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Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of banking & finance 37 (2013) 3, pp. 837-846
Persistent link: https://www.econbiz.de/10009708737
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Nonparametric expectile regression for conditional autoregressive expected shortfall estimation
Righi, Marcelo Brutti; Yang, Yi; Ceretta, Paulo Sergio - In: Risk management post financial crisis : a period of …, (pp. 83-95). 2014
Persistent link: https://www.econbiz.de/10010430687
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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