IDEAS home Printed from https://ideas.repec.org/e/c/pyi169.html
   My authors  Follow this author

Yildiray Yildirim

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2015. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," ERES eres2015_299, European Real Estate Society (ERES).

    Cited by:

    1. Chen Zheng & Bing Zhu, 2021. "Concentrate or diversify? The relationship between tenant concentration and REIT performance," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 899-927, October.
    2. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
    3. Eszter Baranyai & Ádám Banai, 2022. "Heat projections and mortgage characteristics: evidence from the USA," Climatic Change, Springer, vol. 175(3), pages 1-20, December.
    4. Ryan G. Chacon, 2023. "Tenant Concentration in REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 66(3), pages 636-679, April.

  2. Cetin, Umut & Jarrow, R. & Protter, P. & Yildirim, Y., 2004. "Modeling credit risk with partial information," LSE Research Online Documents on Economics 2840, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
    2. Alvis K. Lo, 2014. "Do Declines in Bank Health Affect Borrowers’ Voluntary Disclosures? Evidence from International Propagation of Banking Shocks," Journal of Accounting Research, Wiley Blackwell, vol. 52(2), pages 541-581, May.
    3. Florian Kiy & Theresa Zick, 2020. "Effects of declining bank health on borrowers’ earnings quality: evidence from the European sovereign debt crisis," Journal of Business Economics, Springer, vol. 90(4), pages 615-673, May.
    4. Hilscher, Jens & Raviv, Alon, 2014. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
    5. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
    6. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
    7. Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
    8. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
    9. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkiö, 2023. "Optional projection under equivalent local martingale measures," Finance and Stochastics, Springer, vol. 27(2), pages 435-465, April.
    10. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
    11. Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.
    12. Wang, Ashley W. & Zhang, Gaiyan, 2009. "Institutional ownership and credit spreads: An information asymmetry perspective," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 597-612, September.
    13. Younes Kchia & Martin Larsson, 2011. "Credit contagion and risk management with multiple non-ordered defaults," Papers 1104.5272, arXiv.org, revised Jun 2011.
    14. Dong, Xin & Zheng, Harry, 2015. "Intensity process for a pure jump Lévy structural model with incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1307-1322.
    15. Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.
    16. Caroline Hillairet & Ying Jiao, 2011. "Information Asymmetry In Pricing Of Credit Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 611-633.
    17. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
    18. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    19. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
    20. Seung-Yeal Ha & Kyoung-Kuk Kim & Kiseop Lee, 2015. "A mathematical model for multi-name credit based on community flocking," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 841-851, May.
    21. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
    22. Yildirim, Yildiray, 2006. "Modeling default risk: A new structural approach," Finance Research Letters, Elsevier, vol. 3(3), pages 165-172, September.
    23. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
    24. Di Bu & Simone Kelly & Yin Liao & Qing Zhou, 2018. "A hybrid information approach to predict corporate credit risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1062-1078, September.
    25. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    26. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
    27. Tingqiang Chen & Suyang Wang, 2023. "Incomplete information model of credit default of micro and small enterprises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2956-2974, July.
    28. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
    29. Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
    30. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 )," CARF F-Series CARF-F-115, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    31. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkio, 2020. "Optional projection under equivalent local martingale measures," Papers 2003.09940, arXiv.org.
    32. Oblój, Jan, 2007. "An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 409-431, April.
    33. Xin Dong & Harry Zheng, 2014. "Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information," Papers 1405.3767, arXiv.org.
    34. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2014. "Contagion effect on bond portfolio risk measures in a hybrid credit risk model," Finance Research Letters, Elsevier, vol. 11(2), pages 131-139.
    35. Sandrine Gumbel & Thorsten Schmidt, 2021. "Defaultable term structures driven by semimartingales," Papers 2103.01577, arXiv.org, revised Aug 2021.
    36. Yu, Fan, 2005. "Accounting transparency and the term structure of credit spreads," Journal of Financial Economics, Elsevier, vol. 75(1), pages 53-84, January.
    37. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time," CIRJE F-Series CIRJE-F-532, CIRJE, Faculty of Economics, University of Tokyo.

Articles

  1. Sumit Agarwal & Souphala Chomsisengphet & Yildiray Yildirim & Jian Zhang, 2021. "Interest Rate Pass-Through and Consumption Response: The Deposit Channel," The Review of Economics and Statistics, MIT Press, vol. 103(5), pages 922-938, December.

