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 conventional 30-year mortgages and Treasury securities. The findings indicate that changes in MBS spreads follow in all instances asymmetric mean-reverting processes. They exhibit non-stationary behavior following spread ...
| Year of publication: |
2002
|
|---|---|
| Authors: | Koutmos, Gregory |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 12.2002, 2, p. 43-49
|