This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...

Realized beta : persistence and predictability / Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu -- Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting / Valeriy V. Gavrishchaka -- Overlaying time scales in financial volatility data...

Analytical framework in assessing systemic financial market infrastructure / by Nephil Matangi Maskay -- Analytical framework in assessing systemic financial market infrastructure of India / by Edwin Prabu A. -- Analytical framework in assessing systemic financial market infrastructures in...

This dissertation consists of three essays that have a common focus on the econometrics of survey expectations data. Such data play a crucial role in economics. First, as most decisions depend on expectations, these data facilitate a better understanding of economic dynamics. Second, survey data...