Dungey, Mardi; Dwyer, Gerald; Flavin, Thomas - In: Open Economies Review 24 (2013) 1, pp. 5-32
–2008. This paper characterizes the evolution of factors affecting collateralized debt obligations (CDOs) based on subprime … mortgages. A key feature of subprime-mortgage backed indices is that they are distinct in their vintage of issuance. Using a …