Working Papers

Seria wydawnicza WNE WORKING PAPERS prowadzona jest przez WNE UW od 2008 r. i jak dotąd opublikowano w niej ponad 400 prac.

Seria WNE Working Papers służy szybkiemu upowszechnianiu wyników badań prowadzonych na Wydziale Nauk Ekonomicznych UW. Publikowane tu teksty mają charakter wersji roboczych (pre-printów): mogą być uzupełniane lub poprawiane w miarę postępu prac nad tekstem i procesu wydawniczego. Prezentujemy aktualną wersję udostępnioną przez autorów, opatrzoną datą oraz identyfikatorami DOI/ISSN – co ułatwia jej cytowanie i śledzenie kolejnych iteracji. Każdy dokument zachowuje pełne prawa autorskie swoich twórców, a w przypadku późniejszych zmian, autorzy mogą w dowolnym momencie zamieścić zaktualizowany plik lub wskazać miejsce ostatecznego wydania.

Do serii WORKING PAPERS przyjmowane są artykuły pracowników naukowych WNE UW oraz publikacje z konferencji organizowanych na WNE UW. Artykuły powinny dotyczyć ekonomii, mieć charakter oryginalnych prac badawczych, nie być wcześniej publikowane. Przyjmowane są wyłącznie teksty w języku angielskim.

Prace prosimy przesyłać e-mailem na adres: |1p8_%6OsH#o?}az=+rIvbw25F\]#[t{c~Ipx@U5kb/=Yiz5hA!H\'B3I

Prosimy przesyłać dwa pliki:

(1) główny tekst bez podania tytułu artykułu oraz autorów (plik DOC/DOCX) oraz

(2) stronę tytułową zawierającą: tytuł opracowania, autorów oraz ich afiliację (plik DOC/DOCX). 

Przed przesłaniem tekstu prosimy zapoznać się z szczegółowymi wymogami edycyjnymi.

Redaktorem wydawniczym serii Working Papers jest dr Maciej Bukowski.

Ilość wyników 3

WP(17/2016)208. Using geographically weighted choice models to account for spatial heterogeneity of preferences

Autorzy: Budziński Wiktor, Campbell Danny, Czajkowski Mikołaj, Demšar Urška, Hanley Nick
In this paper we investigate the prospects of using geographically weighted choice models for modelling of spatially clustered preferences. The data used in this study comes from a discrete choice experiment survey regarding public preferences for th…

WP208. Using geographically weighted choice models to account for spatial heterogeneity of preferences

In this paper we investigate the prospects of using geographically weighted choice models for modelling of spatially clustered preferences. The data used in this study comes from a discrete choice experiment survey regarding public preferences for the implementation of a new country-wide forest management and protection program in Poland. We combine it with high-resolution geographical information system data related to local forest characteristics. Using locally estimated discrete choice models we obtain location-specific estimates of willingness to pay (WTP). Variation in these estimates is explained by the socio-demographic characteristics of respondents and characteristics of the forests in their place of residence. The results are compared with those obtained from a more typical, two stage procedure which uses Bayesian posterior means of the mixed logit model random parameters to calculate individual-specific estimates of WTP. The latter approach, although easier to implement and more common in the literature, does not explicitly assume any spatial relationship between individuals. In contrast, the geographically weighted approach differs in this aspect and can provide additional insight on spatial patterns of individuals’ preferences. Our study shows that although the geographically weighted discrete choice models have some advantages, it is not without drawbacks, such as the difficulty and subjectivity in choosing an appropriate bandwidth. We find a number of notable differences in WTP estimates and their spatial distributions. At the current level of development of the two techniques, we find mixed evidence on which approach gives the better results.


Budziński Wiktor, Campbell Danny, Czajkowski Mikołaj, Demšar Urška, Hanley Nick
discrete choice experiment contingent valuation willingness to pay spatial heterogeneity of preferences forest management passive protection litter tourist infrastructure mixed logit geographically weighted model weighted maximum likelihood local maximum likelihood

WP(6/2015)154. Spatial heterogeneity of willingness to pay for forest management

Autorzy: Czajkowski Mikołaj, Budziński Wiktor, Campbell Danny, Giergiczny Marek, Hanley Nick
The paper investigates spatial heterogeneity of the public’s preferences for the implementation of a new country-wide forest management and protection program in Poland. Spatial econometric methods and high resolution geographical information s…

WP154. Spatial heterogeneity of willingness to pay for forest management

The paper investigates spatial heterogeneity of the public’s preferences for the implementation of a new country-wide forest management and protection program in Poland. Spatial econometric methods and high resolution geographical information system (GIS) data related to forest characteristics are used to explain individual-specific willingness to pay (WTP) values, derived from a discrete choice experiment (DCE) study. We find that respondents’ WTP is higher the closer they live to their nearest forest, and the scarcer forests are in the area where they live. Interestingly, the more highly ecologically valuable forests in respondents’ area, the more they prefer extending areas of national forest protection. In addition, we investigate spatial patterns in individual-specific WTP scores and in latent class membership probabilities, finding that preferences are indeed spatially clustered. We argue that this clustering should be taken into account in both benefits analysis and policy-making.


Czajkowski Mikołaj, Budziński Wiktor, Campbell Danny, Giergiczny Marek, Hanley Nick
discrete choice experiment contingent valuation willingness to pay spatial heterogeneity of preferences forest management passive protection litter tourist infrastructure mixed logit Kriging spatial-lag

WP(26/2014)143. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies

Autorzy: Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it.…

WP143. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies

This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies, and investment horizons to get a comprehensive picture of our results? robustness. Investment strategies including VIX futures do not always deliver higher returns or higher Sharpe ratios for the period 2006-2013. Their performance is quite sensitive to changes in model parameters. However, including VIX significantly increases the returns in almost all cases during the recent financial crisis. This result clearly emphasizes potential gains of having such an asset in the portfolio in case of very high volatility in financial markets.


Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
volatility VIX futures investment strategies optimal portfolio selection Markowitz model Black-Litterman model
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