Cyprus University of Technology - Department of Commerce, Finance and Shipping
Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle
European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off
Event studies, parametric test statistics, unrelated events, Markov switching regression model, Smooth Transition Auto Regressive (STAR) model
national stock markets, risk premium, skewness premium, skewed generalized t, downside risk, upside uncertainty
Oil price shocks, stock order flow imbalances, structural VAR
Flight-to-Safety; Risk-Return Trade-Off; European Markets; Stock Market; Bond Market
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Risk-return tradeoff; SGT distribution; GARCH-M
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