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Emre Yoldas

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First Name:Emre
Middle Name:
Last Name:Yoldas
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RePEc Short-ID:pyo92
Federal Reserve Board 20th and C Streets NW Washington DC 20551

Affiliation

Federal Reserve Board (Board of Governors of the Federal Reserve System)

Washington, District of Columbia (United States)
http://www.federalreserve.gov/



20th Street and Constitution Avenue, NW, Washington, DC 20551
RePEc:edi:frbgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).
  2. Shaghil Ahmed & Jasper Hoek & Steven B. Kamin & Ben Smith & Emre Yoldas, 2020. "The Impact of COVID-19 on Emerging Market Economies' Financial Conditions," FEDS Notes 2020-10-07-1, Board of Governors of the Federal Reserve System (U.S.).
  3. Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2016. "Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets," Finance and Economics Discussion Series 2016-084, Board of Governors of the Federal Reserve System (U.S.).
  4. Marius del Giudice Rodriguez & Emre Yoldas, 2016. "Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies," IFDP Notes 2016-12-30-2, Board of Governors of the Federal Reserve System (U.S.).
  5. Zeynep Senyuz & Emre Yoldas, 2015. "Financial Stress and Equilibrium Dynamics in Money Markets," Finance and Economics Discussion Series 2015-91, Board of Governors of the Federal Reserve System (U.S.).
  6. Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2015. "Dynamics of Overnight Money Markets: What Has Changed at the Zero Lower Bound?," FEDS Notes 2015-12-21, Board of Governors of the Federal Reserve System (U.S.).
  7. Deniz Baglan & Emre Yoldas, 2014. "Non-linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model," Finance and Economics Discussion Series 2014-51, Board of Governors of the Federal Reserve System (U.S.).
  8. Deniz Baglan & Emre Yoldas, 2013. "Government debt and macroeconomic activity: a predictive analysis for advanced economies," Finance and Economics Discussion Series 2013-05, Board of Governors of the Federal Reserve System (U.S.).
  9. Gloria Gonzalez-Rivera & Emre Yoldas, 2010. "Multivariate Autocontours for Specification Testing in Multivariate GARCH Models," Working Papers 201436, University of California at Riverside, Department of Economics.
  10. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2010. "What does financial volatility tell us about macroeconomic fluctuations?," MPRA Paper 34104, University Library of Munich, Germany, revised Jun 2011.

Articles

  1. Baglan Deniz & Yoldas Emre, 2016. "Public debt and macroeconomic activity: a predictive analysis for advanced economies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 301-324, June.
  2. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
  3. Zeynep Senyuz & Emre Yoldas & Ismail Onur Baycan, 2014. "Cyclical Dynamics of the Turkish Economy and the Stock Market," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 405-423, September.
  4. Baglan, Deniz & Yoldas, Emre, 2014. "Non-linearity in the inflation–growth relationship in developing economies: Evidence from a semiparametric panel model," Economics Letters, Elsevier, vol. 125(1), pages 93-96.
  5. Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013. "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 16-29.
  6. Yoldas Emre, 2012. "Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-37, December.
  7. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
  8. González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.
  9. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre, 2007. "Optimality of the RiskMetrics VaR model," Finance Research Letters, Elsevier, vol. 4(3), pages 137-145, September.

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.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Shaghil Ahmed & Jasper Hoek & Steven B. Kamin & Ben Smith & Emre Yoldas, 2020. "The Impact of COVID-19 on Emerging Market Economies' Financial Conditions," FEDS Notes 2020-10-07-1, Board of Governors of the Federal Reserve System (U.S.).

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Emerging markets

Working papers

  1. Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
    2. Richard H. Clarida, 2019. "Monetary Policy, Price Stability, and Equilibrium Bond Yields: Success and Consequences : a speech at the High-Level Conference on Global Risk, Uncertainty, And Volatility, co-sponsored by the Bank fo," Speech 1102, Board of Governors of the Federal Reserve System (U.S.).

