Christos S. Savva

Cyprus University of Technology - Department of Commerce, Finance and Shipping

Lecturer in Econometrics

Limassol, 3603

Cyprus

http://www.csavva.com

SCHOLARLY PAPERS

20

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1,878

SSRN CITATIONS
Rank 30,195

SSRN RANKINGS

Top 30,195

in Total Papers Citations

34

CROSSREF CITATIONS

4

Scholarly Papers (20)

1.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Number of pages: 32 Posted: 21 Nov 2014 Last Revised: 09 Nov 2017
Universitat Rovira Virgili, Aarhus University - CREATES, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 225 (256,319)

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Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle

2.

Risk-Return Trade-Off for European Stock Markets

Number of pages: 58 Posted: 29 Jul 2013 Last Revised: 31 Jan 2015
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 180 (314,250)
Citation 3

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European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off

The Currency Composition Channel of Monetary Policy and the Role of Macroprudential Regulation

Number of pages: 90 Posted: 12 Jul 2021 Last Revised: 10 Jul 2022
Kyriakos C. Neanidis and Christos S. Savva
The University of Manchester - School of Social Sciences and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 134 (402,572)

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Foreign currency lending, Monetary policy, International spillovers, Trade linkages, Macroprudential policy, Emerging markets, Spatial econometrics

The Currency Composition Channel of Monetary Policy and the Role of Macroprudential Regulation

Number of pages: 48 Posted: 26 Sep 2022 Last Revised: 07 Jul 2024
Kyriakos C. Neanidis and Christos S. Savva
The University of Manchester - School of Social Sciences and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 31 (892,396)

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Reserve currency loans, monetary policy, dominant currency paradigm, international spillovers, trade linkages, macroprudential policy, emerging markets

The Currency Composition Channel of Monetary Policy and the Role of Macroprudential Regulation

Number of pages: 48 Posted: 15 May 2024
Kyriakos C. Neanidis and Christos S. Savva
The University of Manchester - School of Social Sciences and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 14 (1,069,708)

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Reserve currency loans, monetary policy, international spillovers, trade linkages, macroprudential policy

4.

Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments

Journal of the Royal Statistical Society, Series A, 2020, Vol. 183, Part 3, pp. 1 – 23.
Number of pages: 39 Posted: 27 Jan 2020 Last Revised: 05 Mar 2022
Ball State University, Athens University of Economics and Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 176 (320,555)
Citation 15

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5.

The Impact of the Coronavirus Crisis on the Market Price of Risk

Journal of Financial Stability, Vol. 53, 2021
Number of pages: 38 Posted: 09 Jun 2020 Last Revised: 31 Mar 2021
Manthos D. Delis, Christos S. Savva and Panayiotis Theodossiou
Audencia Business School, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Ball State University
Downloads 134 (401,632)
Citation 6

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Asset pricing, Risk and return, Skewness, Coronavirus crisis, Subprime crisis

6.

The Risk and Return Conundrum Explained: International Evidence

Journal of Financial Econometrics, June 2018, Vol. 16, Issue 3, pp. 486-521.
Number of pages: 55 Posted: 04 May 2018 Last Revised: 14 Oct 2018
Christos S. Savva and Panayiotis Theodossiou
Cyprus University of Technology - Department of Commerce, Finance and Shipping and Ball State University
Downloads 124 (426,285)
Citation 8

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national stock markets, risk premium, skewness premium, skewed generalized t, downside risk, upside uncertainty

7.

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Number of pages: 16 Posted: 02 Apr 2020
Nektarios Aslanidis, Aurelio F. Bariviera and Christos S. Savva
Universitat Rovira Virgili, Rovira i Virgili University - Department of Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 115 (451,037)
Citation 4

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Day-of-the-Week Effect, Dynamic Conditional Correlation, Bit-Coin, Volatility Seasonality

8.

Government Bond Market Risk-Return Trade-Off

Number of pages: 17 Posted: 20 Oct 2022 Last Revised: 21 Feb 2023
Charlotte Christiansen and Christos S. Savva
Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 103 (488,763)

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risk-return trade-off; government bond markets; good volatility; bad volatility

9.

