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

6

DOWNLOADS

341

CITATIONS

0

Scholarly Papers (6)

1.

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 106 (173,105)

Abstract:

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

2.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Number of pages: 39 Posted: 21 Nov 2014 Last Revised: 24 May 2017
Universitat Rovira Virgili, Aarhus University - CREATES, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 71 (179,282)

Abstract:

Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle

3.

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 25 (360,138)

Abstract:

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

4.

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 (547,435)
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Abstract:

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 Cyprus University of Technology
Downloads 0 (415,922)

Abstract:

Oil price shocks, stock order flow imbalances, structural VAR

6.

Skewness and the Relation between Risk and Return

Forthcoming in Management Science
Posted: 28 Apr 2015
Panayiotis Theodossiou and Christos S. Savva
Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping

Abstract:

Risk-return tradeoff; SGT distribution; GARCH-M