Kamil Yilmaz

Koc University

Professor of Economics

Rumeli Feneri Yolu

Sariyer

Istanbul, 34450

Turkey

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

SCHOLARLY PAPERS

28

DOWNLOADS
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Top 9,488

in Total Papers Downloads

9,291

SSRN CITATIONS
Rank 484

SSRN RANKINGS

Top 484

in Total Papers Citations

2,567

CROSSREF CITATIONS

178

Scholarly Papers (28)

1.

Market Development and Efficiency in Emerging Stock Markets

Number of pages: 37 Posted: 23 Aug 2001
Kamil Yilmaz
Koc University
Downloads 1,069 (39,629)
Citation 1

Abstract:

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

2.

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 810 (58,167)
Citation 13

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

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 226 (252,006)
Citation 94

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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

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 170 (327,039)
Citation 65

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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 Last Revised: 17 Apr 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 74 (601,501)

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4.
Downloads 444 (95,374)
Citation 5

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 410 (134,476)
Citation 2

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 Last Revised: 20 Mar 2023
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 34 (857,946)
Citation 4

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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 431 (126,861)
Citation 156

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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 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 77 (587,661)
Citation 124

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6.
Downloads 468 (116,332)
Citation 90

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 405 (136,356)
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 Last Revised: 25 Mar 2023
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 63 (657,423)
Citation 33

Abstract:

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7.

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 440 (125,112)
Citation 9

Abstract:

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

8.

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 409 (136,110)
Citation 3

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

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 408 (136,503)
Citation 370

Abstract:

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

10.

Political Elites and the Delay in Stabilization

Number of pages: 49 Posted: 24 Aug 2001
Kamil Yilmaz
Koc University
Downloads 401 (139,234)

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

11.

Macro-Financial Spillovers

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-12
Number of pages: 56 Posted: 25 Jan 2017 Last Revised: 26 Oct 2020
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of York - Department of Economics and Related Studies and Koc University
Downloads 397 (140,915)
Citation 2

Abstract:

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

12.

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, Gorkem Bostanci and Kamil Yilmaz
University of British Columbiaaffiliation not provided to SSRN and Koc University
Downloads 381 (147,473)
Citation 18

Abstract:

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

13.

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 - McDonough School of Business and Koc University
Downloads 376 (149,640)
Citation 37

Abstract:

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

14.

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 369 (152,842)
Citation 25

Abstract:

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

15.

Martingale Property of Exchange Rates and Central Bank Interventions

Number of pages: 33 Posted: 23 Aug 2001
Kamil Yilmaz
Koc University
Downloads 283 (202,623)
Citation 4

Abstract:

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

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 42 (793,171)
Citation 1

Abstract:

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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

17.

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 279 (205,540)
Citation 3

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18.

Producer Price Inflation Connectedness and Input-Output Networks

Number of pages: 41 Posted: 26 Sep 2018
Nuriye Melisa Bilgin and Kamil Yilmaz
Bocconi University and Koc University
Downloads 278 (206,333)
Citation 4

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

19.

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 230 (248,757)
Citation 3

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

20.

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 217 (262,807)

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21.

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 207 (274,582)
Citation 5

Abstract:

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

22.

Polarized Politics of Pandemic Response and the COVID-19 Connectedness Across the U.S. States

Covid Economics, Vetted and Real-time Papers 2020
Number of pages: 38 Posted: 18 Nov 2020
Umut Akovali and Kamil Yilmaz
Koc University and Koc University
Downloads 174 (320,747)
Citation 1

Abstract:

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COVID-19, Coronavirus, Spillovers, Connectedness, Public health, Government policy stringency, Community mobility, Travel Intensity

23.

Optimal Export Taxes in a Multicountry Framework

Number of pages: 30 Posted: 04 Nov 1997
Kamil Yilmaz
Koc University
Downloads 147 (369,716)

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24.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269
Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Dec 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 129 (409,587)
Citation 1

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25.
Downloads 103 (483,694)
Citation 1

International Business Cycle Spillovers

Number of pages: 29 Posted: 13 Nov 2009
Kamil Yilmaz
Koc University
Downloads 101 (493,835)
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 (1,184,762)
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Abstract:

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

26.

On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness

Number of pages: 11 Posted: 22 Nov 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 97 (503,501)

Abstract:

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Contagion, Spillovers, Financial markets, Vector autoregressions, Variance decompositions.

27.

Production Networks and Propagation of Supply and Demand Shocks

Number of pages: 44 Posted: 01 Oct 2022
Nuriye Melisa Bilgin and Kamil Yilmaz
Bocconi University and Koc University
Downloads 85 (547,124)

Abstract:

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Demand and supply shocks, Input-output linkages, Spillovers/Connectedness, Producer price inflation, Industrial production.

28.

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 70 (611,500)

Abstract:

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