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

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

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

We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to …

traditional carry trade returns, such as exchange rate volatility, fail to explain curvy trade returns in a linear asset pricing …