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