Christos S. Savva

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

Lecturer in Econometrics

Limassol, 3603

Cyprus

http://www.csavva.com

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

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    • Tel: 00357252349
    • Fax: 00357252674
SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 29,767

in Total Papers Citations

27

CROSSREF CITATIONS

4

Scholarly Papers (20)

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1.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Number of pages: 32 Posted: 21 Nov 2014 Last Revised: 09 Nov 2017
Nektarios Aslanidis, Charlotte Christiansen, Neophytos Lambertides and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 216 (225,555)

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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
Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 170 (279,486)
Citation 3

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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
Panayiotis Theodossiou, Dimitris A. Tsouknidis and Christos S. Savva
Ball State University, Athens University of Economics and Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 149 (312,078)
Citation 12

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4.

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

Downloads 146 (317,136)

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
University of Manchester - School of Social Sciences and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 128 (352,430)

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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: 90 Posted: 26 Sep 2022
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 18 (858,685)

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

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 126 (355,393)
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 109 (394,723)
Citation 7

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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 101 (416,487)
Citation 3

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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 87 (458,367)

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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
Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 82 (475,103)

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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
Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 81 (478,534)
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
Neophytos Lambertides, Christos S. Savva and Dimitris A. Tsouknidis
Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Athens University of Economics and Business
Downloads 67 (531,765)
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
Panayiotis C. Andreou, Christodoulos Louca and Christos S. Savva
Cyprus University of Technology, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 61 (557,789)

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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
Styliani Iris Krokida, Neophytos Lambertides, Christos S. Savva and Dimitris A. Tsouknidis
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 47 (627,390)

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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
Filippos Ioannides, Kyriaki Kosmidou, Christos S. Savva and Panayiotis Theodossiou
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 37 (686,657)

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

15.

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 33 (713,066)

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risk premium; skewness premium; skew distributions

16.

Sales and Promotions and the Great Recession Deflation

Number of pages: 55 Posted: 08 Mar 2021
Demetris Koursaros, Nektarios A. Michail, Niki Papadopoulou and Christos S. Savva
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 30 (734,374)

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

17.

To Create or to Redistribute? That is the Question

Number of pages: 80 Posted: 08 Mar 2021
Demetris Koursaros, Nektarios Michail, Niki Papadopoulou and Christos S. Savva
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 25 (771,953)

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

18.

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 23 (787,942)

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

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 10 (902,175)

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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