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Christos S. Savva’s Site |
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Research |
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Research interests: Nonlinear time series models, Financial econometrics, Business cycle modelling, GARCH and volatility models, Productivity and Efficiency. |
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Osborn, D.R., Savva, C.S., and Gill, L.(2008). “Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US”. Journal of Financial Econometrics, Vol. 6, No. 3, 307-325. click here for the paper, click here for the working paper |
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Savva, C.S., (forthcoming). “International Stock Markets Interactions and Conditional Correlations”. Journal of International Financial Markets, Institutions and Money. click here for the working paper |
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Savva, C.S., Osborn, D.R., and Gill, L, (forthcoming). “Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro”. Applied Financial Economics. click here for the working paper |
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