  2. Shaghil Ahmed & Jasper Hoek & Steven B. Kamin & Ben Smith & Emre Yoldas, 2020. "The Impact of COVID-19 on Emerging Market Economies' Financial Conditions," FEDS Notes 2020-10-07-1, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Daniel Felix Ahelegbey & Paola Cerchiello & Roberta Scaramozzino, 2021. "Network Based Evidence of the Financial Impact of Covid-19 Pandemic," DEM Working Papers Series 198, University of Pavia, Department of Economics and Management.

  3. Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2016. "Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets," Finance and Economics Discussion Series 2016-084, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    2. W. Arrata & B. Nguyen & I. Rahmouni-Rousseau & M. Vari, 2017. "Eurosystem’s asset purchases and money market rates," Working papers 652, Banque de France.
    3. Jane E. Ihrig & Zeynep Senyuz & Gretchen C. Weinbach, 2020. "The Fed’s “Ample-Reserves” Approach to Implementing Monetary Policy," Finance and Economics Discussion Series 2020-022, Board of Governors of the Federal Reserve System (U.S.).
    4. Christopher S. Sutherland, 2017. "What Explains Month-End Funding Pressure in Canada?," Discussion Papers 17-9, Bank of Canada.
    5. Arrata, William & Nguyen, Benoît & Rahmouni-Rousseau, Imène & Vari, Miklos, 2020. "The scarcity effect of QE on repo rates: Evidence from the euro area," Journal of Financial Economics, Elsevier, vol. 137(3), pages 837-856.
    6. Michael Boutros & Jonathan Witmer, 2017. "Monetary Policy Implementation in a Negative Rate Environment," Staff Working Papers 17-25, Bank of Canada.
    7. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
    8. Corradin, Stefano & Eisenschmidt, Jens & Hoerova, Marie & Linzert, Tobias & Schepens, Glenn & Sigaux, Jean-David, 2020. "Money markets, central bank balance sheet and regulation," Working Paper Series 2483, European Central Bank.
    9. James D. Hamilton, 2019. "Perspectives on U.S. Monetary Policy Tools and Instruments," NBER Working Papers 25911, National Bureau of Economic Research, Inc.
    10. Sriya Anbil & Zeynep Senyuz, 2018. "The Regulatory and Monetary Policy Nexus in the Repo Market," Finance and Economics Discussion Series 2018-027, Board of Governors of the Federal Reserve System (U.S.).
    11. Michael Boutros & Jonathan Witmer, 2020. "Monetary Policy Implementation in a Negative Rate Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 441-470, March.

  4. Marius del Giudice Rodriguez & Emre Yoldas, 2016. "Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies," IFDP Notes 2016-12-30-2, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018. "Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets," Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
    2. Marc de la Barrera & Juraj Falath & Dorian Henricot & Jean-Alexandre Vaglio, 2017. "The Impact of Forward Guidance on Inflation Expectations: Evidence from the ECB," Working Papers 1010, Barcelona Graduate School of Economics.

  5. Zeynep Senyuz & Emre Yoldas, 2015. "Financial Stress and Equilibrium Dynamics in Money Markets," Finance and Economics Discussion Series 2015-91, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2016. "Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets," Finance and Economics Discussion Series 2016-084, Board of Governors of the Federal Reserve System (U.S.).
    2. Shanshan Jiang & Hong Fan, 2019. "Systemic Risk in the Interbank Market with Overlapping Portfolios," Complexity, Hindawi, vol. 2019, pages 1-12, April.
    3. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.

