The Pricing of GNMA Mortgage-backed Securities and Futures Contracts PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Pricing of GNMA Mortgage-backed Securities and Futures Contracts PDF full book. Access full book title The Pricing of GNMA Mortgage-backed Securities and Futures Contracts by Fung-Shine Pan. Download full books in PDF and EPUB format.
Author: Fung-Shine Pan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Fung-Shine Pan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Frank J. Fabozzi
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 506
Get Book Here
Book Description
Author: United States. Department of Housing and Urban Development
Publisher:
ISBN:
Category : Mortgages
Languages : en
Pages : 736
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Mortgage-backed securities
Languages : en
Pages : 146
Get Book Here
Book Description
Author: Gregory Koutmos
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This article proposes a dynamic hedging model for Government National Association Mortgage-Backed Securities (GNMA MBSs) that is free of the drawbacks associated with the static hedging strategies currently used. The simultaneity bias of the regression approach is dealt with by modeling the joint distribution of price changes of GNMA MBSs and 10-year Treasury-note futures. Error correction (EC) terms from cointegrating relationships are included in the conditional mean equations to preserve the long-term equilibrium relationship of the two markets. The time-varying variance-covariance structure of the two markets is modeled via a version of the bivariate generalized autoregressive conditionally heteroskedastic model (bivariante GARCH), which assures that the time-varying variance-covariance matrix is positive semidefinite for all time periods. This dynamic error-correction GARCH model is estimated using daily data on six different coupon GNMA MBSs. Dynamic cross-hedge ratios are obtained from the time-varying variance-covariance matrix using the 10-year Treasury-note futures contract as the hedging instrument. These ratios are evaluated in terms of both overall risk reduction and expected utility maximization. There is overwhelming evidence that dynamic hedge ratios are superior to static ones even when transaction costs are incorporated into the analysis. This conclusion holds for all six different coupon GNMA MBSs under investigation.
Author: Fung-Shine Pan
Publisher:
ISBN:
Category : Mortgage banks
Languages : en
Pages : 294
Get Book Here
Book Description
Author: David F. Seiders
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 72
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 28
Get Book Here
Book Description
Author: United States. Department of Housing and Urban Development
Publisher:
ISBN:
Category : Mortgages
Languages : en
Pages : 420
Get Book Here
Book Description
Author: Kenneth B. Dunn
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
Get Book Here
Book Description
