Kamil Yilmaz

Koc University

Associate Professor

Rumeli Feneri Yolu

Sariyer

Istanbul, 34450

Turkey

http://home.ku.edu.tr/~kyilmaz

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 7,831

SSRN RANKINGS

Top 7,831

in Total Papers Downloads

5,640

CITATIONS
Rank 4,524

SSRN RANKINGS

Top 4,524

in Total Papers Citations

117

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 991 (21,343)
Citation 4

Abstract:

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

2.
Downloads 373 ( 67,935)

Commodity Connectedness

PIER Working Paper No. 17-003
Number of pages: 30 Posted: 13 Mar 2017
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System and Koc University
Downloads 360 (79,690)

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, Board of Governors of the Federal Reserve System and Koc University
Downloads 13 (571,902)

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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 354 (81,232)
Citation 31

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 33 (453,946)
Citation 31

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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 3 (640,543)
Citation 31
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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 373 (77,004)
Citation 6

Abstract:

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

5.

Political Elites and the Delay in Stabilization

Number of pages: 49 Posted: 24 Aug 2001
Kamil Yilmaz
Koc University
Downloads 350 (82,963)

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

6.

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 321 (91,487)
Citation 29

Abstract:

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

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

PIER Working Paper No. 11-031
Number of pages: 38 Posted: 03 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 118 (231,847)
Citation 9

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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 87 (285,974)
Citation 9

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

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 63 (344,965)
Citation 9

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 36 (440,605)
Citation 9

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Estimating Global Bank Network Connectedness

PIER Working Paper No. 15-025
Number of pages: 34 Posted: 18 Jul 2015 Last Revised: 30 Jul 2015
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System and Koc University
Downloads 268 (110,609)

Abstract:

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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, Board of Governors of the Federal Reserve System and Koc University
Downloads 13 (571,902)
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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 245 (121,878)
Citation 9

Abstract:

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

10.

Martingale Property of Exchange Rates and Central Bank Interventions

Number of pages: 33 Posted: 23 Aug 2001
Kamil Yilmaz
Koc University
Downloads 222 (134,448)
Citation 8

Abstract:

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

11.

Machinery Imports for Export Competitiveness

World Bank Economic Review, Forthcoming
Number of pages: 31 Posted: 24 Sep 2001
Kamil Yilmaz and Ashoka Mody
Koc University and International Monetary Fund (IMF) - Research Department
Downloads 199 (149,055)
Citation 6

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

12.

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 196 (151,203)

Abstract:

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

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 195 (151,943)

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14.

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 191 (154,876)

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15.

How Connected is the Global Sovereign Credit Risk Network?

Number of pages: 53 Posted: 22 Aug 2015
Gorkem Bostanci and Kamil Yilmaz
University of Pennsylvania, Dept of Economics and Koc University
Downloads 165 (176,423)

Abstract:

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Sovereign Credit Default Swaps, Sovereign Credit Risk, Systemic risk, Connectedness, Network Estimation, Lasso, Elastic Net, Vector Autoregression, Variance Decomposition

16.

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 140 (202,124)
Citation 4

Abstract:

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

17.

Optimal Export Taxes in a Multicountry Framework

Number of pages: 30 Posted: 04 Nov 1997
Kamil Yilmaz
Koc University
Downloads 126 (219,698)
Citation 2

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18.

Mixed-Frequency Macro-Financial Spillovers

Number of pages: 47 Posted: 25 Jan 2017 Last Revised: 05 Sep 2017
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 121 (227,929)

Abstract:

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Spillovers, Connectedness, Macro-Financial, Mixed-Frequency

19.

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), Koc University - Graduate School of Business and Koc University
Downloads 116 (233,753)

Abstract:

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

20.

Measuring Dynamic Connectedness with Large Bayesian VAR Models

Number of pages: 30 Posted: 16 Jan 2018
Dimitris Korobilis and Kamil Yilmaz
affiliation not provided to SSRN and Koc University
Downloads 103 (255,979)

Abstract:

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

21.

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 95 (268,223)
Citation 7

Abstract:

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International Business Cycle Spillovers

Number of pages: 29 Posted: 13 Nov 2009
Kamil Yilmaz
Koc University
Downloads 65 (339,226)

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 (651,297)
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Business Cycles, Cointegration, Industrial Production, Spillovers, Unit Roots, Variance Decomposition, Vector Autoregression

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 7 (611,335)

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

24.

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 38 (422,791)
Citation 2

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

25.

Producer Price Inflation Connectedness and Input-Output Networks

Number of pages: 41 Posted: 26 Sep 2018
Melisa Bilgin and Kamil Yilmaz
Koc University and Koc University
Downloads 31 (452,122)

Abstract:

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