Author Page for Yildiray Yildirim

Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, pp. 337-359, June 2003

Number of pages: 34 Posted: 06 Oct 2004 Last Revised: 03 Feb 2011

Robert A. Jarrow and Yildiray Yildirim

Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 688 (47,610)

Citation 6

Abstract:

2.

Evidence of Competition in the Leveraged Buyout Market

Number of pages: 28 Posted: 20 Mar 2007

Jeffrey Oxman and Yildiray Yildirim

Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 521 (67,920)

Citation 7

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3.

Interest Rate Pass-Through and Consumption Response: the Deposit Channel

Number of pages: 68 Posted: 09 Feb 2017 Last Revised: 24 Apr 2020

Sumit Agarwal, Souphala Chomsisengphet, Yildiray Yildirim, Jian Zhang and Jian Zhang

National University of Singapore, Office of the Comptroller of the Currency (OCC), Zicklin School of Business, Baruch College - The City University of New York and The University of Hong Kong - Faculty of Business and EconomicsThe University of Hong Kong - Faculty of Business and Economics

Downloads 476 (75,912)

Citation 2

Abstract:

4.

Dynamic Correlations Among Asset Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Forthcoming

Number of pages: 41 Posted: 08 Feb 2011

Brad Case, Yawei Yang and Yildiray Yildirim

Fannie Mae, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York

Downloads 453 (80,558)

Citation 6

Abstract:

5.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Downloads 436 ( 84,234)

Citation 4

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Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Number of pages: 66 Posted: 30 Aug 2012

Brad Case, Massimo Guidolin and Yildiray Yildirim

Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

Downloads 434 (83,967)

Citation 2

Abstract:

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Real Estate Economics, Vol. 42, Issue 2, pp. 279-342, 2014

Number of pages: 64 Posted: 20 May 2014

Brad Case, Massimo Guidolin and Yildiray Yildirim

Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

Downloads 2 (816,076)

Citation 2

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Abstract:

6.

Governance Effects of LBO Events

Number of pages: 35 Posted: 17 Mar 2008

Jeffrey Oxman and Yildiray Yildirim

Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 316 (121,293)

Citation 1

Abstract:

7.

Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009

Number of pages: 21 Posted: 27 Feb 2009 Last Revised: 11 Feb 2011

James B. Kau, Donald C. Keenan, Donald C. Keenan and Yildiray Yildirim

University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-PontoiseUniversity of Georgia and Zicklin School of Business, Baruch College - The City University of New York

Downloads 314 (122,062)

Citation 5

Abstract:

8.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Downloads 263 (146,854)

Citation 2

3

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Johnson School Research Paper Series No. 18-2011

Number of pages: 39 Posted: 04 Dec 2010 Last Revised: 25 May 2015

Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim

Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Downloads 263 (146,280)

Abstract:

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Vol. 42, Issue 3, pp. 627-661, 2014

Number of pages: 35 Posted: 28 Aug 2014

Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim

Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

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Abstract:

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Forthcoming

Posted: 07 Feb 2013 Last Revised: 25 May 2015

Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim

Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

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9.

The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

Number of pages: 39 Posted: 25 May 2009

Sumit Agarwal, Brent W. Ambrose, Henry Hongren Huang and Yildiray Yildirim

National University of Singapore, Pennsylvania State University, National Central University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 256 (150,791)

Citation 1

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10.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011

Björn Bick, Christian W. Hirsch, Christian W. Hirsch, Holger Kraft and Yildiray Yildirim

Goethe University Frankfurt, University of FrankfurtLeibniz Institute for Financial Research SAFE, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Downloads 255 (151,376)

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11.

The Cost of Operational Risk Loss Insurance

Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011

Number of pages: 27 Posted: 07 Feb 2011 Last Revised: 27 Mar 2011

Robert A. Jarrow, Jeffrey Oxman and Yildiray Yildirim

Cornell University - Samuel Curtis Johnson Graduate School of Management, University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York

Downloads 223 (172,476)

Citation 8

Abstract:

12.

Operational Risk and Equity Prices

Finance Research Letters, Vol. 10, No. 4, 2013

Number of pages: 43 Posted: 21 Nov 2011 Last Revised: 10 Mar 2021

Michael Shafer and Yildiray Yildirim

Providence College and Zicklin School of Business, Baruch College - The City University of New York

Downloads 207 (184,890)

Abstract:

13.

Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

Number of pages: 51 Posted: 18 Oct 2011 Last Revised: 12 Nov 2012

Hsiao-Wei Ho, Henry Hongren Huang and Yildiray Yildirim

Shih Chien University, National Central University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 206 (185,730)

Abstract:

14.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013

Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013

Umut Cetin, Robert A. Jarrow, Philip Protter and Yildiray Yildirim

Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 193 (197,101)

Citation 2

Abstract:

15.

