The document discusses the relationship between high-LTV pool pay-ups and refinancing incentives, using a non-parametric general additive model (GAM) to describe the function. The model shows a strong fit with a 97% R-squared value, indicating a significant relationship between the variables. The report also notes the exclusion of dollar roll specialness in the model, which could affect the accuracy of the predictions.
doj/DataSet10/EFTA01385952.pdf
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