Cyprus University of Technology - Department of Commerce, Finance and Shipping
European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off
Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle
Event studies, parametric test statistics, unrelated events, Markov switching regression model, Smooth Transition Auto Regressive (STAR) model
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-9957.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
national stock markets, risk premium, skewness premium, skewed generalized t, downside risk, upside uncertainty
Flight-to-Safety; Risk-Return Trade-Off; European Markets; Stock Market; Bond Market
Oil price shocks, stock order flow imbalances, structural VAR
Risk-return tradeoff; SGT distribution; GARCH-M
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.437 seconds