    Cited by:

    1. Sumit Agarwa & Yongheng Deng & Quanlin Gu & Jia He & Wenlan Qian & Yuan Ren, 2022. "Mortgage Debt, Hand-to-Mouth Households, and Monetary Policy Transmission [Policy intervention in debt renegotiation: evidence from the home affordable modification program]," Review of Finance, European Finance Association, vol. 26(3), pages 487-520.

  2. Stanimira Milcheva & Yildiray Yildirim & Bing Zhu, 2021. "Distance to Headquarter and Real Estate Equity Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 327-353, October.

    Cited by:

    1. Daniel Broxterman & Tingyu Zhou, 2023. "Information Frictions in Real Estate Markets: Recent Evidence and Issues," The Journal of Real Estate Finance and Economics, Springer, vol. 66(2), pages 203-298, February.
    2. Avis Devine & Isabelle Jolin & Nils Kok & Erkan Yönder, 2024. "How Gender Diversity Shapes Cities: Evidence from Risk Management Decisions in REITs," Journal of Business Ethics, Springer, vol. 189(4), pages 723-741, February.

  3. Brent W Ambrose & Thomas Emmerling & Henry H Huang & Yildiray Yildirim, 2019. "Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt," Review of Finance, European Finance Association, vol. 23(3), pages 659-695.

    Cited by:

    1. Cook, Douglas O. & Kieschnick, Robert & Moussawi, Rabih, 2021. "Operating lease obligations and corporate cash management," Journal of Corporate Finance, Elsevier, vol. 69(C).

  4. Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2018. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 1-32, January.
    See citations under working paper version above.
  5. Thomas Emmerling & Robert Jarrow & Yildiray Yildirim, 2018. "Portfolio balance effects and the Federal Reserve’s large-scale asset purchases," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 2-24, March.

    Cited by:

    1. Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).

  6. Sumit Agarwal & Brent W. Ambrose & Yildiray Yildirim, 2015. "The Subprime Virus," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(4), pages 891-915, November.

    Cited by:

    1. Agata M. Lozinskaia & Evgeniy M. Ozhegov & Alexander M. Karminsky, 2016. "Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages," HSE Working papers WP BRP 55/FE/2016, National Research University Higher School of Economics.
    2. Darren K. Hayunga & R. Kelley Pace & Shuang Zhu, 2019. "Borrower Risk and Housing Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 544-566, May.
    3. W. Scott Frame, 2015. "Introduction to Special Issue: Government Involvement in Residential Mortgage Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(4), pages 807-819, November.

  7. Varli, Yusuf & Yildirim, Yildiray, 2015. "Default and prepayment modelling in participating mortgages," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 81-88.

    Cited by:

    1. Yung-Tsung Lee & Tianxiang Shi, 2022. "Valuation of Reverse Mortgages with Surrender: A Utility Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 65(4), pages 593-621, November.
    2. Shi, Tianxiang & Lee, Yung-Tsung, 2021. "Prepayment risk in reverse mortgages: An intensity-governed surrender model," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 68-82.
    3. Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
    4. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).

  8. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.

    Cited by:

    1. Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
    2. F. Antonacci & C. Costantini & F. D'Ippoliti & M. Papi, 2020. "Inflation, ECB and short-term interest rates: A new model, with calibration to market data," Papers 2010.05462, arXiv.org.

  9. Marius Ascheberg & Robert A. Jarrow & Holger Kraft & Yildiray Yildirim, 2014. "Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 627-661, September.

    Cited by:

    1. Harnos László, 2018. "Cycles of the Housing Market in Hungary from the Economic Crisis until Today," Naše gospodarstvo/Our economy, Sciendo, vol. 64(2), pages 3-14, June.

  10. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.

    Cited by:

    1. Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
    2. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.
    4. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
    5. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    6. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    7. Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
    8. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.

  11. Shafer, Michael & Yildirim, Yildiray, 2013. "Operational risk and equity prices," Finance Research Letters, Elsevier, vol. 10(4), pages 157-168.

    Cited by:

    1. Wagner, Stephan M. & Mizgier, Kamil J. & Papageorgiou, Stylianos, 2017. "Operational disruptions and business cycles," International Journal of Production Economics, Elsevier, vol. 183(PA), pages 66-78.

  12. Bradford Case & Yawei Yang & Yildiray Yildirim, 2012. "Dynamic Correlations Among Asset Classes: REIT and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 298-318, April.

