Real Estate Publications

Milena Petrova

Yildiray Yildirim

  • "Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices ", Real Estate Economics, forthcoming, (with Marius Ascheberg, Robert Jarrow, Holger Kraft)
  • "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance ", Real Estate Economics, forthcoming, (with Brad Case and Massimo Guidolin)
  • "Dynamic Correlations Among Asset Classes: REIT and Stock Returns", Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012, ( with Case, B., and Wang, Y. )
  • View all Yildiray Yildirim's publications.
  • "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence", The Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, 553-584, 2011, (with Agarwal, S., Ambrose, B., and Huang, H.)
  • "Price Discovery in Real Estate Markets: A Dynamic Analysis", The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 1-29, 2011, (with Yavas, A.)
  • "Estimating Default Probabilities Implicit in CMBS", Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009, (with Kau, J., and Keenan, D.)
  • "Credit Risk and Term Structure of Lease Rates: A Reduced Form Model", The Journal of Real Estate Finance and Economics, Vol. 37, N0 3, pp. 281-29, 2008, (with Ambrose, B.)
  • "Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring", The Journal of Real Estate Finance and Economics, Vol. 37, No. 2, pp. 93-11, 2008
  • "Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information", Real Estate Economics, Vol. 36, No. 3, pp. 441-4, 2008, (with Christopoulos, A., Jarrow, R.)
  • "Modeling Default Risk with Partial Information", Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, (with Cetin, U., Jarrow, R., Protter, P.)
  • "Pricing Treasury Inflation Protected Securities and Related Derivative Securities Using an HJM Model", Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, 2003, (with Jarrow R. )
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