Access the full text.
Sign up today, get DeepDyve free for 14 days.
A. Zellner (1962)
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation BiasJournal of the American Statistical Association, 57
M. J. Brennan, E. S. Schwartz (1985)
Determinants of GNMA Mortgage PricesJournal of the American Real Estate and Urban Economics Association, 13
N. Breslow, D. Cox, D. Oakes (1985)
Analysis of Survival Data.Biometrics, 41
Jerry Green, J. Shoven (1983)
The Effects of Interest Rates on Mortgage PrepaymentsReal Estate
T. S. Y. Ho, S. B. Lee (1986)
Term Structure Movements and Pricing of Interest Rate ClaimsJournal of Finance, 41
J. Quigley, R. Order (1993)
Explicit tests of contingent claims models of mortgage defaultThe Journal of Real Estate Finance and Economics, 11
Stephen Buser, P. Hendershott (1984)
The Pricing of Default-Free MortgagesDerivatives
J. Green, J. B. Shoven (1986)
The Effect of Interest Rates on Mortgage PrepaymentsJournal of Money, Credit and Banking, 18
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
J. M. Quigley, R. Van Order (1990)
Efficiency in the Mortgage Market: The Borrower's PerspectiveJournal of the American Real Estate and Urban Economics Association, 18
Eduardo Schwartz, W. Torous (1989)
Prepayment and the Valuation of Mortgage-Backed SecuritiesJournal of Finance, 44
J. C. Cox, J. E. Ingersoll, S. A. Ross (1985)
A Theory of the Term Structure of Interest RatesEconometrica, 53
(1995)
Mortgage terminations
J. Kau, Donald Keenan, W. Muller, James Epperson (1995)
The valuation at origination of fixed-rate mortgages with default and prepaymentThe Journal of Real Estate Finance and Economics, 11
J. Hull, Alan White (1990)
Pricing Interest-Rate-Derivative SecuritiesReview of Financial Studies, 3
C. Madsen (1998)
The Pricing of Interest Rate Contingent ClaimsEconometrics: Applied Econometrics & Modeling eJournal
Daniel Nelson, K. Ramaswamy (1990)
Simple Binomial Processes as Diffusion Approximations in Financial ModelsReview of Financial Studies, 3
J. Kau (1992)
A Generalized Valuation Model for Fixed-Rate Residential MortgagesJournal of Money, Credit and Banking, 24
K. Dunn, John Mcconnell (1981)
Valuation of GNMA Mortgage-Backed SecuritiesJournal of Finance, 36
K. B. Dunn, J. J. McConnell (1981)
Valuation of Mortgage-Backed SecuritiesJournal of Finance, 36
J. P. Harding (1994)
Rational Mortgage Valuation with Heterogeneous Borrowers
M. Brennan, Eduardo Schwartz (1985)
Determinants of GNMA Mortgage PricesReal Estate Economics, 13
J. Kalbfleisch, R. Prentice (1980)
The Statistical Analysis of Failure Time Data
T. Hastie, R. Tibshirani, V. Napolioni (1990)
Monographs on statistics and applied probability
(1987)
Pricing mortgages: An interpretation of the models and results
Jesse Abraham, William Schauman (1991)
New Evidence on Home Prices from Freddie Mac Repeat SalesReal Estate Economics, 19
J. M. Abraham, W. S. Schauman (1991)
New Evidence on Home Prices from Freddie Mac Repeat SalesJournal of the American Real Estate and Urban Economics Association, 19
J. B. Kau, D. C. Keenan (1995)
An Overview of the Option-Theoretic Pricing of MortgagesJournal of Housing Research, 6
T. Ho, Sang Lee (1986)
Term Structure Movements and Pricing Interest Rate Contingent ClaimsJournal of Finance, 41
J. Quigley, R. Order (1990)
Efficiency in the Mortgage Market: The Borrower's PerspectiveReal Estate Economics, 18
John Harding (1994)
Rational Mortgage Valuation Using Optimal Intertemporal Refinancing Strategies and Heterogeneous Borrowers
Pricing for mortgage and mortgage-backed securities is complicated due to the stochastic and interdependent nature of prepayment and default risks. This paper presents a unified economic model of the contingent claims and competing risks of mortgage termination by prepayment and default. I adopt a proportional hazard framework to analyze these competing and interdependent risks in a model with time-varying covariates. The paper incorporates a stochastic interest rate model into the hazard function for prepayment. The empirical results reported in the paper provide new evidence about the ruthlessness of default and prepayment behavior and the sensitivity of these decisions to demographic as well as financial phenomena. The results also illustrate that evaluating the interest rate contingent claims with a stochastic term structure has effects on predicting not only the mortgage prepayment behavior but also the mortgage default behavior.
The Journal of Real Estate Finance and Economics – Springer Journals
Published: Sep 30, 2004
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.