Kamil Yilmaz

Koc University

Professor of Economics

Rumeli Feneri Yolu

Sariyer

Istanbul, 34450

Turkey

http://https://sites.google.com/view/kamilyilmaz/

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 8,068

SSRN RANKINGS

Top 8,068

in Total Papers Downloads

6,248

SSRN CITATIONS
Rank 1,194

SSRN RANKINGS

Top 1,194

in Total Papers Citations

779

CROSSREF CITATIONS

178

Scholarly Papers (25)

1.

Market Development and Efficiency in Emerging Stock Markets

Number of pages: 37 Posted: 23 Aug 2001
Kamil Yilmaz
Koc University
Downloads 998 (24,703)
Citation 1

Abstract:

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portfolio equity flows, random walk, variance ratio, multiple comparison test.

2.
Downloads 388 ( 71,589)
Citation 1

Commodity Connectedness

PIER Working Paper No. 17-003, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 30 Posted: 13 Mar 2017
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 373 (88,118)

Abstract:

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network centrality, network visualization, pairwise connectedness, total directional connect- edness, total connectedness, vector autoregression, variance decomposition, LASSO

Commodity Connectedness

NBER Working Paper No. w23685
Number of pages: 30 Posted: 21 Aug 2017
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 15 (633,731)

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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

PIER Working Paper No. 07-002, FRB of Philadelphia Working Paper No. WP 08-16, CFS Working Paper No. 2007/02
Number of pages: 21 Posted: 12 Jan 2007
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 371 (88,640)
Citation 50

Abstract:

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Asset Market, Asset Return, Stock Market, Emerging Market, Market Linkage, Financial Crisis, Herd Behavior, Contagion

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

NBER Working Paper No. w13811
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 28 Sep 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 36 (498,957)

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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Economic Journal, Vol. 119, No. 534, pp. 158-171, January 2009
Number of pages: 14 Posted: 10 Dec 2008
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 4 (720,682)
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4.

Macroeconomic Volatility and Stock Market Volatility, World-Wide

PIER Working Paper No. 08-031
Number of pages: 35 Posted: 25 Aug 2008
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 386 (85,288)
Citation 9

Abstract:

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Financial market, equity market, asset return, risk, variance, asset pricing

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

PIER Working Paper No. 11-031, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 38 Posted: 03 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 126 (250,754)
Citation 24

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

CAFE Research Paper No. 13.08
Number of pages: 38 Posted: 27 Aug 2013
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 110 (277,333)
Citation 97

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

FRB of Philadelphia Working Paper No. 11-45
Number of pages: 38 Posted: 04 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 77 (349,676)
Citation 3

Abstract:

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

NBER Working Paper No. w17490
Number of pages: 38 Posted: 08 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 49 (445,212)

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6.

Political Elites and the Delay in Stabilization

Number of pages: 49 Posted: 24 Aug 2001
Kamil Yilmaz
Koc University
Downloads 353 (94,631)

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Political economy, Inflation, Stabilization, War of attrition, Turkey

7.

The Intertemporal Relation between Expected Return and Risk on Currency

Number of pages: 37 Posted: 13 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Kamil Yilmaz
Georgetown University - Robert Emmett McDonough School of Business and Koc University
Downloads 329 (102,365)
Citation 31

Abstract:

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foreign exchange market, ICAPM, high-frequency data, time-varying risk aversion

8.
Downloads 307 (110,824)
Citation 34

Estimating Global Bank Network Connectedness

PIER Working Paper No. 15-025, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 34 Posted: 18 Jul 2015 Last Revised: 11 Sep 2020
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 292 (116,358)
Citation 4

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Systemic risk, connectedness, systemically important financial institutions, vector autoregres- sion, variance decomposition, lasso, elastic net, adaptive lasso, adaptive elastic net

Estimating Global Bank Network Connectedness

NBER Working Paper No. w23140
Number of pages: 35 Posted: 13 Feb 2017
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 15 (633,731)
Citation 21

Abstract:

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9.

Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers

International Journal of Forecasting, Forthcoming
Number of pages: 29 Posted: 15 Jan 2010 Last Revised: 29 Mar 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 275 (124,129)
Citation 56

Abstract:

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Asset Market, Asset Return, Stock Market, Market Linkage, Financial Crisis, Contagion, Vector Autoregression, Variance Decomposition

10.

How Connected is the Global Sovereign Credit Risk Network?

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 23 Jan 2020
Gorkem Bostanci and Kamil Yilmaz
University of Pennsylvania, Dept of Economics and Koc University
Downloads 253 (135,314)
Citation 9

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Sovereign Credit Risk; Systemic Risk; Connectedness; Network Estimation; Lasso; Vector Autoregression; Variance Decomposition

11.

Measuring the Dynamics of Global Business Cycle Connectedness

PIER Working Paper No. 13-070
Number of pages: 30 Posted: 19 Dec 2013 Last Revised: 23 Dec 2013
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 226 (151,132)
Citation 15

Abstract:

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Synchronization, coupling, de-coupling, network, G-7, real activity, industrial production, globalization

12.

