Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets

Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets

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 focus of the chapter is on the dynamics of volatility of the U.S. real estate investmen...

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Bibliographic Details
Main Author: Tilahun, Ayanou Z.
Format: Others
Published: OpenSIUC 2009
Subjects:
Capital Inflows
Economic Fundamentals
Mortgage interest rates
Mortgage-backed Securities
Spillovers
Volatility
Online Access:https://opensiuc.lib.siu.edu/dissertations/112
https://opensiuc.lib.siu.edu/cgi/viewcontent.cgi?article=1112&context=dissertations

Internet

https://opensiuc.lib.siu.edu/dissertations/112
https://opensiuc.lib.siu.edu/cgi/viewcontent.cgi?article=1112&context=dissertations

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