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Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
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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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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
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Comparison of risk forecasts for cryptocurrencies : a focus on Range Value at Risk
Müller, Fernanda Maria; Santos, Samuel Solgon; … - In: Finance research letters 48 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013463260
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A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria; Gössling, Thalles Weber; … - In: Journal of forecasting 43 (2024) 3, pp. 509-543
Persistent link: https://www.econbiz.de/10014532345