Birkbeck Working Papers in Economics and Finance

From Birkbeck, Department of Economics, Mathematics & Statistics
Malet Street, London WC1E 7HX, UK.
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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 Kalvinder Shields

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

Anthony Garratt, Kevin Lee, Emi Mise and Kalvinder Shields

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

Anthony Garratt, Gary Koop and Shaun 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

612: Relative Performance, Risk and Entry in the Mutual Fund Industry

Gyöngyi Lóránth and Emanuela Sciubba

611: Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium

Fred Espen Benth, Álvaro Cartea and Ruediger Kiesel

610: Time Inconsistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach

Helyette Geman and Steve Ohana

609: Exchange Rates, Prices and International Trade in a Model of Endogenous Market Structure

Yunus Aksoy and Hanno Lustig

608: UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts

Álvaro Cartea and Thomas Williams

607: Monetary and Fiscal Policy Interactions: The Role of the Quality of Institutions in a Dynamic Environment

Ourania Dimakou

606: Pricing Multiple Interruptible-Swing Contracts

Marcelo Figueroa

605: Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients

Raymond Brummelhuis

604: Fractional Diffusion Models of Option Prices in Markets with Jumps

Álvaro Cartea and Diego del-Castillo-Negrete

603: Conflict, Popular Support and Asymmetric Fighting Technologies

Tomas Gonzalez

602: Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance

Álvaro Cartea and Sam Howison

601: Profit-Sharing as the Optimal Wage Contract

Kenjiro Hori

525: The Impact of Consumer Confidence on Expected Utility Maximization: A Contribution to the Equity Premium Puzzle Literature

Vincenzo Merella and Steve Satchell

524: Unemployment, Investment and Global Expected Returns: A Panel FAVAR Approach

Ronald Smith and Gylfi Zoega

523: Monetary Policy in the Presence Of Imperfect Observability Of The Objectives Of Central Bankers

Francesco Salsano

522: Subsidizing Inventory: A Theory of Trade Credit and Prepayment

Arup Daripa and Jeffrey Nilsen

521: Informational Free Rides in Uniform Price Auctions: Exception or Norm?

Arup Daripa

520: How (Not) to Sell Money

Arup Daripa

519: Optimal Collective Contract Without Peer Monitoring

Arup Daripa

518: Ex Ante Versus Ex Post Regulation of Bank Capital

Arup Daripa and Simone Varotto

517: The Bernoulli Feedback Queue with Balking: Stochastic Order Results and Equilibrium Joining Rules

E. J. Collins and A. C. Brooms

516: Does Wage Compression Explain Rigid Money Wages?

Gylfi Zoega and Thorlakur Karlsson

515: Worker Heterogeneity, Intra-firm Externalities and Wage Compression

Alison Booth and Gylfi Zoega

514: Job Matching with Multiple-Hiring Firms and Heterogeneous Workers: A Microfoundation

Kenjiro Hori

513: Exact Properties of Measures of Optimal Investment for Institutional Investors

John Knight and Stephen Satchell

512: Financial Crises and Money Demand in Jamaica

Fiona Atkins

511: Multiplicatively Separable Preferences and Output Persistence

Andrea Vaona

510: The Management of Digital Rights in Pay TV

Campbell Cowie and Sandeep Kapur

509: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor

Stephen Satchell and Wei Xia

508: Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process

Álvaro Cartea

507: Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality

Álvaro Cartea and Marcelo Gustavo Figueroa

506: U.S. Domestic Money, Inflation and Output

Yunus Aksoy and Tomasz Piskorski

505: Efficiency in Negotiation: Complexity and Costly Bargaining

Jihong Lee and Hamid Sabourian

504: Competing or Colluding in a Stochastic Framework

Adriana Breccia and Hector Salgado-Banda

503: Relative Performance Evaluation Contracts and Asset Market Equilibrium

Sandeep Kapur and Allan Timmermann

502: UK Real-Time Macro Data Characteristics

Anthony Garratt and Shaun Vahey

501: Permanent vs Transitory Components and Economic Fundamentals

Anthony Garratt, Donald Robertson and Stephen Wright

411: Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors

Adriana Breccia

410: Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?

Piergiorgio Alessandri

409: Deflationary Bubbles

Willem Buiter and Anne Sibert

408: Cross-Border Tax Externalities: Are Budget Deficits Too Small?

Willem Buiter and Anne Sibert

407: On the Nash equilibria for the FCFS queueing system with load-increasing service rate

A.C. Brooms

406: Invertibility of Nonparametric Stochastic Demand Functions

Walter Beckert and Richard Blundell

405: Maximal Uniform Convergence Rates in Parametric Estimation Problems

Walter Beckert and Daniel McFadden

404: Dynamic Monopolies with Stochastic Demand

Walter Beckert

403: Unobserved Heterogeneity in Panel Time Series Models

Jerry Coakley, Ana-Maria Fuertes and Ronald Smith

402: In Search of ‘Offshoring’: Evidence from U.S. Imports of Services

Desirée van Welsum

401: Global Shocks and Unemployment Adjustment

Ronald Smith and Gylfi Zoega