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The Relationship between Investors’ Risk Appetite Index and Fear Indices: An Empirical Application with ARDL in Turkey
16 references·0 citing·41 second hop
The Relationship between Investors’ Risk Appetite Index and Fear Indices: An Empirical Application with ARDL in Turkey (2022)The Relationship between Investors’ Risk …Modeling and predicting the CBOE market volatility index (2013)Modeling and predicting the C…Is VIX an investor fear gauge in BRIC equity markets? (2012)Is VIX an investor fear gauge…An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)An Autoregressive Distributed…Understanding the VIX (2009)Understanding the VIXExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …The Investor Fear Gauge (2000)The Investor Fear GaugeThe information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Limited Market Participation and Volatility of Asset Prices (1991)Limited Market Participation …Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimating long-run relationships from dynamic heterogeneous panels (1995)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Macroeconomics and Reality (1980)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Book Review: Time Series Analysis: Forecasting and Control (1977)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Liquidity and leverage (2008)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law, Finance, and Economic Growth in China (2003)The Theory of Economic Development (2003)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2012An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis3,965 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2000The Investor Fear Gauge1,112 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2009Understanding the VIX681 cited
  • 1991Limited Market Participation and Volatility of Asset Prices323 cited
  • 2013Modeling and predicting the CBOE market volatility index278 cited

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  • 2012Is VIX an investor fear gauge in BRIC equity markets?193 cited
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