  6. Deniz Baglan & Emre Yoldas, 2014. "Non-linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model," Finance and Economics Discussion Series 2014-51, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Baglan, Deniz & Yoldas, Emre, 2014. "Non-linearity in the inflation–growth relationship in developing economies: Evidence from a semiparametric panel model," Economics Letters, Elsevier, vol. 125(1), pages 93-96.
    2. Thanh, Su Dinh, 2015. "Threshold effects of infl ation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 20(38), pages 41-48.
    3. Barrera-Chaupis, Carlos, 2014. "La relación entre los ciclos discretos en la inflación y el crecimiento: Perú 1993-2012 [The relationship between inflation's and growth's discrete cycles: Peru 1993-2012]," MPRA Paper 60959, University Library of Munich, Germany.
    4. Christoph S. Weber, 2016. "Central Bank Transparency and Inflation (Volatility) – New Evidence," Working Papers 163, Bavarian Graduate Program in Economics (BGPE).
    5. He, Qichun & Zhang, Zhixiang, 2019. "Inflation and Growth: An Inverted-U Relationship," MPRA Paper 97092, University Library of Munich, Germany.
    6. Shagas, Natalia (Шагас, Наталья) & Bojechkova, A.V. (Божечкова, А.В.) & Perevyshin, Y.N. (Перевышин, Ю.Н.) & Perevyshina, E.A. (Перевышина, Е.А.), 2016. "Modeling of State Influence on the Processes of Economic Growth [Моделирование Воздействия Государства На Процессы Экономического Роста]," Working Papers 2132, Russian Presidential Academy of National Economy and Public Administration.
    7. Yingtao Wu & Maogang Tang & Zhonghao Zhang & Baijun Wu, 2019. "Whether Urban Development and Ecological Protection Can Achieve a Win-Win Situation—The Nonlinear Relationship between Urbanization and Ecosystem Service Value in China," Sustainability, MDPI, Open Access Journal, vol. 11(12), pages 1-15, June.
    8. Tomáš Urbanovský, 2017. "Granger Causalities Between Interest Rate, Price Level, Money Supply and Real Gdp in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 745-757.
    9. Celil AYDIN, 2017. "The Inflation-Growth Nexus: A Dynamic Panel Threshold Analysis For D-8 Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 134-151, December.
    10. Polemis, Michael L. & Stengos, Thanasis, 2015. "Does market structure affect labour productivity and wages? Evidence from a smooth coefficient semiparametric panel model," Economics Letters, Elsevier, vol. 137(C), pages 182-186.
    11. Polterovich, V. & Popov, V., 2016. "Exchange Rate, Inflation and Industrial Policy," Journal of the New Economic Association, New Economic Association, vol. 29(1), pages 192-198.
    12. Tang, Maogang & Li, Xiuzhen & Zhang, Yun & Wu, Yingtao & Wu, Baijun, 2020. "From command-and-control to market-based environmental policies: Optimal transition timing and China’s heterogeneous environmental effectiveness," Economic Modelling, Elsevier, vol. 90(C), pages 1-10.
    13. Alexander William Salter & Thomas L. Hogan, 2019. "Expectations and NGDP Targeting: Supply-Side Problems with Demand-Side Policy," Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 34(Fall 2019), pages 89-106.
    14. Thomas L. Hogan & William J. Luther, 2020. "Suboptimal Equilibria from Nominal GDP Targeting," Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 35(Summer 20), pages 61-76.
    15. Thouraya Boujelbène Dammak & Kamel Helali, 2017. "Threshold Effects on the Relationship Between Inflation Rate and Economic Growth in Tunisia," International Economic Journal, Taylor & Francis Journals, vol. 31(2), pages 310-325, April.

  7. Deniz Baglan & Emre Yoldas, 2013. "Government debt and macroeconomic activity: a predictive analysis for advanced economies," Finance and Economics Discussion Series 2013-05, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Séverine MENGUY, 2019. "Does public indebtedness constrain or can it favor economic growth? A simple analytical modeling," Bulletin of Applied Economics, Risk Market Journals, vol. 6(2), pages 1-29.
    2. Balazs Egert, 2013. "The 90% Public Debt Threshold: The Rise & Fall of a Stylised Fact," William Davidson Institute Working Papers Series wp1048, William Davidson Institute at the University of Michigan.
    3. Balázs Égert, 2013. "The 90% public debt threshold: The rise and fall of a stylised fact," EconomiX Working Papers 2013-23, University of Paris Nanterre, EconomiX.
    4. Balázs Égert, 2015. "Public debt, economic growth and nonlinear effects: Myth or reality?," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 226-238.
    5. Mohammed Daher Alshammary & Zulkefly Abdul Karim & Norlin Khalid & Riayati Ahmad, 2020. "Debt-Growth Nexus in the MENA Region: Evidence from a Panel Threshold Analysis," Economies, MDPI, Open Access Journal, vol. 8(4), pages 1-12, November.
    6. Balazs Egert, 2013. "Public Debt, Economic Growth and Nonlinear Effects: Myth or Reality," CESifo Working Paper Series 4157, CESifo.
    7. Goldberg, Andrew & Romalis, John, 2015. "Public Debt and Growth in U.S. States," Working Papers 2015-10, University of Sydney, School of Economics.
    8. Balazs Egert, 2013. "The 90% Public Debt Threshold: The Rise and Fall of a Stylised Fact," CESifo Working Paper Series 4242, CESifo.
    9. Sokbae (Simon) Lee & Hyunmin Park & Myung Hwan Seo & Youngki Shin, 2014. "A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent," CeMMAP working papers CWP39/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Guillaume Cléaud & Francisco de Castro Fernández & Jorge Durán Laguna & Lucia Granelli & Martin Hallet & Anne Jaubertie & Carlos Maravall Rodriguez & Diana Ognyanova & Balazs Palvolgyi & Tsvetan Tsali, 2019. "Cruising at Different Speeds: Similarities and Divergences between the German and the French Economies," European Economy - Discussion Papers 2015 - 103, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    11. E. Tsanana & X. Chapsa & C. Katrakilidis, 2016. "Is growth corrupted or bureaucratic? Panel evidence from the enlarged EU," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3131-3147, July.

