Long-Range Dependence in Mortgage Termination
نویسندگان
چکیده
Abstract. A popular modeling technique in mortgage banking involves regarding mortgage terminations observed in a continuously replenished system (such as a servicing portfolio) as a Markov process of nite order k > 0 with values in a nite state space. In this article, we consider the rami cations of such an assumption. In particular,we conduct hypothesis tests of long-range dependence on a widely available data source. Finally, we consider the e¤ects of the fractional cointegration explanatory variables such as housing price appreciation and the term structure of interest rate on the mortage termination process.
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