I build a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model to investigate the effect of a heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy. The imperfect financial market condition is...

We introduce a dynamic noisy rational expectations model in which information diffuses through a general network of agents. In equilibrium, agents who are more closely connected have more similar period-by-period trades, and an agent's profitability is determined by a centrality measure that is...

We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide cross-section of assets. We use elastic net estimation on a large, restricted VAR of realized measures to model these volatility dynamics. We show that despite the many parameters...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...