  8. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2010. "What does financial volatility tell us about macroeconomic fluctuations?," MPRA Paper 34104, University Library of Munich, Germany, revised Jun 2011.

    Cited by:

    1. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
    2. Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
    3. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
    4. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
    5. Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020. "Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model," Working Papers halshs-02443364, HAL.
    6. Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Post-Print hal-01385941, HAL.
    7. Borjigin, Sumuya & Yang, Yating & Yang, Xiaoguang & Sun, Leilei, 2018. "Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 107-115.
    8. John Cotter & Mark Hallam & Kamil Yilmaz, 2017. "Mixed-frequency macro-financial spillovers," Working Papers 201704, Geary Institute, University College Dublin.
    9. Amélie Charles & Olivier Darné & Fabien Tripier, 2017. "Uncertainty and the Macroeconomy," Post-Print hal-01549625, HAL.
    10. Vu, Nam T., 2015. "Stock market volatility and international business cycle dynamics: Evidence from OECD economies," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 1-15.
    11. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Interrelations Between External and Internal Macroeconomic Factors: Empirical Evidence on Some OECD Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 15(2), pages 147-174.
    12. Amélie Charles & Olivier Darné & Fabien Tripier, 2018. "Uncertainty and the macroeconomy: evidence from an uncertainty composite indicator," Applied Economics, Taylor & Francis Journals, vol. 50(10), pages 1093-1107, February.
    13. McIver, Ron P. & Kang, Sang Hoon, 2020. "Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    14. Li, Xiao-Ming & Qiu, Mei, 2021. "The joint effects of economic policy uncertainty and firm characteristics on capital structure: Evidence from US firms," Journal of International Money and Finance, Elsevier, vol. 110(C).
    15. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    16. C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
    17. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
    18. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.

Articles

  1. Baglan Deniz & Yoldas Emre, 2016. "Public debt and macroeconomic activity: a predictive analysis for advanced economies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 301-324, June.

    Cited by:

    1. Janice Boucher Breuer & John McDermott, 2019. "Debt And Depression," Contemporary Economic Policy, Western Economic Association International, vol. 37(4), pages 714-730, October.
    2. Malte Rengel, 2020. "Sustainability of European fiscal balances: Just a statistical artifact?," Empirical Economics, Springer, vol. 58(4), pages 1681-1712, April.

  2. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
    See citations under working paper version above.
  3. Zeynep Senyuz & Emre Yoldas & Ismail Onur Baycan, 2014. "Cyclical Dynamics of the Turkish Economy and the Stock Market," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 405-423, September.

    Cited by:

    1. La Saidi & Pasrun Adam & Rostin & Zainuddin Saenong & Muh. Yani Balaka & Gamsir & Asmuddin & Salwiah, 2017. "The Effect of Stock Prices and Exchange Rates on Economic Growth in Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 527-533.
    2. Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.

