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Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework : the financial and economic role of structural breaks

Block, Alexander Souza; Righi, Marcelo Brutti; … - In: Energy economics 49 (2015), pp. 23-32

Persistent link: https://www.econbiz.de/10011536627

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

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

Previsão de value-at-risk para o mercado de criptomoedas usando modelos EGARCH com regimes markovianos

Marschner, Paulo Fernando; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 18 (2020) 3, pp. 80-107

Persistent link: https://www.econbiz.de/10012306256

Risk Transmission Between Latin America Stock Markets and the US : Impacts of the 2007/2008 Crisis

Barba, Fernanda - 2011

The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle and Kroner (1995). The t-student...

Persistent link: https://www.econbiz.de/10013130055