In order to complement the macro-prudential framework introduced in Basel III, we propose a new breed of indicators based on the degree of leverage which helps track the time-varying dimension of bank systemic risk—a key aspect of financial stability. Given the new sources of liquidity...

The popularity of Kalman filter is increasing in financial studies, notably to estimate diffusion processes. In this article, we show how we can use it to forecast the volatility of returns and the price-earnings ratio of the S&P500. The Kalman filter is consequently very versatile when...

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986, 1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...