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

21

DOWNLOADS

1,226

SSRN CITATIONS
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Top 36,723

in Total Papers Citations

18

CROSSREF CITATIONS

3

Scholarly Papers (21)

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 199 (209,832)

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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 153 (262,520)
Citation 2

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

3.

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
Cyprus University of Technology, Athens University of Economics and Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 123 (310,628)
Citation 11

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4.

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 Cyprus University of Technology
Downloads 114 (327,889)
Citation 1

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

5.

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

Number of pages: 92 Posted: 12 Jul 2021 Last Revised: 31 Dec 2021
Kyriakos C. Neanidis and Christos S. Savva
University of Manchester - School of Social Sciences and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 97 (365,232)

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

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 Cyprus University of Technology
Downloads 91 (380,113)
Citation 6

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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 80 (410,516)
Citation 1

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

8.

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 77 (419,544)

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

9.

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 67 (452,193)
Citation 1

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

10.

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 50 (518,363)
Citation 2

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Oil price shocks, stock order flow imbalances, structural VAR

11.

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 50 (518,363)

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

12.

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 35 (592,569)

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

13.

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
Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 21 (684,681)

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risk premium; skewness premium; skew distributions

14.

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 18 (707,782)

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

15.

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 17 (715,854)

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

16.

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 Cyprus University of Technology
Downloads 13 (758,871)

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

17.

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
Cyprus University of Technology, affiliation not provided to SSRN and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 12 (758,871)

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

18.

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 6 (815,245)

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

19.

Are There Still Portfolio Diversification Benefits in Eastern Europe? Aggregate Versus Sectoral Stock Market Data

The Manchester School, Vol. 79, Issue 6, pp. 1323-1352, 2011
Number of pages: 30 Posted: 20 Oct 2011
Nektarios Aslanidis and Christos S. Savva
Universitat Rovira Virgili and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 2 (858,145)

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20.

Sentiment, Order Imbalance, and Co‐Movement: An Examination of Shocks to Retail and Institutional Trading Activity

European Financial Management, Vol. 25, Issue 1, pp. 116-159, 2019
Number of pages: 44 Posted: 30 Jan 2019
University of Birmingham, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 1 (872,231)

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co‐movement, order flow shock and sentiment, smooth transition model

21.

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

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Risk-return tradeoff; SGT distribution; GARCH-M