Narrow search
Showing 11 - 20 of 34
Cover Image
Extended Gini-type measures of risk and variability
Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo … - In: Applied mathematical finance 25 (2018) 3/4, pp. 295-314
Persistent link: https://www.econbiz.de/10012128954
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
On a robust risk measurement approach for capital determination errors minimization
Righi, Marcelo Brutti; Müller, Fernanda Maria; … - In: Insurance / Mathematics & economics 95 (2020), pp. 199-211
Persistent link: https://www.econbiz.de/10012420135
Cover Image
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
Cover Image
Star-Shaped deviations
Righi, Marcelo Brutti; Moresco, Marlon Ruoso - In: Operations research letters 50 (2022) 5, pp. 548-554
Persistent link: https://www.econbiz.de/10013449444