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

9

DOWNLOADS

522

CITATIONS

0

Scholarly Papers (9)

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 185 (159,390)

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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 145 (196,550)

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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 67 (329,821)

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

4.

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 44 (400,255)

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

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 41 (411,236)

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Oil price shocks, stock order flow imbalances, structural VAR

6.

Flight-to-Safety and the Risk-Return Trade-Off: European Evidence

Number of pages: 15 Posted: 07 Nov 2017 Last Revised: 25 Nov 2018
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 38 (422,854)

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

7.

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 (633,584)
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co‐movement, order flow shock and sentiment, smooth transition model

8.

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 (633,584)
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9.

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