Quantile Risk-Return Trade-Off

Number of pages: 22 Posted: 13 May 2021
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 95 (515,847)

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risk-return trade-off; quantile regressions; VIX; stock markets

10.

Flight-to-Safety and the Risk-Return Trade-Off: European Evidence

Number of pages: 16 Posted: 07 Nov 2017 Last Revised: 04 Sep 2019
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 90 (533,883)
Citation 1

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Flight-to-Safety; Risk-Return Trade-Off; European Markets; Stock Market; Bond Market

11.

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Number of pages: 26 Posted: 05 Apr 2017
Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Athens University of Economics and Business
Downloads 79 (577,864)
Citation 3

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Oil price shocks, stock order flow imbalances, structural VAR

12.

Short-Horizon Event Study Estimation with a STAR Model and Real Contaminated Events

Number of pages: 44 Posted: 30 Oct 2014 Last Revised: 24 Apr 2015
Cyprus University of Technology, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 69 (622,880)

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Event studies, parametric test statistics, unrelated events, Markov switching regression model, Smooth Transition Auto Regressive (STAR) model

13.

The Effects of Oil Price Shocks on the Prices of EU Emission Trading System and European Stock Returns

Number of pages: 24 Posted: 29 Jul 2019
Athens University of Economics and Business - Department of Accounting and Finance, Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Athens University of Economics and Business
Downloads 62 (658,194)

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oil price shocks; emissions trading system; structural VAR; European stock returns

14.

Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness and Kurtosis Components

Energy Economics, Forthcoming, Energy Economics, Vol. 95, No. 1, 2021
Number of pages: 50 Posted: 28 Jan 2021 Last Revised: 22 Apr 2022
Aristotle University of Thessaloniki, Greece, Aristotle University of Thessaloniki - Department of Economics, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Ball State University
Downloads 49 (733,529)

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Risk analysis; asymmetric volatility; pure and skewness price of risk; risk neutral equilibrium electricity prices; skewed generalized error distribution

15.

Stochastic Properties and Pricing of Bitcoin Using a GJR-GARCH Model with Conditional Skewness and Kurtosis Components

Number of pages: 35 Posted: 29 Mar 2022
Panayiotis Theodossiou, Polina Ellina and Christos S. Savva
Ball State University, affiliation not provided to SSRN and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 47 (746,418)
Citation 1

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Conditional skewness and kurtosis; Skewness price of risk; Upside and downside market probabilities; Skewed generalized error distribution.

16.

Market Price of Risk Estimation: Does Distribution Matter?

Communications in Statistics - Theory and Methods, Forthcoming
Number of pages: 33 Posted: 28 Jan 2021
Panayiotis Theodossiou and Christos S. Savva
Ball State University and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 47 (746,418)

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risk premium; skewness premium; skew distributions

17.

To Create or to Redistribute? That is the Question

Number of pages: 80 Posted: 08 Mar 2021
Cyprus University of Technology - Department of Commerce, Cyprus University of Technology, Central Bank of Cyprus and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 41 (788,176)

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investment, business cycles, asset redistribution, inequality, capital misallocation

18.

Sales and Promotions and the Great Recession Deflation

Number of pages: 55 Posted: 08 Mar 2021
Cyprus University of Technology - Department of Commerce, Central Bank of Cyprus, Central Bank of Cyprus and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 41 (788,176)

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Sales and Promotions, Deflation, Menu Cost, Discounts, CPI

19.

Price Decomposition and Asymmetry in Various Regimes of the Economy

Number of pages: 39 Posted: 19 Jul 2021 Last Revised: 23 Aug 2021
Demetris Koursaros, Nektarios Michail and Christos S. Savva
Cyprus University of Technology - Department of Commerce, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 22 (950,641)

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markup, marginal cost, Markov-switching, GIRF, asymmetry, inflation

20.

Skewness and the Relation between Risk and Return

Management Science, 2016, vol. 62, no. 6, 1598–1609.
Posted: 28 Apr 2015 Last Revised: 26 Apr 2018
Panayiotis Theodossiou and Christos S. Savva
Ball State University and Cyprus University of Technology - Department of Commerce, Finance and Shipping

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Risk-return tradeoff; SGT distribution; GARCH-M