Similar Search Results

Medindo liquidez através da análise fatorial de séries temporais

Silveira, Vinicius Girardi da; Vieira, Kelmara Mendes; … - In: Revista Brasileira de Finanças : RBFin 16 (2018) 1, pp. 157-177

Persistent link: https://www.econbiz.de/10012122625

Mispricing in the odd lots market in Brazil

Ramos, Henrique P.; Perlin, Marcelo Scherer; Righi, … - In: The North American journal of economics and finance : a … 42 (2017), pp. 618-628

Persistent link: https://www.econbiz.de/10011938210

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

Range Based Risk Measures and Their Applications

Righi, Marcelo Brutti; Müller, Fernanda - 2022

We propose a family of range based risk measures to generalize the role of Value at Risk (VaR) in the formulation of Range Value at Risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations....

Persistent link: https://www.econbiz.de/10013298036

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

Is there a dark side to financial inclusion? : understanding the relationship between financial inclusion and market risk

Foguesatto, Cristian Rogério; Righi, Marcelo Brutti; … - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014534823

Deviation-based model risk measures

Berkhouch, Mohammed; Müller, Fernanda Maria; Lakhnati, … - In: Computational economics 59 (2022) 2, pp. 527-547

Persistent link: https://www.econbiz.de/10013169017

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032

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

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

A service of the

zbw