Emre Yoldas

Board of Governors of the Federal Reserve System

Chief of Global Monetary and Sovereign Markets Section

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

14

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445

SSRN CITATIONS
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Top 27,528

in Total Papers Citations

10

CROSSREF CITATIONS

22

Scholarly Papers (14)

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 Board of Governors of the Federal Reserve System
Downloads 95 (319,675)
Citation 1

Abstract:

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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 Board of Governors of the Federal Reserve System
Downloads 55 (436,233)
Citation 3

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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 Board of Governors of the Federal Reserve System
Downloads 52 (447,640)
Citation 3

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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 Board of Governors of the Federal Reserve System
Downloads 79 (355,452)
Citation 1

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

3.

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 Board of Governors of the Federal Reserve System
Downloads 41 (485,218)
Citation 2

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4.

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
Board of Governors of the Federal Reserve System
Downloads 36 (508,186)

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

5.

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
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 35 (513,061)
Citation 2

Abstract:

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

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 Board of Governors of the Federal Reserve System
Downloads 33 (523,145)

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

7.

When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets

FRB International Finance Discussion Paper No. 1269
Number of pages: 43 Posted: 15 Jun 2020
Jasper Hoek, Steven B. Kamin and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 19 (607,773)

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8.

The Impact of COVID-19 on Emerging Markets Economies’ Financial Conditions

FEDS Notes No. 2020-10-07-1 https://doi.org/10.17016/2380-7172.2749
Posted: 14 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

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9.

Dynamics of Overnight Money Markets: What Has Changed at the Zero Lower Bound?

FEDS Notes No. 2015-12-21 https://doi.org/10.17016/2380-7172.1676
Posted: 31 Oct 2015
Elizabeth Klee, Zeynep Senyuz and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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10.

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 Board of Governors of the Federal Reserve System

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

11.

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 Board of Governors of the Federal Reserve System

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

12.

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 Board of Governors of the Federal Reserve System

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Estimation, Forecasting, Loss functions, Optimality, VaR

13.

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 Board of Governors of the Federal Reserve System

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Probability Contour Plot, Autocontour, Specification Test, Parameter Uncertainty

14.

Autocontour-Based Evaluation of Multivariate Predictive Densities

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

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