RETurning to REITs
(With Tom Emmerling, Eunkyu Lee, and Crocker Liu)
Journal of Real Estate Research, accepted
Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities
(With Sumit Agarwal, Brent Ambrose, and Jian Zhang)
The Journal of Real Estate Finance and Economics, Vol 68, pg 684-714, 2024
Inflation-Adjusted Bonds, Swaps, and derivatives
(With Robert Jarrow)
Annual Review of Financial Economics, Vol 15, Number 1, November 2023.
A Reduced-Form Model for Lease Contract Valuation with Embedded Options
(With Chuang-Chang Chang, Hsiao-Wei Ho, and Henry Huangren Huang)
Review of Quantitative Finance and Accounting, Accepted, November 2023.
Liquidity Constraints, Consumption, and Debt Repayment: Evidence from Macroprudential Policy in Turkey
(With Sumit Agarwal, Muriz Hadzic, and Changcheng Song)
The Review of Financial Studies, Vol 36, Issue 10, October 2023.
Interest Rate Pass-Through and Consumption Response: the Deposit Channel
(With Sumit Agarwal, Souphala Chomsisengphet, and Jian Zhang)
The Review of Economics and Statistics, December, 103(5), pp. 922-938, 2021.
Distance to Headquarters and Real Estate Equity Performance
(With Stanimira Milcheva and Bing Zhu)
The Journal of Real Estate Finance and Economics, Vol. 63, Issue 3, pp. 327-353, 2021.
To Accept or Not to Accept: Optimal Strategy for Sellers in Real Estate
(With Tom Emmerling, and Abdullah Yavas)
Real Estate Economics, Vol. 49, Issue 1, pp. 268-296, 2021.
Capital Structure and the Substitutability versus Complementary Nature of Leases and Debt
(With Brent Ambrose, Thomas Emmerling, and Henry Huang)
Review of Finance, Volume 23, Issue 3, pp 659-695, 2019.
Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases
(With Tom Emmerling, and Robert Jarrow)
Studies in Economics and Finance, Volume 35, Issue 1, pp 2-24, 2018.
The Impact of Tenant Diversification on Commercial Mortgage Spread and Default Rates
(With Brent Ambrose and Michael Shafer)
The Journal of Real Estate Finance and Economics, Vol 56, Issue 1, pp 1-32, 2018.
The Subprime Virus
(With Sumit Agarwal and Brent Ambrose)
Real Estate Economics, Vol. 43, Issue 4, pp. 807- 1054, 2015.
Default and Prepayment Modeling in Participation Mortgages
(With Yusuf Varli)
Journal of Banking and Finance, Vol 61, No. 12, 81-88, 2015.
Drafting and Securitizing Participation Mortgages: a Re-Introduction
(With Spencer Coopchik)
The Pepperdine Journal of Business, Entrepreneurship & the Law, Vol 18, Issue 2, 468-497, 2015.
The Impact of Policy Decisions on Global Liquidity during the Recent Financial Crises
(With Sait Satiroglu, Emrah Sener, and Michael Shafer)
International Journal of Finance and Economics, Vol 20, No. 2, 178-189, 2015.
Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices
(With Marius Ascheberg, Robert Jarrow and Holger Kraft)
Real Estate Economics, Vol 42, No. 3, pp. 627-661, 2014.
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
(With Brad Case and Massimo Guidolin)
Real Estate Economics, Vol 42, No. 2, pp. 279-342, 2014.
Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium
(With Hsia-Wei Ho and Henry H. Huang)
European Journal of Operational Research, Vol. 235, Issue 1, pg. 159-169, May 2014.
Operational Risk and Equity Prices
(With Michael Shafer)
Finance Research Letters, Volume 10, Issue 4, pg 157-168, December 2013.
Dynamic Correlation Among Asset Classes: REIT and Stock Returns
(With Brad Case and Yawei Yang)
The Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012.
Housing Prices and the Optimal Time-on-the-Market Decision
(With Hazer Inaltekin, Robert Jarrow, and Mehmet Saglam)
Finance Research Letters, Volume 8, Issue 4, pp. 171-226, 2011.
The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence
(With Sumit Agarwal, Brent Ambrose and Hongming Huang)
Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, April 2011.
Price Discovery in Real Estate Markets: A Dynamic Analysis of the REIT Premium
(With Abdullah Yavas)
The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011.
The Cost of Operational Risk Loss Insurance
(With Jeffrey Oxman and Robert Jarrow)
Review of Derivatives Research, Volume 13, Issue 3, pp. 273-295, 2010.
Estimating Default Probabilities Implicit in CMBS
(With James Kau and Donald Keenan)
The Journal of Real Estate Finance and Economics, Vol 39, No. 2, 2009.
