Yildiray Yildirim

CUNY Baruch College - Zicklin School of Business

137 E 22nd Street

New York, NY 10010

United States

http://yildiray-yildirim.com

SCHOLARLY PAPERS

41

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CITATIONS
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127

Scholarly Papers (41)

1.

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 CUNY Baruch College - Zicklin School of Business
Downloads 467 (45,254)
Citation 2

Abstract:

Leveraged buyouts, corporate control

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

Number of pages: 66 Posted: 30 Aug 2012
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business
Downloads 368 (61,642)

Abstract:

REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations

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
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business
Downloads 0

Abstract:

3.

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
Bradford Case, Yawei Yang and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, affiliation not provided to SSRN and CUNY Baruch College - Zicklin School of Business
Downloads 341 (59,529)
Citation 5

Abstract:

DCC-GARCH, REITs, Correlation, Volatility, Portfolio optimization, Asset allocation

4.

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 CUNY Baruch College - Zicklin School of Business
Downloads 258 (68,115)
Citation 28

Abstract:

5.

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 CUNY Baruch College - Zicklin School of Business
Downloads 253 (89,119)

Abstract:

LBOs, buyouts, governance, directors, compensation

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
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and CUNY Baruch College - Zicklin School of Business
Downloads 233 (102,773)

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
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and CUNY Baruch College - Zicklin School of Business
Downloads 0

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
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and CUNY Baruch College - Zicklin School of Business

Abstract:

subprime, home prices, mortgage defaults

7.

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
Georgetown University - Department of Finance, Pennsylvania State University, National Central University at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 212 (104,127)
Citation 3

Abstract:

leasing valuation, credit risk, endogenous default

8.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011
Björn Bick, Christian W. Hirsch, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, University of Frankfurt, Goethe University Frankfurt and CUNY Baruch College - Zicklin School of Business
Downloads 211 (108,303)

Abstract:

Risk Premium, Default Risk, Fama-French Regressions, IVOL anomaly

9.

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 CUNY Baruch College - Zicklin School of Business
Downloads 191 (117,233)
Citation 1

Abstract:

10.

Operational Risk and Equity Prices

Number of pages: 43 Posted: 21 Nov 2011 Last Revised: 12 Nov 2012
Michael Shafer and Yildiray Yildirim
Providence College School of Business and CUNY Baruch College - Zicklin School of Business
Downloads 172 (128,977)

Abstract:

Operational risk, stock prices, stock returns

11.

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 at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 170 (131,007)

Abstract:

inflation-indexed derivatives, inflation risk premium

12.

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 and Yildiray Yildirim
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and CUNY Baruch College - Zicklin School of Business
Downloads 137 (129,656)
Citation 3

Abstract:

CMBS, default, structural model

13.

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 CUNY Baruch College - Zicklin School of Business
Downloads 136 (148,478)

Abstract:

cross-section of stock returns, idiosyncratic risk

14.

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
Georgetown University - Department of Finance, Pennsylvania State University and CUNY Baruch College - Zicklin School of Business
Downloads 134 (150,955)

Abstract:

Subprime, Default, Portfolio Risk

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 CUNY Baruch College - Zicklin School of Business
Downloads 121 (158,988)

Abstract:

Interest Rate Parity, Swap Markets, Financial Constraints, Law of One Price

16.

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
CUNY Baruch College - Zicklin School of Business
Downloads 114 (167,393)
Citation 7

Abstract:

multilevel mixture model, credit risk, CMBS

17.

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

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and CUNY Baruch College - Zicklin School of Business
Downloads 112 (176,617)

Abstract:

Real estate market, Price evolution, Optimal waiting time

18.

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 CUNY Baruch College - Zicklin School of Business
Downloads 106 (183,218)

Abstract:

Company finance, Corporate investment, Leveraged buyouts, Firm behavior

19.

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 CUNY Baruch College - Zicklin School of Business
Downloads 102 (154,449)
Citation 22

Abstract:

Default risk, Azema martinglae, Brownian excursion

20.

Modelling Default Risk: A New Structural Approach

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 08 Feb 2011
Yildiray Yildirim
CUNY Baruch College - Zicklin School of Business
Downloads 94 (196,676)
Citation 1

Abstract:

Credit risk, Structural model, Brownian area

21.

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 İstanbul - Research Dept. and CUNY Baruch College - Zicklin School of Business
Downloads 93 (170,324)

Abstract:

Participating mortgages, credit risk, prepayment risk

22.

Simultaneous Implication of Credit Risk and Embedded Options in Lease Contracts

Number of pages: 75 Posted: 21 Oct 2011 Last Revised: 09 Mar 2016
National Central University at Taiwan - Department of Finance, Shih Chien University, National Central University at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 91 (207,551)

Abstract:

Lease Contracts, Embedded Options, Default Risk, Adjustable Rate

23.

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 CUNY Baruch College - Zicklin School of Business
Downloads 73 (230,376)
Citation 2

Abstract:

leasing valuation, credit risk, reduced form model

24.

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 CUNY Baruch College - Zicklin School of Business
Downloads 70 (244,345)
Citation 3

Abstract:

price discovery, REIT returns, NAV returns

25.

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

Number of pages: 37 Posted: 26 Apr 2014 Last Revised: 28 Oct 2015
Thomas J. Emmerling, Robert A. Jarrow and Yildiray Yildirim
CUNY Baruch College, Cornell University - Samuel Curtis Johnson Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 68 (219,298)

Abstract:

Quantitative easing, portfolio balance, equity risk premium, bond risk premium

26.

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 CUNY Baruch College - Zicklin School of Business
Downloads 68 (238,902)
Citation 1

Abstract:

Operational risk, Basel II, shot noise, Cox process, aggregate los

27.

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 at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 48 (291,239)

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 CUNY Baruch College - Zicklin School of Business
Downloads 48 (255,836)
Citation 9

Abstract:

Credit risk

29.

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 CUNY Baruch College - Zicklin School of Business
Downloads 47 (248,088)
Citation 34

Abstract:

Credit Risk

30.

Consumption Response to Credit Tightening Policy: Evidence from Turkey

Number of pages: 41 Posted: 26 Feb 2015 Last Revised: 07 Dec 2015
Sumit Agarwal, Muris Hadzic and Yildiray Yildirim
Georgetown University - Department of Finance, Whitman School of Management, Syracuse University and CUNY Baruch College - Zicklin School of Business
Downloads 35 (233,699)

Abstract:

Consumption, Spending, Debt, Credit Cards, Household Finance, Banks, Loans, Durable Goods, Discretionary Spending, Fiscal Policy, Liquidity Constraints, Credit Constraints

31.

First Cut is the Deepest: On Optimal Acceptance Strategies in Real Estate

Number of pages: 40 Posted: 02 Jun 2013
Thomas J. Emmerling, Abdullah Yavas and Yildiray Yildirim
CUNY Baruch College, University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and CUNY Baruch College - Zicklin School of Business
Downloads 32 (335,863)

Abstract:

Real estate, Optimal selling strategy

32.

Drafting and Securitizing Participation Mortgages: A Re-Introduction

Number of pages: 37 Posted: 23 Feb 2015
Spencer J. Coopchik and Yildiray Yildirim
Independent and CUNY Baruch College - Zicklin School of Business
Downloads 29 (317,977)

Abstract:

Participation Mortgages; Securitization

33.

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 School of Business and CUNY Baruch College - Zicklin School of Business
Downloads 18 (355,688)

Abstract:

Covered Interest Rate Parity, Economic Policy, Financial Crisis, Currency Liquidity, Foreign Exchange Rates

34.

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
affiliation not provided to SSRN, Cornell University - Samuel Curtis Johnson Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 5 (499,531)
Citation 5

Abstract:

35.

Cash Demand and Consumption Response to Unanticipated Monetary Policy Shock: Evidence from Turkey

Number of pages: 48 Posted: 09 Feb 2017
Georgetown University - Department of Finance, Office of the Comptroller of the Currency (OCC), CUNY Baruch College - Zicklin School of Business and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Downloads 0 (490,473)

Abstract:

Cash Demand, Interest Shock, Liquidity Constraint, Consumption, Big Data, Household Finance

36.

Portfolio Balance Effects and the Equity Market

Number of pages: 32 Posted: 29 Oct 2015
Thomas J. Emmerling, Robert A. Jarrow and Yildiray Yildirim
CUNY Baruch College, Cornell University - Samuel Curtis Johnson Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 0 (326,769)

Abstract:

Quantitative easing, portfolio balance channel, equity risk premium

37.

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
Georgetown University - Department of Finance, Pennsylvania State University and CUNY Baruch College - Zicklin School of Business
Downloads 0 (531,832)

Abstract:

38.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business

Abstract:

REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations

39.

Dynamic Correlations Among Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012
Posted: 22 Feb 2012
Bradford Case, Yawei Yang and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, affiliation not provided to SSRN and CUNY Baruch College - Zicklin School of Business

Abstract:

DCC-GARCH, REITs, Volatility, Portfolio optimization, Asset allocation

40.

Why Do Public Firms Issue Private Equity?

Posted: 22 Mar 2009
Yildiray Yildirim, Ya-Wei Yang and Milena T. Petrova
CUNY Baruch College - Zicklin School of Business, Syracuse University - Whitman School of Management and Bocconi University
Downloads 0 (508,361)

Abstract:

private equity, SEOs, performance, abnormal returns

41.

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 T. Petrova, Ya-Wei Yang and Yildiray Yildirim
Bocconi University, Syracuse University - Whitman School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 0 (470,794)
Citation 1

Abstract: