The COVID-19 pandemic generated diverse impacts and responses in agricultural value chains worldwide. Cocoa is a key crop for Ecuadorian exports, and the analysis of effects the pandemic had on value chain actors contributes to the understanding of their individual capacities to coping with a...

The explosion of non-fungible tokens activity in 2021 highlights a growing prevalence of a form of cryptoassets with functionality distinct from cryptocurrencies such as Bitcoin. Rather than being limited to a means of payment or investment, non-fungible tokens offer a broad variety of use...

We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a diverse group of econometric and portfolio models across...

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle...