The chiefly Holarctic Hydrobius species complex (Coleoptera, Hydrophilidae) currently consists of Hydrobius arcticus Kuwert, 1890, and three morphological variants of Hydrobius fuscipes (Linnaeus, 1758): var. fuscipes, var. rottenbergii and var. subrotundus in northern Europe. Here molecular and morphological data are used to test the species boundaries in this species complex. Three gene segme...

In this paper, Bayesian estimation and hypothesis testing are introduced for identified normalized Vector Autoregressive (VAR) models. A class of priors is proposed to take advantage of the structure of normalized VAR models. Efficient Markov Chain Monte Carlo algorithms are used for sampling from the posterior of the VAR parameters without using Metropolis algorithms. Marginal likelihoods are ...

We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothi...

DNA renaturation experiments gave evidence to conclude that Rhizopus arrhizus, R. OIyzae, R. delemar, Amylomyces rou.xii, R. delemar var. minimus, R. delemar var. multiplicisporus, R. arrhizus var. delemar, R. chungkuoensis var. isqfermentarius, and R. javanicus var. kawasakiensis can be accommodated in three taxa, namely, R. arrhizus var. arrhizus, R. arrhizus var. rozedi, and R. arrhizus var....

In this study, we show that a reduction in the levels of the JIL-1 histone H3S10 kinase results in the spreading of the major heterochromatin markers dimethyl H3K9 and HP1 to ectopic locations on the chromosome arms, with the most pronounced increase on the X chromosomes. Genetic interaction assays demonstrated that JIL-1 functions in vivo in a pathway that includes Su(var)3-9, which is a major...

While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating structured VAR (vector auto-regressive model), where the structure can be captured by any suitable norm, e.g., Lasso, group Lasso, order weighted Lasso, etc. I...

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run sentiment, medium-run sentiment and stock index returns allows to reject exogeneity of returns. Depending...

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to statistical loss functions. However, within a value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR distributional assumption. Simple foreca...

One of the key concepts of risk measurements in financial sector and industrial sector is the probabilitybased risk measurement method known as Value-at-Risk or VaR. The results produced by a VaR model are simple for all levels of staff from all areas of an organisation to understand and appreciate. That is why VaR has been adopted so rapidly. We present some methods that use classical approach...

In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio credit risk, and highlight some problems which follow from this theoretical deficiency. In particular, a realistic demonstration of the non-subadditivity of VaR is given and the possibly nonsensical consequences of VaR-based portfolio optimisation are shown. The seco...