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A simulation comparison of risk measures for portfolio optimization
Righi, Marcelo Brutti; Borenstein, Denis - In: Finance research letters 24 (2018), pp. 105-112
Persistent link: https://www.econbiz.de/10011982511
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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
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A composition between risk and deviation measures
Righi, Marcelo Brutti - In: Application of operations research to financial markets, (pp. 299-313). 2019
Persistent link: https://www.econbiz.de/10012159991
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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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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
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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
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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
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A description of the COVID-19 outbreak role in financial risk forecasting
Müller, Fernanda Maria; Santos, Samuel Solgon; Righi, … - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-35
Persistent link: https://www.econbiz.de/10014483439