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

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 …

correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase … model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests …What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication …

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by … showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices … into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

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. - Dynamic …

for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …