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Continuous Workout Mortgages : efficient pricing and systemic implications

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 244-274

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Option-implied volatility measures and stock return predictability

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Continuous workout mortgages : efficient pricing and systemic implications

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Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"

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Continuous workout mortgages

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - 2011

This paper models ContinuousWorkout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...

Persistent link: https://www.econbiz.de/10009008194