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

-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … which the Bank of England releases one of its main publications, it can become stale over time. In the course of this … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices …

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

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …