ARM Wrestling: Valuing Adjustable Rate Mortgages Indexed to the Eleventh District Cost of Funds
- 26 September 1995
- journal article
- Published by Wiley in Real Estate Economics
- Vol. 23 (3) , 311-345
- https://doi.org/10.1111/1540-6229.00667
Abstract
No abstract availableKeywords
This publication has 17 references indexed in Scilit:
- Seasonal Variation in Cost‐of‐Funds at Thrift InstitutionsReal Estate Economics, 1992
- Testing the null hypothesis of stationarity against the alternative of a unit rootJournal of Econometrics, 1992
- Elevent District Cost-Of-Funds Index Composition and ModelingThe Journal of Fixed Income, 1991
- Temporal relationships among adjustable-rate mortgage indexesThe Journal of Real Estate Finance and Economics, 1991
- Prepayments and the Valuation of Adjustable Rate Mortgage-Backed SecuritiesThe Journal of Fixed Income, 1991
- Statistical analysis of cointegration vectorsJournal of Economic Dynamics and Control, 1988
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- Two-step two-stage least squares estimation in models with rational expectationsJournal of Econometrics, 1983
- On the formulation of empirical models in dynamic econometricsJournal of Econometrics, 1982
- Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A SynthesisJournal of Financial and Quantitative Analysis, 1978