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
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-9957.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Oil price shocks, stock order flow imbalances, structural VAR
Risk-return tradeoff; SGT distribution; GARCH-M
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.238 seconds