    Cited by:

    1. Frank Packer & Timothy Riddiough, 2012. "Securitisation and the Commercial Property Cycle," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Frank Packer & Callan Windsor (ed.),Property Markets and Financial Stability, Reserve Bank of Australia.
    2. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
    3. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
    4. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 567-586, May.
    5. John L. Glascock & Ran Lu-Andrews, 2018. "The Asymmetric Conditional Beta-Return Relations of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 231-245, August.
    6. KimHiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 37(1), pages 92-117, January.
    7. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    8. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
    9. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    10. Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
    11. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
    12. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 177-215.
    13. Oluwasegun B. Adekoya & Gabriel O. Oduyemi & Johnson A. Oliyide, 2021. "Price and volatility persistence of the US REITs market," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
    14. Walter I. Boudry & Robert A. Connolly & Eva Steiner, 2022. "What happens during flight to safety: Evidence from public and private real estate markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 147-172, March.
    15. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
    16. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    17. Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach," Working Papers 201436, University of Pretoria, Department of Economics.
    18. Martin Červený, 2018. "Should REIT Investors be Concerned about Changing Economic Conditions?," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(3), pages 21-35.
    19. Bruno Milani & Paulo Sergio Ceretta, 2013. "Do Brazilian REITs depend on Real Estate sector companies or Overall Market?," Economics Bulletin, AccessEcon, vol. 33(4), pages 2948-2957.
    20. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    21. Mine AKSOY & Veysel ULUSOY, 2015. "Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 107-128, March.
    22. Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016. "The Impacts of the 2008 and 2011 Crises on the Japan REIT Market," MPRA Paper 73463, University Library of Munich, Germany.
    23. Yen-Hsien Lee & Hao Fang & Wei-Fan SU, 2014. "Effectiveness of Portfolio Diversification and the Dynamic Relationship between Stock and Currency Markets in the Emerging Eastern European and Russian Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 296-311, September.
    24. George Milunovich & Stefan Trück, 2013. "Regional and global contagion in real estate investment trusts," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(1), pages 53-77, February.
    25. Carmelo Giaccotto & Erasmo Giambona & Yanhui Zhao, 2021. "Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 493-524, October.
    26. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    27. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2021. "New test of contagion with application on the Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 564(C).
    28. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    29. Bao, Helen X.H. & Gong, Cynthia Miao, 2017. "Reference-dependent analysis of capital structure and REIT performance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 38-49.
    30. Frank Packer & Timothy Riddiough & Jimmy Shek, 2014. "A Global Tour of Commercial Property and REIT Markets," International Real Estate Review, Global Social Science Institute, vol. 17(2), pages 241-274.
    31. Yen-Hsien Lee, 2014. "An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 165-180, May.
    32. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    33. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 473-492, August.
    34. Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018. "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 151-165.
    35. Hongfei Tang & Kangzhen Xie & Xiaoqing Eleanor Xu, 2022. "Real estate as a new equity market sector: Market responses and return comovement," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(2), pages 431-467, June.
    36. Simon Stevenson, 2016. "Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets," Journal of Real Estate Research, American Real Estate Society, vol. 38(4), pages 595-624.
    37. Massimo Guidolin & Manuela Pedio, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    38. Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu, 2017. "Dynamic Portfolio Strategy Using Clustering Approach," PLOS ONE, Public Library of Science, vol. 12(1), pages 1-23, January.
    39. John L. Glascock & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2018. "Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 274-302, February.
    40. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    41. Metin Ilbasmis & Marc Gronwald & Yuan Zhao, 2018. "Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy," CESifo Working Paper Series 7015, CESifo.
    42. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.
    43. Kim Hiang Liow & Xiaoxia Zhou & Qing Ye, 2015. "Correlation Dynamics and Determinants in International Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 537-585, September.
    44. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies," Journal of Property Research, Taylor & Francis Journals, vol. 36(1), pages 27-58, January.

  13. Agarwal, Sumit & Ambrose, Brent W. & Huang, Hongming & Yildirim, Yildiray, 2011. "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(2), pages 553-584, April.

