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Mortgage risk and the yield curve
Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - In: The review of financial studies 29 (2016) 5, pp. 1220-1253
Persistent link: https://www.econbiz.de/10011530026
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Economic volatility and financial markets : the case of mortgage-backed securities
Antinolfi, Gaetano; Brunetti, Celso - 2013
Persistent link: https://www.econbiz.de/10010431738
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Does mortgage hedging amplify movements in long-term interest rates?
Perli, Roberto; Sack, Brian - In: The journal of fixed income 13 (2003) 3, pp. 7-17
Persistent link: https://www.econbiz.de/10001968317
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Does mortgage hedging amplify movements in long-term interest rates?
Perli, Roberto; Sack, Brian - 2003
Persistent link: https://www.econbiz.de/10001793014
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The causal effect of mortgage refinancing on interest rate volatility : empirical evidence and theoretical implications
Duarte, Jefferson - In: The review of financial studies 21 (2008) 4, pp. 1689-1731
Persistent link: https://www.econbiz.de/10003765319
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Mortgage Risk and the Yield Curve
Malkhozov, Aytek - 2016
We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest …
Persistent link: https://www.econbiz.de/10013007607
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Mortgage Risk and the Yield Curve
Malkhozov, Aytek - 2015
We study the feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of …
Persistent link: https://www.econbiz.de/10013010252
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Economic Volatility and Financial Markets : The Case of Mortgage-Backed Securities
Antinolfi, Gaetano - 2013
emergence of mortgage-backed securities. We also document that this relationship changed sign, from negative to positive, in the …
Persistent link: https://www.econbiz.de/10013078453
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Economic Volatility and Financial Markets : The Case of Mortgage-Backed Securities
Antinolfi, Gaetano - 2012
such financial development: the emergence of mortgage-backed securities. We also document that the relationship between the … volatility of aggregate economy activity and the development of mortgage-backed-securities markets changes sign, from negative to …
Persistent link: https://www.econbiz.de/10013100156
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606