Empirical Investigation of Covered Interest Rate Parity in Developed and Emerging Markets

Number of pages: 54 Posted: 02 Jul 2012

Emrah Sener, Sait Satiroglu and Yildiray Yildirim

Ozyegin University, Center For Computational Finance and Zicklin School of Business, Baruch College - The City University of New York

Downloads 191 (198,952)

Abstract:

16.

The Subprime Virus: Theory and Evidence

Number of pages: 36 Posted: 21 May 2010 Last Revised: 03 Feb 2011

Sumit Agarwal, Brent W. Ambrose and Yildiray Yildirim

National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 188 (201,796)

Citation 2

Abstract:

17.

Default and Prepayment Modelling in Participating Mortgages

Number of pages: 30 Posted: 09 Jun 2014 Last Revised: 28 Dec 2015

Yusuf Varli and Yildiray Yildirim

Borsa ?stanbul - Research Dept. and Zicklin School of Business, Baruch College - The City University of New York

Downloads 184 (205,698)

Citation 1

Abstract:

18.

Pricing of Firm Specific Jump Risk

Number of pages: 47 Posted: 19 Sep 2012 Last Revised: 24 Oct 2012

Marius Ascheberg, Holger Kraft and Yildiray Yildirim

Goethe University Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Downloads 183 (206,697)

Abstract:

19.

Estimating Default Probabilities of CMBS Loans With Clustering and Heavy Censoring

Journal of Real Estate Finance and Economics, Vol. 37, No. 2, 2008

Number of pages: 27 Posted: 16 Nov 2007 Last Revised: 03 Feb 2011

Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York

Downloads 175 (214,811)

Citation 1

Abstract:

20.

The Effects of LBO Events on Industry Rivals

Midwest Finance Association 2012 Annual Meetings Paper

Number of pages: 40 Posted: 21 Feb 2011 Last Revised: 02 Oct 2011

Jeffrey Oxman and Yildiray Yildirim

University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York

Downloads 158 (234,344)

Abstract:

21.

A Reduced-Form Model for Lease Contract Valuation with Embedded Options

Number of pages: 62 Posted: 21 Oct 2011 Last Revised: 20 Dec 2017

Chuang-Chang Chang, Hsiao-Wei Ho, Henry Hongren Huang and Yildiray Yildirim

National Central University - Department of Finance, Shih Chien University, National Central University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 156 (236,844)

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22.

Soft Liquidity Constraints and Consumption: Evidence from Macro Prudential Policy in Turkey

Number of pages: 50 Posted: 26 Feb 2015 Last Revised: 13 Dec 2017

Sumit Agarwal, Muris Hadzic, Changcheng Song and Yildiray Yildirim

National University of Singapore, Whitman School of Management, Syracuse University, Singapore Management University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 153 (240,601)

Citation 5

Abstract:

23.

Housing Prices and the Optimal Time-on-The-Market Decision

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011

Hazer Inaltekin, Robert A. Jarrow, Mehmet Saglam and Yildiray Yildirim

University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and Zicklin School of Business, Baruch College - The City University of New York

Downloads 147 (248,599)

Abstract:

24.

Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases

Number of pages: 37 Posted: 26 Apr 2014 Last Revised: 26 Jan 2018

Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 144 (252,786)

Abstract:

25.

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Journal of Risk, Vol. 5, No. 1, Fall 2002

Number of pages: 39 Posted: 06 Oct 2004 Last Revised: 01 Jun 2013

Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim

Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York

Downloads 135 (267,498)

Citation 1

Abstract:

26.

Modelling Default Risk: A New Structural Approach

Finance Research Letters, Forthcoming

Number of pages: 12 Posted: 08 Feb 2011

Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York

Downloads 130 (273,598)

Abstract:

27.

Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach

Journal of Real Estate Finance and Economics, Vol. 37, No. 3, 2008

Number of pages: 26 Posted: 01 Oct 2008 Last Revised: 03 Feb 2011

Brent W. Ambrose and Yildiray Yildirim

Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 125 (281,803)

Citation 1

Abstract:

28.

Estimating Default Probabilities Implicit in Equity Prices

Journal of Investment Management, Vol. 1, No 1, First Quarter 2003

Number of pages: 38 Posted: 02 Apr 2004 Last Revised: 12 Nov 2012

Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim

Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York

Downloads 116 (299,167)

Abstract:

29.

Deep Learning for Disentangling Liquidity-Constrained and Strategic Default

Number of pages: 58 Posted: 28 Dec 2020

Arka Bandyopadhyay and Yildiray Yildirim

CU Boulder and Zicklin School of Business, Baruch College - The City University of New York

Downloads 108 (312,647)

Citation 5

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30.

Price Discovery in Real Estate Markets: A Dynamic Analysis

Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011

Number of pages: 49 Posted: 29 Aug 2010 Last Revised: 11 Feb 2011

Abdullah Yavas and Yildiray Yildirim

University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York

Downloads 103 (322,865)

Citation 1

Abstract:

31.

The Dynamics of Operational Loss Clustering

Journal of Banking and Finance, Forthcoming

Number of pages: 30 Posted: 07 Feb 2011

Anna Chernobai and Yildiray Yildirim

Syracuse University - M. J. Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 101 (327,028)

Citation 1

Abstract:

32.