    Cited by:

    1. Seko, Miki & Sumita, Kazuto & Yoshida, Jiro, 2012. "Downward-sloping term structure of lease rates: a puzzle," MPRA Paper 37395, University Library of Munich, Germany.
    2. Jonathan A. Wiley, 2014. "Gross Lease Premiums," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 606-626, September.
    3. Andrikopoulos, Athanasios & Markellos, Raphael N., 2015. "Dynamic interaction between markets for leasing and selling automobiles," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 260-270.
    4. Rajesh, R. & Agariya, Arun Kumar & Rajendran, Chandrasekharan, 2021. "Predicting resilience in retailing using grey theory and moving probability based Markov models," Journal of Retailing and Consumer Services, Elsevier, vol. 62(C).
    5. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
    6. Ahmed Al sharif & Ruwen Qin, 2015. "Double-sided price adjustment flexibility with a preemptive right to exercise," Annals of Operations Research, Springer, vol. 226(1), pages 29-50, March.
    7. Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024. "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 841-864, February.
    8. Barbora Janasová, 2013. "Assessment of the New IASB Lease Accounting Model from Lessees Perspectives [Vyhodnocení přístupu k nové standardizaci leasingu podle IASB]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2013(4), pages 110-127.

  14. Abdullah Yavas & Yildiray Yildirim, 2011. "Price Discovery in Real Estate Markets: A Dynamic Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 1-29, January.

    Cited by:

    1. Ryan G. Chacon & Dan W. French & Kuntara Pukthuanthong, 2021. "The Information Content of NAV Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 598-629, November.
    2. Martin Hoesli & Elias Oikarinen, 2012. "Are REITs real estate? Evidence from international sector level data," ERES eres2012_232, European Real Estate Society (ERES).
    3. William Mingyan Cheung & James Chicheong Lei & Desmond Tsang, 2016. "Does Property Transaction Matter in the Price Discovery of Real Estate Markets?," International Real Estate Review, Global Social Science Institute, vol. 19(1), pages 27-49.
    4. Huang, Naqun & Yang, Zhenlin, 2021. "Spatial dynamic models with short panels: Evaluating the impact of purchase restrictions on housing prices," Economic Modelling, Elsevier, vol. 103(C).
    5. Ryan Chacon & Dan French & Kuntara Pukthuanthong, 2018. "The Information Content of Analysts' Net Asset Value Estimates: The Case of Real Estate Investment Trusts (REITs)," ERES eres2018_82, European Real Estate Society (ERES).
    6. Ying Fan & Abdullah Yavas, 2023. "Price Dynamics in Public and Private Commercial Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 150-190, July.
    7. Martin Hoesli & Elias Oikarinen, 2011. "Are Reits Real Estate? Evidence from Sector Level Data," ERES eres2011_221, European Real Estate Society (ERES).
    8. Dan W. French & S. McKay Price, 2018. "Depreciation-Related Capital Gains, Differential Tax Rates, and the Market Value of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 43-63, July.
    9. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
    10. Huerta-Sanchez, Daniel & Jafarinejad, Mohammad & Kim, Dongshin & Soyeh, Kenneth W., 2020. "Disentangling bubbles in equity REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 357-367.
    11. Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019. "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, vol. 43(C), pages 37-55.
    12. Mingyan Cheung & Chicheong Lei, 2014. "Does Property Transaction Matter in Price Discovery in Real Estate Markets? Evidence from International Firm Level Data," ERES eres2014_195, European Real Estate Society (ERES).
    13. James Shilling & C. Sirmans & Barrett Slade, 2013. "Who Says there is a High Consensus Among Analysts when Market Uncertainty is High? Some New Evidence from the Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 688-718, November.

  15. Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010. "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, vol. 13(3), pages 273-295, October.

    Cited by:

    1. Yuqian Xu & Lingjiong Zhu & Michael Pinedo, 2020. "Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls," Operations Research, INFORMS, vol. 68(6), pages 1804-1825, November.
    2. Al-Amri, Khalid & Davydov, Yevgeniy, 2016. "Testing the effectiveness of ERM: Evidence from operational losses," Journal of Economics and Business, Elsevier, vol. 87(C), pages 70-82.
    3. Valérie Chavez-Demoulin & Paul Embrechts & Marius Hofert, 2016. "An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 735-776, September.
    4. Marinel Nedeluţ & Corina Frăsineanu, 2013. "Insurance Market. General Considerations of Insurances in Romania," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 13(1), pages 191-204.
    5. Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
    6. Yuqian Xu & Tom Fangyun Tan & Serguei Netessine, 2022. "The Impact of Workload on Operational Risk: Evidence from a Commercial Bank," Management Science, INFORMS, vol. 68(4), pages 2668-2693, April.
    7. Shafer, Michael & Yildirim, Yildiray, 2013. "Operational risk and equity prices," Finance Research Letters, Elsevier, vol. 10(4), pages 157-168.

