One of the implications of the creation of the Basel Committee on Banking Supervision was
the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. …

This paper measures volatility spillovers between sectors of economic activity using network
connectivity measures. Volatility spillovers are an accurate proxy for the transmission of risk …

This paper analyzes the Bitcoin price discovery process. We collect data on futures and spot
prices for the period December 2017 to May 2018 and compute Hasbrouck’s information …

We have developed a method for determining the potential abundance of free-living protozoa
in soil. The method permits enumeration of four major functional groups (flagellates, naked …

This article studies the statistical significance of the set of market sentiment variables proposed
by Baker and Wurgler (2006) to predict the risk premium on US sovereign bonds. We …

Free-living microbes are by far the most abundant group of organisms in the biosphere, yet
estimates of global species richness remain nebulous, and there is no consensus regarding …

This paper proposes an empirical model for analysing the dynamics of Bitcoin prices. To do
this, we consider a vector error correction model over two overlapping periods: 2010–17 and …

Backtesting methods are statistical tests designed to uncover value-at-risk (VaR) models not
capable of reporting the correct unconditional coverage probability or filtering the serial …

This article studies estimation and asymptotic properties of Threshold Quantile Autoregressive
processes. In particular, we show the consistency of the threshold and slope parameter …

We focus on the key results from a 3-year intensive investigation of soil protozoan diversity
sponsored by the Natural Environment Research Council (UK). The investigation enabled us …