Birkbeck Working Papers in Economics and Finance

from Birkbeck, Department of Economics, Mathematics & Statistics
Malet Street, London WC1E 7HX, UK.
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914: The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets

Álvaro Cartea and Dimitrios Karyampas

913: Volatility and Covariation of Financial Assets: A High-Frequency Analysis

Álvaro Cartea and Dimitrios Karyampas

912: Lending Relationships and Monetary Policy

Yunus Aksoy, Henrique S. Basso and Javier Coto-Martinez

911: Measuring the Natural Output Gap using Actual and Expected Output Data

Anthony Garratt, Kevin Lee and Kalvinder Shields

910: Real-time Inflation Forecast Densities from Ensemble Phillips Curves

Anthony Garratt, James Mitchell, Shaun P. Vahey and Elizabeth C. Wakerly

909: Measuring Output Gap Uncertainty

Anthony Garratt, James Mitchell and Shaun P. Vahey

908: Informed Trading in Parallel Bond Markets

Paola Paiardini

907: Literacy in India

Sandeep Kapur and Mamta Murthi

906: Drugs and Violence in Colombia: a VECM Analysis

Tomás González and Ron P Smith

905: Strategies in Social Network Formation

Anna Conte, Daniela Di Cagno and Emanuela Sciubba

904: The Internationalization of Chinese and Indian Firms: Trends, Motivations and Strategy

Suma Athreye and Sandeep Kapur

903: A New Proxy of Social Capital and the Economic Performance across the Italian Regions

Luca Andriani and Dimitrios Karyampas

902: Liquidity Effects and Cost Channels in Monetary Transmission

Yunus Aksoy, Henrique S. Basso and Javier Coto Matinez

901: Economic Growth and the Design of Search Engines

Gilles Saint-Paul

808: Political Cycles in a Small Open Economy and the Effect of Economic Integration: Evidence from Cyprus

Georgios Efthyvoulou

807: Revisiting the Comovement Puzzle: the Input-Output Structure as an Additional Solution

Federico di Pace

806: The Impact of Structural Pension Reforms on the Macroeconomic Performance: An Empirical Analysis

Angeliki Theophilopoulou

805: Approximate Expected Delay Costs for Call and Contact Centre models under Light Traffic Regimes

S. Bhulai and A.C. Brooms

804: Promotion Tournaments with Multiple Tasks

Fumi Kiyotaki

803: Persistent Gaps and Default Traps

Luis A.V. Catão, Ana Fostel and Sandeep Kapur

802: Modelling Electricity Prices with Forward Looking Capacity Constraints

Álvaro Cartea, Marcelo G. Figueroa and Helyette Geman

801: Social Networks and Trust: not the Experimental Evidence you may Expect

Daniela Teresa Di Cagno and Emanuela Sciubba

721: How Does Duration Between Trades of Underlying Securities Affect Option Prices

Álvaro Cartea and Thilo Meyer-Brandis

720: Inertia in Taylor Rules

John Driffill and Zeno Rotondi

719: The Endogenous Kalman Filter

Brad Baxter, Liam Graham and Stephen Hurst Wright

718: Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity

Álvaro Cartea and Pablo Villaplana Conde

717: Unforeseen Contingency and Renegotiation with Asymmetric Information

Jihong Lee

716: A Dynamic Mechanism and Surplus Extraction Under Ambiguity

Subir Bose and Arup Daripa

715: Monitoring versus Gatekeeping

Arup Daripa

714: Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty

Anthony Garratt, Gary Koop, Emi Mise and Shaun P. Vahey

713: Research, Knowledge Spillovers and Innovation

Piergiuseppe Morone, Carmelo Petraglia and Giuseppina Testa

712: Variance Dispersion and Correlation Swaps

Antoine Jacquier and Saad Slaoui

711: Wage-Directed Job Match with Multiple Applications and Multiple Vacancies: The Optimal Job Application Strategy and Wage Dispersion

Kenjiro Hori

710: Non-linearities and Unit Roots in G7 Macroeconomic Variables

Yunus Aksoy and Miguel Leon-Ledesma

709: A Multivariate Commodity Analysis and Applications to Risk Management

Reik H. Boerger, Álvaro Cartea, Ruediger Kiesel and Gero Schindlmayr

708: On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions

Álvaro Cartea and Diego del-Castillo-Negrete

707: When Supply Meets Demand: The Case of Hourly Spot Electricity Prices

Alexander Boogert and Dominique Dupont

706: Multiple Applications Matching Function: An Alternative

Kenjiro Hori

705: Extreme Correlation of Defaults and LGDs

Yen-Ting Hu

704: Gas Storage Valuation Using a Monte Carlo Method

Alexander Boogert and Cyriel de Jong

703: Asymptotic skew under stochastic volatility

Antoine Jacquier

702: Optimal Sale: Auctions with a Buy-Now Option

Subir Bose and Arup Daripa

701: Uninformative Equilibrium in Uniform Price Auctions

Arup Daripa

619: Real Time Representations of the Output Gap

Anthony Garratt, Kevin Lee, Emi Mise and K Shields

618: Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty

Anthony Garratt, Kevin Lee, Emi Mise and K Shields

617: Forecasting Substantial Data Revisions in the Presence of Model Uncertainty

Anthony Garratt, Gary Koop and Shaun P. Vahey

616: Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan

Anthony Garratt and Kevin Lee

615: Gas Portfolio and Transport Optimization

Gido A.J.F. Brouns and Alexander F. Boogert

614: Links and Architecture in Village Networks

Pramila Krishnan and Emanuela Sciubba

613: Belief Heterogeneity and Survival in Incomplete Markets

Tarek Coury and Emanuela Sciubba