Leverage, Option Liabilities and Corporate Bond Pricing
(With Hongming Huang)
Review of Derivatives Research, Volume 11, Issue 3, pp. 245-276, 2008.
The Dynamics of Operational Loss Clustering
(With Anna Chernobai)
Journal of Banking & Finance, Vol 32/12, pp. 2655-2666, 2008.
Valuing TIPS Bond Futures in Jarrow-Yildirim Model
(With Hongming Huang)
Risk, June 2008.
Credit Risk and Term Structure of Lease Rates: A Reduced Form Model
(With Brent Ambrose)
The Journal of Real Estate Finance and Economic, Vol 37, No. 3, pp. 281-298, 2008.
Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
(With Andreas Christopoulos and Robert Jarrow)
Real Estate Economics, Vol 36, No. 3, pp. 441-498, 2008.
Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring
The Journal of Real Estate Finance and Economics, Vol 37, No. 2, 2008.
Modeling Default Risk: A New Structural Approach
Finance Research Letters, 3, pp. 165-172, 2006.
Modeling Default Risk with Partial Information
(With Umut Cetin, Robert Jarrow and Philip Protter)
Annals of Applied Probability , Vol. 14, No. 3, 1167-1178, 2004.
How Valuable is Credit Card Lending?
(With Arkadev Chatterjea, Robert Neal and Robert Jarrow)
Journal of Derivatives, Volume 11, Number 2, Pages 39 – 52, Winter 2003.
Pricing Treasury Inflation Protected Securities and Related Derivative securities using an HJM Model
(With Robert Jarrow)
Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, June 2003.
Estimating Default Probabilities Implicit in Equity Prices
(With Tibor Janosi and Robert Jarrow)
Journal of Investment Management, Vol. 1, No. 1, 2003.
Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
(With Tibor Janosi and Robert Jarrow)
Journal of Risk, Volume 5 / Number 1, Fall 2002.
Valuing Default Swaps when both Market and Credit Risk are Correlated
(With Robert Jarrow)
Journal of Fixed Income, 11 (4), March 2002.
(With Tom Emmerling, Eunkyu Lee, and Crocker Liu)
Journal of Real Estate Research, accepted
Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities
(With Sumit Agarwal, Brent Ambrose, and Jian Zhang)
The Journal of Real Estate Finance and Economics, Vol 68, pg 684-714, 2024
Inflation-Adjusted Bonds, Swaps, and derivatives
(With Robert Jarrow)
Annual Review of Financial Economics, Vol 15, Number 1, November 2023.
A Reduced-Form Model for Lease Contract Valuation with Embedded Options
(With Chuang-Chang Chang, Hsiao-Wei Ho, and Henry Huangren Huang)
Review of Quantitative Finance and Accounting, Accepted, November 2023.
Liquidity Constraints, Consumption, and Debt Repayment: Evidence from Macroprudential Policy in Turkey
(With Sumit Agarwal, Muriz Hadzic, and Changcheng Song)
The Review of Financial Studies, Vol 36, Issue 10, October 2023.
Interest Rate Pass-Through and Consumption Response: the Deposit Channel
(With Sumit Agarwal, Souphala Chomsisengphet, and Jian Zhang)
The Review of Economics and Statistics, December, 103(5), pp. 922-938, 2021.
Distance to Headquarters and Real Estate Equity Performance
(With Stanimira Milcheva and Bing Zhu)
The Journal of Real Estate Finance and Economics, Vol. 63, Issue 3, pp. 327-353, 2021.
To Accept or Not to Accept: Optimal Strategy for Sellers in Real Estate
(With Tom Emmerling, and Abdullah Yavas)
Real Estate Economics, Vol. 49, Issue 1, pp. 268-296, 2021.
Capital Structure and the Substitutability versus Complementary Nature of Leases and Debt
(With Brent Ambrose, Thomas Emmerling, and Henry Huang)
Review of Finance, Volume 23, Issue 3, pp 659-695, 2019.
Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases
(With Tom Emmerling, and Robert Jarrow)
Studies in Economics and Finance, Volume 35, Issue 1, pp 2-24, 2018.
The Impact of Tenant Diversification on Commercial Mortgage Spread and Default Rates
(With Brent Ambrose and Michael Shafer)
The Journal of Real Estate Finance and Economics, Vol 56, Issue 1, pp 1-32, 2018.
The Subprime Virus
(With Sumit Agarwal and Brent Ambrose)
Real Estate Economics, Vol. 43, Issue 4, pp. 807- 1054, 2015.
