• Supply Function Equilibria Always Exist 

      Anderson, Edward
      Published 2011-04-01
      Supply function equilibria are used in the analysis of divisible good auctions with a large number of identical objects to be sold or bought. An important example occurs in wholesale electricity markets. Despite the ...
      Open Access
      Working Paper
    • Portfolio Margining: Strategy vs Risk 

      Coffman, E.G. Jr; Matsypura, D.; Timkovsky, V.G.
      Published 2010-03-01
      This paper presents the results of a novel mathematical and experimental analysis of two approaches to margining customer accounts, strategy-based and risk-based. Building combinatorial models of hedging mechanisms of these ...
      Open Access
      Working Paper
    • Do External Political Pressures Affect the Renminbi Exchange Rate? 

      Pauwels, Laurent; Liu, Li-Gang
      Published 2011-09-01
      This paper investigates whether external political pressure for faster renminbi (RMB) appreciation affect both the daily returns and the conditional volatility of the RMB central parity rate. We construct several political ...
      Open Access
      Working Paper
    • Forecast combination for discrete choice models: predicting FOMC monetary policy decisions 

      Pauwels, Laurent; Vasnev, Andrey
      Published 2011-06-01
      This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies ...
      Open Access
      Working Paper