INFORMATION SHOCKS VERSUS INTEREST RATE LEVELS
Koutmos, Gregory - In: The journal of fixed income 9 (2000) 4, pp. 19-26
Persistent link: https://www.econbiz.de/10007180790