  4. Baglan, Deniz & Yoldas, Emre, 2014. "Non-linearity in the inflation–growth relationship in developing economies: Evidence from a semiparametric panel model," Economics Letters, Elsevier, vol. 125(1), pages 93-96.
    See citations under working paper version above.
  5. Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013. "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 16-29.

    Cited by:

    1. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
    2. Andrea Aguiar & Rick Bookstaber & Thomas Wipf, 2014. "A Map of Funding Durability and Risk," Working Papers 14-03, Office of Financial Research, US Department of the Treasury.
    3. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    4. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
    5. Doina PRODAN-PALADE, 2017. "Bankruptcy risk prediction models based on artificial neural networks," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 15(147), pages 418-418.
    6. Hamed Amini & Andreea Minca, 2014. "Inhomogeneous Financial Networks and Contagious Links," Working Papers hal-01081559, HAL.
    7. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    8. Rama Cont & Andreea Minca, 2016. "Credit default swaps and systemic risk," Annals of Operations Research, Springer, vol. 247(2), pages 523-547, December.
    9. Tareq Saeed & Elie Bouri & Dang Khoa Tran, 2020. "Hedging Strategies of Green Assets against Dirty Energy Assets," Energies, MDPI, Open Access Journal, vol. 13(12), pages 1-17, June.
    10. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
    11. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.

  6. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.

    Cited by:

    1. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    2. Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
    3. Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona Graduate School of Economics.
    4. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    5. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
    6. Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
    7. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
    8. Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
    9. Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    10. Ruiz Ortega, Esther & Luo, Yun & González-Rivera, Gloria, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    12. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    13. Veiga, Helena & Ruiz, Esther & González-Rivera, Gloria & Gonçalves Mazzeu, Joao Henrique, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. González-Rivera, Gloria & Sun, Yingying, 2015. "Generalized autocontours: Evaluation of multivariate density models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.

  7. González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.

    Cited by:

    1. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    2. Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona Graduate School of Economics.
    3. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
    4. Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
    5. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
    6. Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
    7. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
    8. Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
    9. Peña Sánchez de Rivera, Daniel & Bermejo Mancera, Miguel Ángel & Sánchez, Ismael, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," DES - Working Papers. Statistics and Econometrics. WS ws111813, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Gloria Gonzalez-Rivera & Emre Yoldas, 2010. "Multivariate Autocontours for Specification Testing in Multivariate GARCH Models," Working Papers 201436, University of California at Riverside, Department of Economics.
    11. Harvey, A., 2010. "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics 1040, Faculty of Economics, University of Cambridge.
    12. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    13. Veiga, Helena & Ruiz, Esther & González-Rivera, Gloria & Gonçalves Mazzeu, Joao Henrique, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. González-Rivera, Gloria & Sun, Yingying, 2015. "Generalized autocontours: Evaluation of multivariate density models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.

  8. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre, 2007. "Optimality of the RiskMetrics VaR model," Finance Research Letters, Elsevier, vol. 4(3), pages 137-145, September.

    Cited by:

    1. Marco Taboga, 2009. "The riskiness of corporate bonds," Temi di discussione (Economic working papers) 730, Bank of Italy, Economic Research and International Relations Area.
    2. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
    3. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    4. Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (8) 2012-05-15 2013-09-25 2014-08-25 2016-03-06 2016-09-04 2016-10-23 2017-01-15 2020-05-04. Author is listed
  2. NEP-MON: Monetary Economics (4) 2016-09-04 2016-10-23 2017-01-15 2020-05-04
  3. NEP-CBA: Central Banking (3) 2013-09-25 2017-01-15 2020-05-04
  4. NEP-FOR: Forecasting (3) 2011-10-22 2012-05-15 2013-09-25
  5. NEP-BEC: Business Economics (2) 2011-10-22 2012-05-15
  6. NEP-FDG: Financial Development & Growth (2) 2013-02-16 2014-08-25
  7. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  8. NEP-GRO: Economic Growth (1) 2014-08-25
  9. NEP-IFN: International Finance (1) 2020-05-04
  10. NEP-LAM: Central & South America (1) 2013-09-25
  11. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  12. NEP-NEU: Neuroeconomics (1) 2013-09-25
  13. NEP-PBE: Public Economics (1) 2013-02-16

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