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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Individual and flexible expected shortfall backtesting
Righi, Marcelo Brutti; Ceretta, Sergio Paulo - In: The journal of risk model validation 7 (2013) 3, pp. 3-20
Persistent link: https://www.econbiz.de/10010480652
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Nonparametric expectile regression for conditional autoregressive expected shortfall estimation
Righi, Marcelo Brutti; Yang, Yi; Ceretta, Paulo Sergio - In: Risk manangement post financial crisis : a period of …, (pp. 83-95). 2014
Persistent link: https://www.econbiz.de/10010430687
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Is there a risk premium? : Evidence from thirteen measures
Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199
Persistent link: https://www.econbiz.de/10014490275
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Liquidity, implied volatility and tail risk: a comparison of liquidity measures
Ramos, Henrique Pinto; Righi, Marcelo Brutti - In: International review of financial analysis 69 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012316872