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

13

DOWNLOADS

636

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (13)

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 192 (169,535)

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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 148 (212,323)
Citation 1

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

3.

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 84 (317,404)
Citation 1

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

4.

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 50 (415,274)

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

5.

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 University of Piraeus - Department of Maritime Studies
Downloads 45 (433,903)
Citation 1

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Oil price shocks, stock order flow imbalances, structural VAR

6.

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 45 (433,903)

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

7.

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 Feb 2020
Cyprus University of Technology, University of Piraeus - Department of Maritime Studies and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 25 (527,522)

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8.

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, Universitat Rovira i Virgili - Department of Business and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 24 (533,459)

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

9.

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
Cyprus University of Technology, Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Finance and Shipping and University of Piraeus - Department of Maritime Studies
Downloads 21 (551,835)

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

10.

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 (694,702)
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co‐movement, order flow shock and sentiment, smooth transition model

11.

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 1 (694,702)
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12.

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

13.

A Coronavirus Asset Pricing Model: The Role of Skewness

Number of pages: 32
Manthos D. Delis, Christos S. Savva and Panayiotis Theodossiou
Montpellier Business School, Cyprus University of Technology - Department of Commerce, Finance and Shipping and Cyprus University of Technology
Downloads 0

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