returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical … volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

movements in both equity and bond euro area markets, suggesting that integration has progressed since the introduction of the … equity markets are much lower and the increase is limited to large euro area economies only. In the second part of the paper …

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and … busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our … results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts …

correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase … of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First … model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …