Details about Yildiray Yildirim

Access statistics for papers by Yildiray Yildirim.

Last updated 2022-01-19. Update your information in the RePEc Author Service.

Short-id: pyi169

Working Papers

2021

1. Does Bankruptcy Protection Affect Asset Prices? Evidence from changes in Homestead Exemptions
   Papers, arXiv.org

2018

2. Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns
   ERES, European Real Estate Society (ERES)

2017

3. The Hybrid Nature of Real Estate Trusts
   ERES, European Real Estate Society (ERES)

2015

4. The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties
   ERES, European Real Estate Society (ERES) View citations (1)
   See also Journal Article The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties, The Journal of Real Estate Finance and Economics, Springer (2018) View citations (4) (2018)

2009

5. Housing Market Microstructure
   Papers, arXiv.org

2004

6. Modeling Credit Risk with Partial Information
   Papers, arXiv.org View citations (37)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (37)
   See also Chapter MODELING CREDIT RISK WITH PARTIAL INFORMATION, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2008) View citations (1) (2008)

Journal Articles

2021

1. Distance to Headquarter and Real Estate Equity Performance
   The Journal of Real Estate Finance and Economics, 2021, 63, (3), 327-353 View citations (4)
2. Interest Rate Pass-Through and Consumption Response: The Deposit Channel
   The Review of Economics and Statistics, 2021, 103, (5), 922-938 View citations (1)
3. To accept or not to accept: Optimal strategy for sellers in real estate
   Real Estate Economics, 2021, 49, (S1), 268-296

2019

4. Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt
   Review of Finance, 2019, 23, (3), 659-695 View citations (1)

2018

5. Portfolio balance effects and the Federal Reserve’s large-scale asset purchases
   Studies in Economics and Finance, 2018, 35, (1), 2-24 View citations (1)
6. The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties
   The Journal of Real Estate Finance and Economics, 2018, 56, (1), 1-32 View citations (4)
   See also Working Paper The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties, ERES (2015) View citations (1) (2015)

2015

7. Default and prepayment modelling in participating mortgages
   Journal of Banking & Finance, 2015, 61, (C), 81-88 View citations (4)
8. The Impact of Policy Decisions on Global Liquidity During the Recent Financial Crisis
   International Journal of Finance & Economics, 2015, 20, (2), 178-189
9. The Subprime Virus
   Real Estate Economics, 2015, 43, (4), 891-915 View citations (3)

2014

10. Affine model of inflation-indexed derivatives and inflation risk premium
    European Journal of Operational Research, 2014, 235, (1), 159-169 View citations (2)
11. Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices
    Real Estate Economics, 2014, 42, (3), 627-661 View citations (1)
12. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
    Real Estate Economics, 2014, 42, (2), 279-342 View citations (12)

2013

13. Operational risk and equity prices
    Finance Research Letters, 2013, 10, (4), 157-168 View citations (1)

2012

14. Dynamic Correlations Among Asset Classes: REIT and Stock Returns
    The Journal of Real Estate Finance and Economics, 2012, 44, (3), 298-318 View citations (50)

2011

15. Housing prices and the optimal time-on-the-market decision
    Finance Research Letters, 2011, 8, (4), 171-179
16. Price Discovery in Real Estate Markets: A Dynamic Analysis
    The Journal of Real Estate Finance and Economics, 2011, 42, (1), 1-29 View citations (14)
17. The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence
    Journal of Financial and Quantitative Analysis, 2011, 46, (2), 553-584 View citations (10)

2010

18. The cost of operational risk loss insurance
    Review of Derivatives Research, 2010, 13, (3), 273-295 View citations (7)

2009

19. Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)
    The Journal of Real Estate Finance and Economics, 2009, 39, (2), 107-117 View citations (9)

2008

20. Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
    Real Estate Economics, 2008, 36, (3), 441-498 View citations (13)
21. Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach
    The Journal of Real Estate Finance and Economics, 2008, 37, (3), 281-298 View citations (6)
22. Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring
    The Journal of Real Estate Finance and Economics, 2008, 37, (2), 93-111 View citations (16)
23. Leverage, options liabilities, and corporate bond pricing
    Review of Derivatives Research, 2008, 11, (3), 245-276 View citations (2)
24. The dynamics of operational loss clustering
    Journal of Banking & Finance, 2008, 32, (12), 2655-2666 View citations (13)

2006

25. Modeling default risk: A new structural approach
    Finance Research Letters, 2006, 3, (3), 165-172 View citations (8)

2003

26. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Journal of Financial and Quantitative Analysis, 2003, 38, (2), 337-358 View citations (66)
    See also Chapter Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, World Scientific Book Chapters, 2008, 349-370 (2008) (2008)

Chapters

2008

1. MODELING CREDIT RISK WITH PARTIAL INFORMATION
   Chapter 23 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 579-590 View citations (1)
   See also Working Paper Modeling Credit Risk with Partial Information, arXiv.org (2004) View citations (37) (2004)
2. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
   Chapter 16 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 349-370
   See also Journal Article Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, Cambridge University Press (2003) View citations (66) (2003)