Cambridge Working Papers in Economics

From Faculty of Economics, University of Cambridge
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0220: Testing Proportionality in Duration Models with Respect to Continuous Covariates

Arnab Bhattacharjee and Samarjit Das

0219: The Impact of Technical Analysis on Asset Price Dynamics

J.-H. Steffi Yang and Stephen E. Satchell

0218: On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options

Theofanis Darsinos and Stephen E. Satchell

0217: The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options

Theofanis Darsinos and Stephen E. Satchell

0216: Models for Converging Economies

Andrew Harvey and Vasco Carvalho

0214: Optimal congestion treatment for bilateral electricity trading

Karsten Neuhoff

0213: Use of Long-term Auctions for Network Investment

Tanga McDaniel and Karsten Neuhoff

0212: Relative Performance of UK and Japanese Electricity Distribution Systems 1985-1998: Lessons for Incentive Regulation

Toru Hattori, Tooraj Jamasb and Michael Pollitt

0211: A Quantitative Analysis of Pricing Behavior In California’s Wholesale Electricity Market During Summer 2000

Paul Joskow and Edward Kahn

0210: Issues and Options for Restructuring Electricity Supply Industries

David M Newbery

0209: Exchange Rate Monitoring Bands: Theory and Policy

Luisa Corrado, Marcus Miller and Lei Zhang

0208: British Episodic Economic Growth 1850-1938

Solomos Solomou and C. A. Ristuccia

0207: Strategy Learning in 3x3 Games by Neural Networks

Daniel Sgroi and Daniel Zizzo

0206: Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms

Arnab Bhattacharjee, C. Higson, Sean Holly and P. Kattuman

0205: Modelling Experience as Signal Accumulation

Daniel Sgroi

0204: Output, Inflation and the New Keynesian Phillips Curve

Jagjit Chadha and Charles Nolan

0203: Inflation and Price Level Targeting in a New Keynesian Model

Jagjit Chadha and Charles Nolan

0202: Electricity Diffusion and Trend Acceleration in Inter-War Manufacturing Productivity

Cristiano A. Ristuccia and Solomos Solomou

0201: Generalised Mean-Variance Analysis and Robust Portfolio Diversification

Stephen M. Wright and S. E. Satchell

0119: Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

Mohammad Pesaran and Scott M. Weiner

0118: The Restructuring and Privatisation of British Rail: Was it really that bad?

Michael Pollitt and Andrew Smith

0117: Global Influences on UK Manufacturing Prices

Kenneth Coutts and Neville Norman

0116: Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information

Theofanis Darsinos and Stephen Satchell

0115: International Benchmarking and Yardstick Regulation: An Application to European Electricity Utilities

Tooraj Jamasb and Michael Pollitt

0114: The Business Cycle, Macroeconomic Shocks and the Cross Section: The Growth of UK Quoted Companies

C. Higson, Sean Holly, P. Kattuman and S. Platis

0113: General Model-based Filters for Extracting Cycles and Trends in Economic Time Series

Andrew Harvey and Thomas Trimbur

0112: Competitive Bidding for a Long-term Electricity Distribution Contract

Stephen Littlechild

0111: The National Minimum Wage and In-work Poverty

Holly Sutherland

0110: Combining Household Income and Expenditure Data in Policy Simulations

Holly Sutherland, R Taylor and J. Gomulka

0109: Improving the Estimates of the Risk Premia - Application in the UK Financial Market

M. Pitsillis and S. Satchell

0108: Productivity and Preferences in a Small Open Economy

Jagjit Chadha, N. Janssen and Charles Nolan

0107: A Tracing Method for Pricing Inter-Area Electricity Trades

P. A. Kattuman, Richard Green and J. W. Bialek

0106: Controlling the Herd: Applications of Herding Theory

Daniel Sgroi

0105: Bernstein Approximations to the Copula Function and Portfolio Optimization

Alessio Sancetta and S. E. Satchell

0104: The Derivation of a New Model of Equity Duration

R. A. Lewin and S. E. Satchell

0103: Supply Shocks and the ‘Natural Rate of Interest': an Exploration

Jagjit Chadha and Charles Nolan

0102: Bayesian Analysis of the Black-Scholes Option Price

Theofanis Darsinos and S. E. Satchell

0101: Benchmarking and Regulation of Electricity Transmission and Distribution Utilities: Lessons from International Experience

Tooraj Jamasb and Michael Pollitt

0031: Induced Technical Change: Evidence and Implications for Energy-Environmental Modelling and Policy

Michael Grubb and J. Kohler

0030: On the Range of the Risk-Free Interest Rate in Incomplete Markets

Atsushi Kajii and Chiaki Hara

0029: The Measurement and Determination of Institutional Change: Evidence from Transition Economics

Martin Raiser, Maria Di Tommaso and Melvyn Weeks

0028: The Transparency and Accountability of UK Debt Management: A Proposal

Patrick Coe, Shaun Vahey and Elizabeth Wakerly

0027: The Plural Form in Franchising: A Synergism of Market and Hierarchy

S. B. Lewin-Solomons

0026: A Review of UK Electricity Regulation

Stephen Littlechild

0025: Fiscal Drag - An Automatic Stabiliser?

Herwig Immervoll

0024: An Examination of UK Business Cycle Fluctuations: 1871-1997

Jagjit Chadha, N. Janssen and Charles Nolan

0023: Optimal Monetary Policy with Sticky Nominal Debt Contracts

Stephen Wright

0022: Intra-Firm Retail Contracting: Survey Evidence from the UK'

L. Affuso

0021: Comparing Investment on New Transport Infrastructure: Roads vs. Railways?

L Affuso, J Masson and David M Newbery

0020: The Environmental Benefits from Road Pricing

Georgina Santos, L. Rojey and David M Newbery