To Accept or Not Accept: Optimal Strategy for Sellers in Real Estate

Number of pages: 43 Posted: 02 Jun 2013 Last Revised: 28 Jan 2018

Thomas Emmerling, Abdullah Yavas and Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York, University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York

Downloads 81 (375,291)

Citation 1

Abstract:

33.

Portfolio Balance Effects and the Equity Market

Number of pages: 32 Posted: 29 Oct 2015

Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 75 (392,239)

Abstract:

34.

Does Bankruptcy Protection Affect Asset Prices? Evidence from changes in Homestead Exemptions

Number of pages: 27 Posted: 06 Mar 2021

Yildiray Yildirim, Albert A. Zevelev and Albert A. Zevelev

Zicklin School of Business, Baruch College - The City University of New York and University of Pennsylvania - The Wharton SchoolCity University of New York (CUNY) - Department of Real Estate

Downloads 67 (417,038)

Abstract:

35.

Leverage, Options Liabilities, and Corporate Bond Pricing

Review of Derivatives Research, Vol. 11, No. 3, 2008

Number of pages: 37 Posted: 07 Feb 2011

Henry Hongren Huang and Yildiray Yildirim

National Central University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 67 (417,038)

Abstract:

36.

Drafting and Securitizing Participation Mortgages: A Re-Introduction

Number of pages: 37 Posted: 23 Feb 2015

Spencer Coopchik and Yildiray Yildirim

Independent and Zicklin School of Business, Baruch College - The City University of New York

Downloads 58 (448,273)

Citation 1

Abstract:

37.

The Impact of Policy Decisions on Global Liquidity During the Recent Financial Crisis

Number of pages: 22 Posted: 10 Feb 2015

Sait Satiroglu, Emrah Sener, Michael Shafer and Yildiray Yildirim

Center For Computational Finance, Ozyegin University, Providence College and Zicklin School of Business, Baruch College - The City University of New York

Downloads 48 (487,332)

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38.

The Choice of Public vs. Private Equity: Evidence from the SEO and Pipe Markets

Number of pages: 41 Posted: 18 Mar 2008 Last Revised: 06 Apr 2016

Milena Petrova, Ya-Wei Yang and Yildiray Yildirim

Syracuse University - Whitman School of Management, Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 40 (523,497)

Citation 1

Abstract:

39.

Distance to Headquarter and Real Estate Equity Performance

Forthcoming, Journal of Real Estate Finance and Economics

Number of pages: 37 Posted: 08 Jun 2020

Stanimira Milcheva, Yildiray Yildirim and Bing Zhu

University College London, Zicklin School of Business, Baruch College - The City University of New York and University of Reading - Henley Business School

Downloads 18 (656,352)

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40.

Why Do Public Firms Issue Private Equity?

Posted: 22 Mar 2009

Yildiray Yildirim, Ya-Wei Yang and Milena Petrova

Zicklin School of Business, Baruch College - The City University of New York, Syracuse University - Whitman School of Management and Syracuse University - Whitman School of Management

Downloads 15 (678,171)

Abstract:

41.

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

Real Estate Economics, Vol. 36, Issue 3, pp. 441-498, Fall 2008

Number of pages: 58 Posted: 04 Aug 2008

Andreas D. Christopoulos, Robert A. Jarrow and Yildiray Yildirim

affiliation not provided to SSRN, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York

Downloads 5 (756,652)

Citation 1

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Abstract:

42.

The Subprime Virus

Real Estate Economics, Vol. 43, Issue 4, pp. 891-915, 2015

Number of pages: 25 Posted: 26 Oct 2015

Sumit Agarwal, Brent W. Ambrose and Yildiray Yildirim

National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York

Downloads 1 (792,913)

Citation 1

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Abstract:

43.

Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt

Review of Finance, 2018, 1–37

Posted: 06 Mar 2018

Brent W. Ambrose, Thomas Emmerling, Henry Hongren Huang and Yildiray Yildirim

Pennsylvania State University, Zicklin School of Business, Baruch College - The City University of New York, National Central University and Zicklin School of Business, Baruch College - The City University of New York

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44.

The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018, Baruch College Zicklin School of Business Research Paper No. 2018-02-07

Posted: 08 Feb 2018 Last Revised: 27 Feb 2018

Brent W. Ambrose, Michael Shafer and Yildiray Yildirim

Pennsylvania State University, Providence College and Zicklin School of Business, Baruch College - The City University of New York

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45.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming

Posted: 28 Sep 2012

Brad Case, Massimo Guidolin and Yildiray Yildirim

Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

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46.

Dynamic Correlations Among Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012

Posted: 22 Feb 2012

Brad Case, Yawei Yang and Yildiray Yildirim

Fannie Mae, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York

Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York

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Scholarly Papers (46)

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Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

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Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices

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Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

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The Subprime Virus

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