  16. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.

    Cited by:

    1. Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, University of Reading.
    2. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
    3. Darren K. Hayunga & R. Kelley Pace & Shuang Zhu, 2019. "Borrower Risk and Housing Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 544-566, May.
    4. Samit Ahlawat, 2019. "Evaluation of Mortgage Default Characteristics Using Fannie Mae’s Loan Performance Data," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 589-616, November.
    5. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
    6. Michele Leonardo Bianchi & Agostino Chiabrera, 2012. "Italian real estate investment funds: market structure and risk measurement," Questioni di Economia e Finanza (Occasional Papers) 120, Bank of Italy, Economic Research and International Relations Area.
    7. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    8. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.

  17. Hongming Huang & Yildiray Yildirim, 2008. "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, vol. 11(3), pages 245-276, October.

    Cited by:

    1. Yalin Gündüz & Marliese Uhrig-Homburg, 2014. "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
    2. Issouf Soumaré & Ernest Tafolong, 2017. "Risk-based capital for credit insurers with business cycles and dynamic leverage," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 597-612, April.

  18. Brent Ambrose & Yildiray Yildirim, 2008. "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 281-298, October.

    Cited by:

    1. Seko, Miki & Sumita, Kazuto & Yoshida, Jiro, 2012. "Downward-sloping term structure of lease rates: a puzzle," MPRA Paper 37395, University Library of Munich, Germany.
    2. Franco, Sofia F. & Cutter, W. Bowman, 2022. "The determinants of non-residential real estate values with special reference to environmental local amenities," Ecological Economics, Elsevier, vol. 201(C).
    3. Jonathan A. Wiley, 2014. "Gross Lease Premiums," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 606-626, September.
    4. Andrikopoulos, Athanasios & Markellos, Raphael N., 2015. "Dynamic interaction between markets for leasing and selling automobiles," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 260-270.
    5. Clark, David & Pennington-Cross, Anthony, 2016. "Determinants of industrial property rents in the Chicago metropolitan area," Regional Science and Urban Economics, Elsevier, vol. 56(C), pages 34-45.
    6. Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024. "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 841-864, February.

  19. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.

    Cited by:

    1. Xingnan Jiang, 2018. "Operational risk and its impact on North American and British banks," Applied Economics, Taylor & Francis Journals, vol. 50(8), pages 920-933, February.
    2. Biell, Lis & Muller, Aline, 2013. "Sudden crash or long torture: The timing of market reactions to operational loss events," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2628-2638.
    3. Al-Amri, Khalid & Davydov, Yevgeniy, 2016. "Testing the effectiveness of ERM: Evidence from operational losses," Journal of Economics and Business, Elsevier, vol. 87(C), pages 70-82.
    4. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    5. Wang, Tawei & Hsu, Carol, 2013. "Board composition and operational risk events of financial institutions," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2042-2051.
    6. Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
    7. Roc'io Paredes & Marco Vega, 2020. "An internal fraud model for operational losses in retail banking," Papers 2002.03235, arXiv.org.
    8. Dionne, Georges & Saissi-Hassani, Samir, 2016. "Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Working Papers 15-3, HEC Montreal, Canada Research Chair in Risk Management.
    9. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeLi, 2010. "Pricing catastrophe options with stochastic claim arrival intensity in claim time," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 24-32, January.
    10. Fiordelisi, Franco & Soana, Maria-Gaia & Schwizer, Paola, 2013. "The determinants of reputational risk in the banking sector," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1359-1371.
    11. Dominique Guegan & Bertrand Hassani, 2013. "Using a time series approach to correct serial correlation in operational risk capital calculation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00771387, HAL.
    12. Roland Gillet & Georges Hübner & Séverine Plunus, 2010. "Operational risk and reputation in the financial industry," ULB Institutional Repository 2013/142646, ULB -- Universite Libre de Bruxelles.
    13. Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.

