past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …

accurate forecasts. Leverage is negatively linked to forecast error as is market volatility which has a differential impact on …

analyze the marginal contribution of pillar 3 exposure data to the quality of equity volatility forecasts for individual banks …. Our method uses (local in time) measures of risk factor risk using a multivariate stochastic volatility model for five … measures. One takes into account pillar 3 information, and the other one does not. Generally, we generate volatility forecasts …