Default and Prepayment Modeling in Participation Mortgages
(With Yusuf Varli)
Journal of Banking and Finance, Vol 61, No. 12, 81-88, 2015.
Drafting and Securitizing Participation Mortgages: a Re-Introduction
(With Spencer Coopchik)
The Pepperdine Journal of Business, Entrepreneurship & the Law, Vol 18, Issue 2, 468-497, 2015.
The Impact of Policy Decisions on Global Liquidity during the Recent Financial Crises
(With Sait Satiroglu, Emrah Sener, and Michael Shafer)
International Journal of Finance and Economics, Vol 20, No. 2, 178-189, 2015.
Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices
(With Marius Ascheberg, Robert Jarrow and Holger Kraft)
Real Estate Economics, Vol 42, No. 3, pp. 627-661, 2014.
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
(With Brad Case and Massimo Guidolin)
Real Estate Economics, Vol 42, No. 2, pp. 279-342, 2014.
Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium
(With Hsia-Wei Ho and Henry H. Huang)
European Journal of Operational Research, Vol. 235, Issue 1, pg. 159-169, May 2014.
Operational Risk and Equity Prices
(With Michael Shafer)
Finance Research Letters, Volume 10, Issue 4, pg 157-168, December 2013.
Dynamic Correlation Among Asset Classes: REIT and Stock Returns
(With Brad Case and Yawei Yang)
The Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012.
Housing Prices and the Optimal Time-on-the-Market Decision
(With Hazer Inaltekin, Robert Jarrow, and Mehmet Saglam)
Finance Research Letters, Volume 8, Issue 4, pp. 171-226, 2011.
The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence
(With Sumit Agarwal, Brent Ambrose and Hongming Huang)
Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, April 2011.
Price Discovery in Real Estate Markets: A Dynamic Analysis of the REIT Premium
(With Abdullah Yavas)
The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011.
The Cost of Operational Risk Loss Insurance
(With Jeffrey Oxman and Robert Jarrow)
Review of Derivatives Research, Volume 13, Issue 3, pp. 273-295, 2010.
Estimating Default Probabilities Implicit in CMBS
(With James Kau and Donald Keenan)
The Journal of Real Estate Finance and Economics, Vol 39, No. 2, 2009.
Leverage, Option Liabilities and Corporate Bond Pricing
(With Hongming Huang)
Review of Derivatives Research, Volume 11, Issue 3, pp. 245-276, 2008.
The Dynamics of Operational Loss Clustering
(With Anna Chernobai)
Journal of Banking & Finance, Vol 32/12, pp. 2655-2666, 2008.
Valuing TIPS Bond Futures in Jarrow-Yildirim Model
(With Hongming Huang)
Risk, June 2008.
Credit Risk and Term Structure of Lease Rates: A Reduced Form Model
(With Brent Ambrose)
The Journal of Real Estate Finance and Economic, Vol 37, No. 3, pp. 281-298, 2008.
Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
(With Andreas Christopoulos and Robert Jarrow)
Real Estate Economics, Vol 36, No. 3, pp. 441-498, 2008.
Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring
The Journal of Real Estate Finance and Economics, Vol 37, No. 2, 2008.
Modeling Default Risk: A New Structural Approach
Finance Research Letters, 3, pp. 165-172, 2006.
Modeling Default Risk with Partial Information
(With Umut Cetin, Robert Jarrow and Philip Protter)
Annals of Applied Probability , Vol. 14, No. 3, 1167-1178, 2004.
- Reprinted, Financial Derivatives Pricing, 2008, World Scientific Publishing.
How Valuable is Credit Card Lending?
(With Arkadev Chatterjea, Robert Neal and Robert Jarrow)
Journal of Derivatives, Volume 11, Number 2, Pages 39 – 52, Winter 2003.
Pricing Treasury Inflation Protected Securities and Related Derivative securities using an HJM Model
(With Robert Jarrow)
Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, June 2003.
- Reprinted, Financial Derivatives Pricing, 2008, World Scientific Publishing.
Estimating Default Probabilities Implicit in Equity Prices
(With Tibor Janosi and Robert Jarrow)
Journal of Investment Management, Vol. 1, No. 1, 2003.
- Reprinted, The Credit Market Handbook: Advanced modeling Issues, ed. G. Fong, 2005, Wiley.
Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
(With Tibor Janosi and Robert Jarrow)
Journal of Risk, Volume 5 / Number 1, Fall 2002.
- Reprinted, Innovations in Risk Management, ed. P. Jorion, Risk Books: London, 2004.
Valuing Default Swaps when both Market and Credit Risk are Correlated
(With Robert Jarrow)
Journal of Fixed Income, 11 (4), March 2002.