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Shortfall deviation risk : an alternative for risk measurement

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116

Persistent link: https://www.econbiz.de/10013177086

Teoria de medidas de risco : uma revisão abrangente

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 12 (2014) 3, pp. 411-464

Persistent link: https://www.econbiz.de/10011585239

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

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

Analyzing the dependence structure of various sectors in the Brazilian market : a Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic modelling 35 (2013), pp. 199-206

Persistent link: https://www.econbiz.de/10010259465

Pair copula constructions to determine the dependence structure of Treasury bond yields

Righi, Marcelo Brutti; Schlender, Sergio Guilherme; … - In: IIMB management review 27 (2015) 4, pp. 216-227

Persistent link: https://www.econbiz.de/10011481216

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

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

Risk prediction management and weak form market efficiency in Eurozone financial crisis

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: International review of financial analysis 30 (2013), pp. 384-393

Persistent link: https://www.econbiz.de/10010461544

A comparison of Expected Shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of Economics and Business 78 (2015) C, pp. 14-47

We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models....

Persistent link: https://www.econbiz.de/10011209909