  20. Yildiray Yildirim, 2008. "Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 93-111, August.

    Cited by:

    1. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013. "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 787-813, November.
    2. Pavlos Almanidis & Robin C. Sickles, 2016. "Banking Crises, Early Warning Models, and Efficiency," International Series in Operations Research & Management Science, in: Juan Aparicio & C. A. Knox Lovell & Jesus T. Pastor (ed.), Advances in Efficiency and Productivity, chapter 0, pages 331-364, Springer.
    3. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
    4. Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2018. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 1-32, January.
    5. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
    6. An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
    7. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    8. McCollum, Meagan & Milcheva, Stanimira, 2023. "How ‘bad’ is renter protection for institutional investment in multifamily housing?," Journal of Housing Economics, Elsevier, vol. 59(PA).
    9. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
    10. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.
    11. Liu, Fan & Hua, Zhongsheng & Lim, Andrew, 2015. "Identifying future defaulters: A hierarchical Bayesian method," European Journal of Operational Research, Elsevier, vol. 241(1), pages 202-211.
    12. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn C., 2012. "Mixture cure models in credit scoring: If and when borrowers default," European Journal of Operational Research, Elsevier, vol. 218(1), pages 132-139.
    13. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
    14. Steven Devaney & David Scofield & Fangchen Zhang, 2019. "Only the Best? Exploring Cross-Border Investor Preferences in US Gateway Cities," The Journal of Real Estate Finance and Economics, Springer, vol. 59(3), pages 490-513, October.

  21. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.

    Cited by:

    1. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
    2. Peimin Chen & Igor Kozhanov & Peng Liu & Chunchi Wu, 2021. "Commercial Mortgage‐Backed Security Pricing with Real Estate Liquidity Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 490-525, September.
    3. Brent Ambrose & Yildiray Yildirim, 2008. "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 281-298, October.
    4. Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2018. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 1-32, January.
    5. Christopoulos, Andreas D. & Barratt, Joshua G., 2016. "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, vol. 19(C), pages 228-234.
    6. Stephen L. Buschbom & James B. Kau & Donald C. Keenan & Constantine Lyubimov, 2021. "Delinquencies, Default and Borrowers' Strategic Behavior toward the Modification of Commercial Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(3), pages 936-967, September.
    7. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    8. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.
    9. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, vol. 8(1), pages 2-7, March.
    10. Yildiray Yildirim, 2008. "Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 93-111, August.
    11. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
    12. Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024. "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 841-864, February.

  22. Yildirim, Yildiray, 2006. "Modeling default risk: A new structural approach," Finance Research Letters, Elsevier, vol. 3(3), pages 165-172, September.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
    3. Paolo Panteghini, 2008. "Corporate Debt, Hybrid Securities and the Effective Tax Rate," CESifo Working Paper Series 2329, CESifo.
    4. Zhenyu Cui, 2013. "Stochastic areas of diffusions and applications in risk theory," Papers 1312.0283, arXiv.org.
    5. Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin, 2012. "A jump-diffusion approach to modelling vulnerable option pricing," Finance Research Letters, Elsevier, vol. 9(1), pages 48-56.
    6. Makarov, R. & Metzler, A. & Ni, Z., 2015. "Modelling default risk with occupation times," Finance Research Letters, Elsevier, vol. 13(C), pages 54-65.
    7. Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
    8. Etienne Chevalier & Vathana Ly Vath & Alexandre Roch, 2020. "Optimal Dividend and Capital Structure with Debt Covenants," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 535-565, November.

  23. Jarrow, Robert & Yildirim, Yildiray, 2003. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 337-358, June.

    Cited by:

