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題名:The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index
書刊名:財務金融學刊
作者:林士貴 引用關係蔡怡純 引用關係陳明吉 引用關係莊明哲 引用關係
作者(外文):Lin, Shih-kueiTsai, I-chunChen, Ming-chiChuang, Ming-che
出版日期:2012
卷期:20:3
頁次:頁49-70
主題關鍵詞:報酬不對稱EM演算法房價指數馬可夫狀態轉換模型不動產抵押貸款保險契約波動叢集AsymmetryExpectation-maximization algorithmHousing price indexMarkov regime-switching modelMortgage insurance contractsVolatility clustering
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:44
期刊論文
1.Diebold, Francis X.、Inoue, Atsushi(2001)。Long Memory and Regime Switching。Journal of Econometrics,105,131-159。  new window
2.Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1995)。The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment。The Journal of Real Estate Finance and Economics,11(1),5-39。  new window
3.Bardhan, A.、Karapandža, R.、Urošević, B.(2006)。Valuing Mortgage Insurance Contracts in Emerging Market Economies。Journal of Real Estate Finance and Economics,32(1),9-20。  new window
4.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
5.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
6.Kau, James B.、Keenan, Donald C.(1995)。An Overview of the Option-Theoretic Pricing of Mortgages。Journal of Housing Research,6(2),217-244。  new window
7.Kau, J. B.、Keenan, D. C.(1999)。Catastrophic Default and Credit Risk for Lending Institutions。Journal of Finance Services Research,15(2),87-102。  new window
8.Kau, James B.、Keenan, Donald C.、Muller, Walter J. III(1993)。An Option-Based Pricing Model of Private Mortgage Insurance。The Journal of Risk and Insurance,60(2),288-299。  new window
9.Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1992)。A Generalized Valuation Model for Fixed-Rate Residential Mortgages。Journal of Money, Credit and Banking,24(3),279-299。  new window
10.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
11.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
12.Timmermann, Allan(2000)。Moments of Markov Switching Models。Journal of Econometrics,96(1),75-111。  new window
13.Canner, Glenn B., et al.(1994)。Private mortgage insurance。Federal Reserve Bulletin,80,883-899。  new window
14.Chen, Ming-Chi, et al.(2010)。Estimation of housing price jump risks and their impact of the valuation of mortgage insurance contracts。Journal of Risk and Insurance,77,399-422。  new window
15.Crawford, Gordon W.、Fratantoni, Michael C.(2003)。Assessing the forecasting performance of regime-switching, ARIMA and GARCH models of house prices。Real Estate Economics,31(2),223-243。  new window
16.Dolde, Walter、Tirtiroglu, Dogan(1997)。Temporal and spatial information diffusion in real estate price changes and variances。Real Estate Economics,25,539-565。  new window
17.Financial Accounting Standards Board(1998)。Accounting for derivative instruments and hedging activities。Statement of Financial Accounting Standards,133。  new window
18.International Accounting Standard Board(2003)。Financial instruments: Recognition and measurement。International Accounting Standard,39。  new window
19.Miles, William(2008)。Volatility clustering in U.S. home prices。Journal of Real Estate Research,30,73-90。  new window
20.Miller, Norman、Pen, Liang(2006)。Exploring metropolitan housing price volatility。Real Estate Economics,33,5-18。  new window
圖書
1.Tanner, Martin A.(1996)。Tools for statistical inference。New York:Springer Verlag。  new window
圖書論文
1.Cont, Rama(2005)。Volatility clustering in financial markets: Empirical facts and agent-based models。Long Memory in Economics。Springer。  new window
 
 
 
 
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