Working Papers

From Department of Economics, City University London
Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,.
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12/01: Export diversification and resource-based industrialization: the case of natural gas

Olivier Massol and Albert Banal-Estanol

12/05: Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity

P. Kovaleva and Giulia Iori

12/10: Joining the CCS Club! Insights from a Northwest European CO2 Pipeline Project

Olivier Massol and Stephane Tchung-Ming

12/08: Agent-Based Modelling for Financial Markets

Giulia Iori and J. Porter

12/07: Pollution, mortality and optimal environmental policy

Aditya Goenka, S. Jafarey and William Pouliot

12/04: Information theoretic description of the e-Mid interbank market: implications for systemic risk

V. Hatzopoulos and Giulia Iori

11/02: The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk

B. Kapar and Jose Olmo

11/07: A tree formulation for signaling games

Xeni Dassiou and D. Glycopantis

11/09: Ethnic concentration and language fluency of immigrants in Germany

Alexander Danzer and F. Yaman

11/05: Forecasting in the presence of recent structural change

Jana Eklund, George Kapetanios and Simon Price

11/10: The costs of adjusting labor: Evidence from temporally disaggregated data

Firat Yaman

11/01: Perverse cross-subsidization in the credit market

Giuseppe Coco and Giuseppe Pignataro

11/04: Security of supply and retail competition in the European gas market: Some model-based insights

Ibrahim Abada and Olivier Massol

11/08: Ethnic externalities and 2nd generation immigrants

F. Yaman

11/03: A cost function for the natural gas transmission industry: further considerations

Olivier Massol

11/06: Valuing voluntary disclosure using a real options approach

L. Delaney and Jacco Thijssen

10/08: Which quantile is the most informative? Maximum likelihood, maximum entropy and quantile regression

A. K. Bera, A. F. Galvao , Gabriel Montes-Rojas and Sung Y. Park

10/02: A century of methodological individualism part 1: Schumpeter and Menger

Andy Denis

10/05: Herding effects in order driven markets: The rise and fall of gurus

Giulia Iori and Gabriele Tedeschi

10/09: Argentina's default and the lack of dire consequences

W Baer, D Margot and Gabriel Montes-Rojas

10/07: Who benefits from reducing the cost of formality? Quantile regression discontinuity analysis

Tommaso Gabrieli, A. F. Galvao and Gabriel Montes-Rojas

10/01: Body image, peer effects and food disorders: Evidence from a sample of European women

Joan Costa-Font and Mireia Jofre-Bonet

10/04: Diverse societal beliefs and redistributive policies, but equal welfare: The trade-off effect of information

Tommaso Gabrieli

10/03: A century of methodological individualism part 2: Mises and Hayek

Andy Denis

10/06: Nonparametric estimation of ATE and QTE: an application of Fractile Graphical Analysis

Gabriel Montes-Rojas

09/02: The two sector endogenous growth model: an atlas

Michael Ben-Gad

09/08: A uniform Time Trade Off method for states better and worse than dead: feasibility study of the ‘lead time’ approach

Nancy Devlin, Aki Tsuchiya, K. Buckingham and C. Tilling

09/03: Using the EQ-5D as a performance measurement tool in the NHS

Nancy Devlin, David Parkin and J. Browne

09/05: Threshold quantile autoregressive models

A. F. Galvao , Gabriel Montes-Rojas and Jose Olmo

09/09: Extreme Value Theory Filtering Techniques for Outlier Detection

Jose Olmo

09/04: Quantile autoregressive distributed lag model with an application to house price returns

A. F. Galvao , Gabriel Montes-Rojas and Sung Y. Park

09/06: Instrumental variables quantile regression for panel data with measurement errors

A. F. Galvao and Gabriel Montes-Rojas

09/01: The role of quality ladders in a Ricardian model of trade with nonhomothetic preference

Esteban Jaimovich and Vincenzo Merella

09/07: Does the value of quality of life depend on duration?

Nancy Devlin, Aki Tsuchiya, K. Buckingham and C. Tilling

09/10: Detecting the Presence of Informed Price Trading Via Structural Break Tests

Jose Olmo, K. Pilbeam and William Pouliot

08/06: Infrastructure Contracts: Trust and Institutional Updating

Xeni Dassiou and Jon Stern

08/01: Robust misspecification tests for the Heckman’s two-step estimator

Gabriel Montes-Rojas

08/11: Testing Downside Risk Efficiency Under Market Distress

Jesus Gonzalo and Jose Olmo

08/04: The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Carl Chiarella, Giulia Iori and J. Perello

08/08: A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences

O. Martinez and Jose Olmo

08/10: Statistical analysis of EQ-5D profiles: does the use of value sets bias inference?

David Parkin, Nigel Rice and Nancy Devlin

08/13: Commercial Incentives in Academia

Albert Banal-Estanol and Ines Macho-Stadler

08/12: Glass slippers and glass ceilings: A positive analysis of gender inequality and marriage

S. Jafarey

08/07: Analyzing Economic Policy Using High Order Perturbations

Michael Ben-Gad

08/03: An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture

Giulia Iori and Christophe Deissenberg

08/14: The Impact of Industry Collaboration on Academic Research Output: A Dynamic Panel Data Analysis

Albert Banal-Estanol, Mireia Jofre-Bonet and C. Meissner

08/02: A note on the nature of utility in time and health and implications for cost utility analysis

K. Buckingham and Nancy Devlin

08/15: U-statistic Type Tests for Structural Breaks in Linear Regression Models

William Pouliot and Jose Olmo

08/09: Early Detection Techniques for Market Risk Failure

Jose Olmo and William Pouliot

07/06: Institutions and investment in low and middle-income countries: the case of mobile communications

F. Maiorano and Jon Stern