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2006 Working Papers

0619
Anthony Garratt, Kevin Lee, Emi Mise & Kalvinder Shields
Real Time Representations of the Output Gap

0618
Anthony Garratt, Kevin Lee, Emi Mise & Kalvinder Shields
Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty

0617
Anthony Garratt, Gary Koop & Shaun P Vahey,
Forecasting Substantial Data Revisions in the Presence of Model Uncertainty

0616
Anthony Garratt & Kevin Lee
Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan

0615
Gido AJF Brouns & Alexander F Boogert
Gas Portfolio and Transport Optimization

0614
Pramila Krishnan & Emanuela Sciubba
Links and Architecture in Village Networks

0613
Tarek Coury & Emanuela Sciubba
Belief Heterogeneity and Survival in Incomplete Markets

0612
Gyöngyi Lóránth & Emanuela Sciubba
Relative Performance, Risk and Entry in the Mutual Fund Industry

0611
Fred Espen Benth, Álvaro Cartea & Rüdiger Kiesel
Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium

0610
Hélyette Geman & Steve Ohana
Time-consistency in managing a commodity portfolio: a dynamic risk

0609
Yunus Aksoy & Hanno Lustig
Exchange Rates, Prices and International Trade in a Model of Endogenous Market Structure

0608
Álvaro Cartea & Thomas Williams
UK Gas Markets: The Market Price of Risk and Applications to Multiple Interruptible Supply Contracts

0607
Ourania Dimakou
Monetary and Fiscal Policy Interactions: The Role of the Quality of Institutions in a Dynamic Environment

0606
Marcelo Figueroa
Pricing Multiple Interruptible-Swing Contracts

0605
Raymond Brummelhuis
Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients

0604
Álvaro Cartea & Diego del-Castillo-Negrete
Fractional Diffusion Models of Option Prices in Markets with Jumps

0603
Tomás González
Conflict, Popular Support and Asymmetric Fighting Technologies

0602
Álvaro Cartea & Sam Howison
Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance

0601
Kenjiro Hori
Profit-Sharing as the Optimal Wage Contract

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