The use of correlation between forecasts and actual returns is commonplace in the literature, often used as a measurement of investors’ skill. A prominent application of this is the concept of the Information Coefficient (IC). Not only can IC be used as a tool to rate analysts and fund...

The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key...

The literature shows that for most UK industries privatization might be necessary but is not sufficient to produce economic benefits. Often prior changes in management or later changes in market structure and regulation have larger impacts than privatization itself. We ask what changes around...

This paper reports results from a large recent study of the public domain in the European Union. Based on a combination of catalogue and survey data our figures for the number of items (and works) in the public domain extend across a variety of media and provide one of the first quantitative...

We formulate a series of stochastic models for committing and dispatching electric generators subject to transmission limits. The models are used to estimate the benefits of electricity locational marginal pricing (LMP) that arise from better coordination of day-ahead commitment decisions and...

Incentive regulation and efficiency analysis of network utilities often need to take the effect of important external factors, such as the weather conditions, into account. This paper presents a method for estimating the effect of weather conditions on the costs of electricity distribution...

This paper reports results from a large recent study of the public domain in the European Union. Based on a combination of catalogue, commercial and survey data we present detailed figures both on the prices (and price di erences) of in copyright and public domain material and on the usage of...

This paper evaluates the diffusion of electricity within the context of a GPT perspective. The paper develops a new comparative data set on the usage of electricity in the manufacturing sectors of the US, Britain, France, Germany and Japan and proceeds to evaluate the hypotheses of a...

Concerns over future oil scarcity might not be so worrying but for the high carbon content of substitutes, and the limited capacity of the atmosphere to absorb additional CO2 from burning fuel. The paper argues that the tools of economics are helpful in understanding some of the key issues in...

Capacity expansion models in the power sector were among the first applications of operations research to the industry. We introduce stochastic equilibrium versions of these models that we believe provide a relevant context for looking at the current very risky market where the power industry...