    1. Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies," CARF F-Series CARF-F-196, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Apr 2011.
    2. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
    3. Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Asset Accumulation and Portfolio Decisions Under Inflation Risk," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 139-177, Springer.
    4. Hinnerich, Mia, 2008. "Inflation-indexed swaps and swaptions," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2293-2306, November.
    5. Ewald, Christian-Oliver & Geißler, Johannes, 2017. "Optimal contracts for central bankers: Calls on inflation," Applied Mathematics and Computation, Elsevier, vol. 292(C), pages 57-62.
    6. Fabio Mercurio, 2005. "Pricing inflation-indexed derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 289-302.
    7. Lixin Wu, 2013. "Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy," Papers 1302.0574, arXiv.org.
    8. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    9. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies Under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Chang Guo & Xiaoyang Zhuo & Corina Constantinescu & Olivier Menoukeu Pamen, 2018. "Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1477-1502, December.
    11. Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
    12. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series 2012-06, Board of Governors of the Federal Reserve System (U.S.).
    13. Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
    14. Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2013. "Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets," MPRA Paper 49687, University Library of Munich, Germany.
    15. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
    16. Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
    17. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.
    18. Scott E. Hein & Jeffrey M. Mercer, 2003. "Are TIPS really tax disadvantaged? Rethinking the tax treatment of U.S. Treasury Inflation Indexed Securities," FRB Atlanta Working Paper 2003-9, Federal Reserve Bank of Atlanta.
    19. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.
    20. Stefania D'Amico & Don H. Kim & Min Wei, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2014-24, Board of Governors of the Federal Reserve System (U.S.).
    21. Hidenori Futami, 2009. "Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 347-369, December.
    22. Jonas Alm & Filip Lindskog, 2015. "Valuation of Index-Linked Cash Flows in a Heath–Jarrow–Morton Framework," Risks, MDPI, vol. 3(3), pages 1-27, September.
    23. Ricardo Gimeno & Alfredo Ibáñez, 2017. "The eurozone (expected) inflation: an option’s eyes view," Working Papers 1722, Banco de España.
    24. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
    25. Olesya V. Grishchenko & Joel M. Vanden & Jianing Zhang, 2013. "The informational content of the embedded deflation option in TIPS," Finance and Economics Discussion Series 2013-24, Board of Governors of the Federal Reserve System (U.S.).
    26. Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies," CIRJE F-Series CIRJE-F-698, CIRJE, Faculty of Economics, University of Tokyo.
    27. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
    28. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
    29. Li, Kai, 2019. "Portfolio selection with inflation-linked bonds and indexation lags," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    30. Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
    31. Joseph G. Haubrich & George Pennacchi & Peter H. Ritchken, 2008. "Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Papers (Old Series) 0810, Federal Reserve Bank of Cleveland.
    32. Stefan Waldenberger, 2015. "The affine inflation market models," Papers 1503.04979, arXiv.org.
    33. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
    34. Carl Chiarella & Chih-Ying Hsiao, 2005. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Research Paper Series 171, Quantitative Finance Research Centre, University of Technology, Sydney.
    35. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Risks, MDPI, vol. 6(1), pages 1-39, March.
    36. Gabriele Sarais & Damiano Brigo, 2014. "Inflation securities valuation with macroeconomic-based no-arbitrage dynamics," Papers 1403.7799, arXiv.org, revised Jul 2014.
    37. Tiong, Serena, 2013. "Pricing inflation-linked variable annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 77-86.
    38. Ricardo Selves & Marcin Stamirowski, 2011. "Including linkers in a sovereign bond portfolio: an HJM approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 111-137, Bank for International Settlements.
    39. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
    40. Olesya V. Grishchenko & Joel M. Vanden & Jianing Zhang, 2011. "The information content of the embedded deflation pption in TIPS," Finance and Economics Discussion Series 2011-58, Board of Governors of the Federal Reserve System (U.S.).
    41. Kevin Fergusson, 2020. "Forecasting inflation using univariate continuous‐time stochastic models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 37-46, January.
    42. Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.
    43. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
    44. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    45. Schmidt, Wolfgang M., 2011. "Interest rate term structure modelling," European Journal of Operational Research, Elsevier, vol. 214(1), pages 1-14, October.
    46. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
    47. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    48. Li, Danping & Rong, Ximin & Zhao, Hui, 2015. "Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 28-44.
    49. Guan, Guohui & Liang, Zongxia, 2014. "Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 105-115.
    50. Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
    51. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
    52. F. Antonacci & C. Costantini & F. D'Ippoliti & M. Papi, 2020. "Inflation, ECB and short-term interest rates: A new model, with calibration to market data," Papers 2010.05462, arXiv.org.
    53. Yue Zhou, 2020. "Rational Kernel on Pricing Models of Inflation Derivatives," Papers 2001.05124, arXiv.org, revised Jan 2020.
    54. Chuang, Ming-Che & Wen, Chin-Hsiang & Lin, Shih-Kuei, 2020. "Valuation and empirical analysis of currency options," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 71-91.
    55. Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024. "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 841-864, February.
    56. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Cahiers de la Maison des Sciences Economiques b04050, Université Panthéon-Sorbonne (Paris 1).
    57. Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.

Chapters

  1. Robert Jarrow & Yildiray Yildirim, 2008. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  2. Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008. "Modeling Credit Risk With Partial Information," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.