Prepayment Behavior of Dutch Mortgagors : An Empirical Analysis
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(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
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Other versions of this item:
- Erwin Charlier & Arjan Van Bussel, 2003. "Prepayment Behavior of Dutch Mortgagors: An Empirical Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 165-204, June.
- Charlier, E. & van Bussel, A., 2001. "Prepayment Behavior of Dutch Mortgagors : An Empirical Analysis," Other publications TiSEM f67bea78-954d-4407-b05d-0, Tilburg University, School of Economics and Management.
References listed on IDEAS
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- Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-299, August.
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- Collin-Dufresne, P & Harding, John P, 1999. "A Closed Form Formula for Valuing Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 19(2), pages 133-146, September.
- Bennett W. Golub & Lawrence Pohlman, 1994. "Mortgage Prepayments and an Analysis of the Wharton Prepayment Model," Interfaces, INFORMS, vol. 24(3), pages 80-90, June.
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- Schwartz, Eduardo S & Torous, Walter N, 1992. "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 221-239, April.
- Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
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Citations
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Cited by:
- Leonardo Perotti & Lech A. Grzelak & Cornelis W. Oosterlee, 2024. "Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty," Papers 2410.21110, arXiv.org.
- Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
- Linda A. Toolsema & Jan P. A. M. Jacobs, 2007.
"Why do prices rise faster than they fall? With an application to mortgage rates,"
Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 28(7), pages 701-712.
- Toolsema, Linda A. & Jacobs, Jan, 2001. "Why do prices rise faster than they fall? : with an application to mortgage rates," CCSO Working Papers 200106, University of Groningen, CCSO Centre for Economic Research.
- Groot, Stefan P.T. & Lejour, Arjan M., 2018.
"Financial incentives for mortgage prepayment behavior: Evidence from Dutch micro data,"
Journal of Housing Economics, Elsevier, vol. 41(C), pages 237-250.
- Groot, Stefan P.T. & Lejour, Arjan, 2018. "Financial incentives for mortgage prepayment behavior : Evidence from Dutch micro data," Other publications TiSEM 52aa364c-df5d-4628-a9c8-3, Tilburg University, School of Economics and Management.
- Stefan Groot & Arjan Lejour, 2017. "Tax arbitrage incentives for mortgage prepayment behavior: Evidence from Dutch micro data," CPB Discussion Paper 350.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- Irfan Ahmed & Shahid Mahmood & Umar Farooq, 2012. "Determinant Attributes of Customer Choice of Banks, Supplying Mortgage Products," Journal of Economics and Behavioral Studies, AMH International, vol. 4(5), pages 287-296.
- Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee, 2021. "Pricing and Hedging Prepayment Risk in a Mortgage Portfolio," Papers 2109.14977, arXiv.org, revised Oct 2021.
- Richard Chamboko & Jorge Miguel Bravo, 2020. "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, vol. 8(2), pages 1-29, June.
- Ebner, André, 2013.
"A micro view on home equity withdrawal and its determinants: Evidence from Dutch households,"
Journal of Housing Economics, Elsevier, vol. 22(4), pages 321-337.
- Ebner, André, 2010. "A micro view on home equity withdrawal and its determinants. Evidence from Dutch households," Discussion Papers in Economics 11309, University of Munich, Department of Economics.
- Stefan Groot & Arjan Lejour, 2017. "Tax arbitrage incentives for mortgage prepayment behavior: Evidence from Dutch micro data," CPB Discussion Paper 350, CPB Netherlands Bureau for Economic Policy Analysis.
- Yeorim Kim & Mauro Mastrogiacomo, 2024. "Residual-debt insurance and mortgage repayments," Working Papers 823, DNB.
- Liang, Te-Hsin & Lin, Jian-Bang, 2014. "A two-stage segment and prediction model for mortgage prepayment prediction and management," International Journal of Forecasting, Elsevier, vol. 30(2), pages 328-343.
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Keywords
mortgages; econometric models;Statistics
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