Martingale Property of Exchange Rates and Central Bank Interventions

Number of pages: 33 Posted: 23 Aug 2001
Kamil Yilmaz
Koc University
Downloads 225 (151,761)
Citation 4

Abstract:

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Exchange rates, Martingale, Variance ratio test, FX market intervention

13.

Integration with the Global Economy: The Case of Turkish Automobile and Consumer Electronics Industries

Number of pages: 37 Posted: 29 Sep 2008
Erol Taymaz and Kamil Yilmaz
Middle East Technical University - Department of Economics and Koc University
Downloads 209 (162,533)
Citation 3

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14.

Financial Sector Volatility Connectedness and Equity Returns

Number of pages: 40 Posted: 16 Jan 2018 Last Revised: 13 Mar 2019
Mert Demirer, Umut Gokcen and Kamil Yilmaz
Massachusetts Institute of Technology (MIT), Ozyegin University - Faculty of Business and Koc University
Downloads 205 (165,539)
Citation 1

Abstract:

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Cross-Section of Returns, Anomalies, Financial Connectedness, Vector Autoregressions

15.

Machinery Imports for Export Competitiveness

Number of pages: 31 Posted: 24 Sep 2001
Kamil Yilmaz and Ashoka Mody
Koc University and International Monetary Fund (IMF) - Research Department
Downloads 201 (168,670)
Citation 3

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Equipment Investment, Export-oriented growth, Import-substitution, Cost Reduction

16.

Nash and Stackelberg Optimum Export Taxes: A CGE Model of the Global Cocoa Market

Number of pages: 43 Posted: 05 Dec 1999
Kamil Yilmaz
Koc University
Downloads 193 (175,168)

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17.

Measuring Dynamic Connectedness with Large Bayesian VAR Models

Number of pages: 30 Posted: 16 Jan 2018
Dimitris Korobilis and Kamil Yilmaz
University of Glasgow - Adam Smith Business School and Koc University
Downloads 184 (182,832)
Citation 6

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Connectedness, Vector Autoregression, Time-Varying Parameter Model, Rolling Window Estimation, Systemic Risk, Financial Institutions

18.

Macro-Financial Spillovers

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-1
Number of pages: 55 Posted: 25 Jan 2017 Last Revised: 08 Oct 2020
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 184 (182,832)
Citation 2

Abstract:

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spillovers, connectedness, macro-financial, mixed-frequency, forecasting

19.

Return and Volatility Spillovers Among the East Asian Equity Markets

Journal of Asian Economics, Forthcoming
Number of pages: 24 Posted: 28 Sep 2009
Kamil Yilmaz
Koc University
Downloads 145 (223,801)
Citation 3

Abstract:

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stock returns, volatility, spillovers, vector autoregression, variance decomposition

20.

Optimal Export Taxes in a Multicountry Framework

Number of pages: 30 Posted: 04 Nov 1997
Kamil Yilmaz
Koc University
Downloads 131 (242,578)

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Political Economy of Industrial Policy in Turkey: The Case of the Automotive Industry

Number of pages: 57 Posted: 12 Jan 2018
Erol Taymaz and Kamil Yilmaz
Middle East Technical University - Department of Economics and Koc University
Downloads 10 (672,467)

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Automotive industry, industrial policy, foreign direct investment, global value chains, Turkey-EU customs union, tax policy, R&D policy, trade networks

22.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269
Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Jun 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 102 (290,643)
Citation 1

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23.
Downloads 75 (351,419)
Citation 2

International Business Cycle Spillovers

Number of pages: 29 Posted: 13 Nov 2009
Kamil Yilmaz
Koc University
Downloads 73 (360,792)
Citation 6

Abstract:

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Business Cycles, Spillovers, Industrial Production, Vector Autoregression, Variance Decomposition, Unit Roots, Cointegration

International Business Cycle Spillovers

CEPR Discussion Paper No. DP7966
Number of pages: 35 Posted: 24 Aug 2010
Kamil Yilmaz
Koc University
Downloads 2 (741,208)
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Business Cycles, Cointegration, Industrial Production, Spillovers, Unit Roots, Variance Decomposition, Vector Autoregression

24.

Producer Price Inflation Connectedness and Input-Output Networks

Number of pages: 41 Posted: 26 Sep 2018
Nuriye Melisa Bilgin and Kamil Yilmaz
Koc University and Koc University
Downloads 57 (405,400)

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Input-Output Networks, Inflation, Connectedness, Supply-Side Shocks, Commodity Prices, Business Cycles, Vector Autoregression, Variance Decomposition

25.

History Matters for the Export Decision: Plant Level Evidence from Turkish Manufacturing Industry

World Development, Forthcoming
Number of pages: 34 Posted: 29 Sep 2008
Sule Ozler, Erol Taymaz and Kamil Yilmaz
University of California, Los Angeles (UCLA) - Department of Economics, Middle East Technical University - Department of Economics and Koc University
Downloads 39 (474,398)

Abstract:

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Export decision, sunk costs, productivity, dynamic panel data, Turkey