Structural time series models are formulated in terms of components, such as trends, seasonals and cycles, that have a direct interpretation. As well as providing a framework for time series decomposition by signal extraction, they can be used for forecasting and for ‘nowcasting’. The...

This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...

This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...

Do expected asset returns vary through time? Why do some assets exhibit higher average returns than others? How can factors that drive expected returns in the time series be linked to factors that explain the cross-sectional dispersion in average returns? How do these findings affect...

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...