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

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock … returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce … an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components …

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock … returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce … an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components …

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

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …