Emre Yoldas

Federal Reserve Board

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

11

DOWNLOADS

382

SSRN CITATIONS
Rank 22,272

SSRN RANKINGS

Top 22,272

in Total Papers Citations

10

CROSSREF CITATIONS

22

Scholarly Papers (11)

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

Number of pages: 46 Posted: 23 Nov 2011 Last Revised: 30 Apr 2015
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 91 (283,771)
Citation 1

Abstract:

Loading...

Financial Volatility, Real-time Data, Predictive Ability Tests, Dynamic Factor Model, Markov Switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2013-61
Number of pages: 46 Posted: 06 Nov 2013
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 53 (384,343)
Citation 3

Abstract:

Loading...

Financial volatility, real-time data, predictive ability tests, dynamic factor model, Markov switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2012-09
Number of pages: 33 Posted: 04 May 2012
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 50 (394,723)
Citation 4

Abstract:

Loading...

Realized Volatility, Business Cycles, Forecasting, Probit model, Dynamic Factor Model, Markov Switching

2.

Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets

FEDS Working Paper No. 2016-084
Number of pages: 45 Posted: 20 Oct 2016
Elizabeth Klee, Zeynep Senyuz and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 64 (345,095)

Abstract:

Loading...

Overnight money markets, Federal funds, Repo, Eurodollar, Commercial paper, VAR models, GARCH models

3.

Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications

Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Number of pages: 34 Posted: 23 Nov 2011 Last Revised: 07 Dec 2011
Emre Yoldas
Federal Reserve Board
Downloads 36 (440,513)

Abstract:

Loading...

Asymmetries, Threshold models, Fama-French factors, Realized Volatility, Yield Curve, Subsampling, Bootstrap, Portfolio Choice

4.

Financial Stress and Equilibrium Dynamics in Money Markets

FEDS Working Paper No. 2015-091
Number of pages: 41 Posted: 17 Oct 2015
Emre Yoldas and Zeynep Senyuz
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 30 (467,219)
Citation 2

Abstract:

Loading...

Cointegration, Constant conditional correlation model, GARCH, Money markets, Threshold models

5.

Government Debt and Macroeconomic Activity: A Predictive Analysis for Advanced Economies

FEDS Working Paper No. 2013-05
Number of pages: 17 Posted: 30 May 2017
Deniz Baglan and Emre Yoldas
Howard University and Federal Reserve Board
Downloads 29 (472,090)

Abstract:

Loading...

6.

Non-Linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model

FEDS Working Paper No. 2014-51
Number of pages: 21 Posted: 09 Aug 2014
Deniz Baglan and Emre Yoldas
Howard University and Federal Reserve Board
Downloads 29 (472,090)

Abstract:

Loading...

Inflation, economic growth, semiparametric panel data model, series estimation, bootstrap

7.

Hedge Fund Contagion and Risk-Adjusted Returns: A Markov-Switching Dynamic Factor Approach

Journal of Empirical Finance, Forthcoming
Posted: 01 May 2013
Ozzy (Ozgur) Akay, Zeynep Senyuz and Emre Yoldas
Office of Financial Research, US Department of the Treasury, Board of Governors of the Federal Reserve System and Federal Reserve Board

Abstract:

Loading...

Hedge fund, Contagion, Risk-adjusted return, Dynamic factor models, Markov-switching, Funding liquidity, Flight to safety

8.

Autocontours: Dynamic Specification Testing

Journal of Business and Economic Statistics, Vol. 29, No. 1, pp. 186-200, January 2011
Posted: 23 Nov 2011
University of California, Riverside (UCR) - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board

Abstract:

Loading...

Autoregressive conditional duration model, Bootstrap, Parameter uncertainty, Probability contour plot

9.

Optimality of the Riskmetrics Model

Finance Research Letters, Vol. 4, No. 3, 2007
Posted: 23 Nov 2011 Last Revised: 24 Nov 2011
University of California, Riverside (UCR) - Department of Economics, University of California, Riverside (UCR) - Department of Economics and Federal Reserve Board

Abstract:

Loading...

Estimation, Forecasting, Loss functions, Optimality, VaR

10.

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT ENGLE, Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson, eds., Chapter 11, pp. 213-230, Oxford University Press, January 2010
Posted: 23 Nov 2011
Gloria González-Rivera and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics and Federal Reserve Board

Abstract:

Loading...

Probability Contour Plot, Autocontour, Specification Test, Parameter Uncertainty

11.

Autocontour-Based Evaluation of Multivariate Predictive Densities

International Journal of Forecasting, Forthcoming
Posted: 23 Nov 2011
Emre Yoldas and Gloria González-Rivera
Federal Reserve Board and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Probability Contour Plot, Probability Integral Transformation, Parameter Uncertainty, Forecasting Schemes