How to Win the Olympic Games – The Empirics of Key Success Factors of Olympic Bids

This paper examines the probability of the success of city bid campaigns on the basis of the quantified factors of a total of 43 bids for the Summer Olympic Games between 1992 and 2012. By using a model with the distance of the sporting venues to the Olympic Village, the local temperatures and unemployment rates, we can correctly predict the decision in 97 % of failed bids and in 60 % of successful bids.Olympic Games, Bidding process, Key success factors, Binary logistical regression

BROILER PRODUCERS’ WILLINGNESS TO PAY TO MANAGE NUTRIENT POLLUTION

Economic incentives or disincentives play a major role on encouraging producers to implement environmentally benign production practices. We evaluated producers’ willingness to pay (WTP) value to represent the level of disincentives that motivate farmers to mitigate nutrient pollution. The result obtained by using ordered response model showed that farm size, farm income, and land available to spread litter are major variables that determine the producers’ WTP.Environmental Economics and Policy,

The price of risk in construction projects: contingency approximation model (CAM)

Little attention has been focussed on a precise definition and evaluation mechanism for project management risk specifically related to contractors. When bidding, contractors traditionally price risks using unsystematic approaches. The high business failure rate our industry records may indicate that the current unsystematic mechanisms contractors use for building up contingencies may be inadequate. The reluctance of some contractors to include a price for risk in their tenders when bidding for work competitively may also not be a useful approach. Here, instead, we first define the meaning of contractor contingency, and then we develop a facile quantitative technique that contractors can use to estimate a price for project risk. This model will help contractors analyse their exposure to project risks; and help them express the risk in monetary terms for management action. When bidding for work, they can decide how to allocate contingencies strategically in a way that balances risk and reward

Essays in the econometrics of dynamic duration models with application to tick by tick financial data.

This thesis organizes three contributions on the econometrics of duration in the context of high frequency financial data. We provide existence conditions and analytical expressions of the moments of Log-ACD models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD and SCD models We apply the effcient importance sampling (EIS) method for computing the high-dimensional integral required to evaluate the likelihood function of the stochastic conditional duration (SCD) model. We compare EIS-based ML estimation with QML estimation based on the Kalman filter. We find that EIS- ML estimation is more precise statistically, at a cost of an acceptable loss of quickness of computations. We illustrate this with simulated and real data. We show also that the EIS-ML method is easy to apply to extensions of the SCD model. We carry out a nonparametric analysis of financial durations. We make use of an existing algorithm to describe nonparametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm to our dataset are presented. We show that: on simulated data, the nonparametric procedure yields better estimates than the ones delivered by an incorrectly specified parametric method, while on a real dataset, the nonparametric analysis can convey information on the nature of the data generating process that may not be captured by the parametric specification.

Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index

In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and we propose a critical classification of the existing approaches. Second, we compare the empirical performance of different econometric models (namely, regression models in price-levels, price first differences, price returns, as well as error correction and autoregressive distributed lag models) in terms of their computed OHR using monthly data on the JCC over the period January 2000-January 2006. Third, we illustrate and implement a procedure to cross-hedge and price two different swaps on the JCC: a one-month swap and a three-month swap with a variable oil volume. We explain how to compute a bid/ask spread and to construct the hedging position for the JCC swap. Fourth, we evaluate our swap pricing scheme with backtesting and rolling regression techniques. Our empirical findings show that it is not necessary to use sophisticated econometric techniques, since the price level regression model permits to compute a more reliable optimal hedge ratio relative to its competing alternatives.Hedging Models, Cross-Hedging, Energy Derivatives, Illiquid Financial Products, Commodity Markets, JCC Price Index

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

In this paper we study European banks’ demand for short-term funds during the 2007 subprime market crisis. We use bidding data from the European Central Bank’s auctions for one-week loans. Through a model of bidding, we show that bank behavior reflects the cost of obtaining short-term funds elsewhere as well as a strategic response to other bidders. We find considerable heterogeneity across banks in their willingness to pay for short-term funds supplied in these auctions. Accounting for the strategic component is important: while a naive interpretation of the raw bidding data may suggest that virtually all banks suffered a dramatic increase in the cost of obtaining funds in the interbank market, we find that for about one third of the banks, the change in bidding behavior was simply a strategic response. Using a complementary dataset, we also find that bank pre-turmoil liquidity costs, as estimated by our model, are predictive of their post-turmoil liquidity costs, and that there is considerable heterogeneity in these costs with respect to the country-of-origin. Finally, among the publicly traded banks, the willingness to pay for short-term funds in the second half of 2007 are predictive of stock prices in late 2008.multiunit auctions, primary market, structural estimation, subprime market, liquidity crisis

Assessing Consumers' Cognitive, Affective and Normative Associations on Willingness-to-pay for Domestic Foods

Consumer/Household Economics,