Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
| Author | : Tilahun Zergaw Ayanou |
| Publisher | : |
| Total Pages | : 190 |
| Release | : 2009 |
| ISBN-10 | : OCLC:637171590 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Download or read book Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets written by Tilahun Zergaw Ayanou and published by . This book was released on 2009 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay explores the dynamic behaviors of mortgage-backed stock returns and their volatility spillovers within the framework of time-varying symmetric, asymmetric and multivariate GARCH-family models. The second essay investigates factors behind the existence of time-varying conditional volatilities of mortgage-backed securities (MBS). The third essay explores the impacts of foreign sector of the economy on the mortgage-backed financial markets and the housing sector.
