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Predicting the ten-year LIBOR swap spread : the role and limitations of rich/cheap analysis
Prendergast, Joseph R.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 86-99
Persistent link: https://www.econbiz.de/10001549803
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The complexities of mortgage options
Prendergast, Joseph R.
- In:
The journal of fixed income
12
(
2002
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10001774633
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THE COMPLEXITIES OF MORTGAGE OPTIONS - Mortgage option prices behave quite differently than the prices of options on underlying securities that do not exhibit significant convexity...
Prendergast, Joseph R.
- In:
The journal of fixed income
12
(
2003
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10007161009
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4
PREDICTING THE TEN-YEAR LIBOR SWAP SPREAD: THE ROLE AND LIMITATIONS OF RICH-CHEAP ANALYSIS - Wall Street brokers and portfolio managers frequently use regressions of spread levels...
Prendergast, Joseph R.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 86-99
Persistent link: https://www.econbiz.de/10007175931
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5
FUNDAMENTAL, FLIGHT-TO-QUALITY, AND FLIGHT-TO-LIQUIDITY COMPONENTS IN SUBPRIME MORTGAGE-BACKED SECURITY RETURNS
Prendergast, Joseph R.
- In:
The journal of fixed income
19
(
2009
)
1
,
pp. 5-25
Persistent link: https://www.econbiz.de/10008278773
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