Marcelo Righi
Names
| first: |
Marcelo |
| last: |
Righi |
Identifer
Contact
| email: |
marcelo.righi at domain ufrgs.br
|
Affiliations
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Universidade Federal do Rio Grande do Sul
/ Programa de Pós-Graduação em Economia (CPGE)
Research profile
author of:
- Shortfall Deviation Risk: An alternative to risk measurement (RePEc:arx:papers:1501.02007)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - A composition between risk and deviation measures (RePEc:arx:papers:1511.06943)
by Marcelo Brutti Righi - Extended Gini-type measures of risk and variability (RePEc:arx:papers:1707.07322)
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi - On a robust risk measurement approach for capital determination errors minimization (RePEc:arx:papers:1707.09829)
by Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco - A theory for combinations of risk measures (RePEc:arx:papers:1807.01977)
by Marcelo Brutti Righi - Spectral risk measures and uncertainty (RePEc:arx:papers:1905.07716)
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi - Inf-convolution and optimal risk sharing with countable sets of risk measures (RePEc:arx:papers:2003.05797)
by Marcelo Brutti Righi & Marlon Ruoso Moresco - Minkowski gauges and deviation measures (RePEc:arx:papers:2007.01414)
by Marlon Moresco & Marcelo Righi & Eduardo Horta - On the link between monetary and star-shaped risk measures (RePEc:arx:papers:2108.13500)
by Marlon Moresco & Marcelo Brutti Righi - Star-shaped acceptability indexes (RePEc:arx:papers:2110.08630)
by Marcelo Brutti Righi - Star-Shaped deviations (RePEc:arx:papers:2207.08613)
by Marcelo Brutti Righi & Marlon Ruoso Moresco - A risk measurement approach from risk-averse stochastic optimization of score functions (RePEc:arx:papers:2208.14809)
by Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco - The limitations of comonotonic additive risk measures: a literature review (RePEc:arx:papers:2212.13864)
by Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta - A note on the induction of comonotonic additive risk measures from acceptance sets (RePEc:arx:papers:2307.04647)
by Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta - Robust convex risk measures (RePEc:arx:papers:2406.12999)
by Marcelo Righi - Optimal hedging with variational preferences under convex risk measures (RePEc:arx:papers:2407.03431)
by Marcelo Righi - Set risk measures (RePEc:arx:papers:2407.18687)
by Marcelo Righi & Eduardo Horta & Marlon Moresco - Minkowski deviation measures (RePEc:bpj:strimo:v:40:y:2023:i:1-2:p:1-19:n:2)
by Moresco Marlon & Brutti Righi Marcelo & Horta Eduardo - Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach (RePEc:brf:journl:v:10:y:2012:i:4:p:529-550)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Risk Measures Theory: a comprehensive survey (RePEc:brf:journl:v:12:y:2014:i:3:p:411-464)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Range-based risk measures and their applications (RePEc:cup:astinb:v:53:y:2023:i:3:p:636-657_7)
by Righi, Marcelo Brutti & Müller, Fernanda Maria - Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach (RePEc:ebl:ecbull:eb-11-00400)
by Marcelo Brutti Righi & Paulo Sérgio Ceretta - Extreme values dependence of risk in Latin American markets (RePEc:ebl:ecbull:eb-11-00437)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis (RePEc:ebl:ecbull:eb-11-00536)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Predicting the risk of global portfolios considering the non-linear dependence structures (RePEc:ebl:ecbull:eb-12-00050)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach (RePEc:ebl:ecbull:eb-12-00052)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Quantiles autocorrelation in stock markets returns (RePEc:ebl:ecbull:eb-12-00469)
by Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller - Copula based Dynamic Hedging Strategy with Futures (RePEc:ebl:ecbull:eb-12-00639)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - Pair Copula Construction based Expected Shortfall estimation (RePEc:ebl:ecbull:eb-13-00142)
by Marcelo Brutti Righi & Paulo Sergio Ceretta - A 10 min tick volatility analysis between the Ibovespa and the S&P500 (RePEc:ebl:ecbull:eb-13-00459)
by Paulo Sergio Ceretta & Alexandre Silva da Costa & Marcelo Brutti Righi & Fernanda Maria Müller - Decomposing the bid-ask spread in the Brazilian market: an intraday framework (RePEc:ebl:ecbull:eb-14-00042)
by Marcelo Brutti Righi & Kelmara Mendes Vieira & Daniel Arruda Coronel & Reisoli Bender Filho & Paulo Sergio Ceretta - Closed spaces induced by deviation measures (RePEc:ebl:ecbull:eb-17-00583)
by Marcelo Brutti Righi - Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach (RePEc:eee:ecmode:v:35:y:2013:i:c:p:199-206)
by Righi, Marcelo Brutti & Ceretta, Paulo Sergio - A description of the COVID-19 outbreak role in financial risk forecasting (RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177)
by Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti - Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk (RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652)
by Foguesatto, Cristian Rogério & Righi, Marcelo Brutti & Müller, Fernanda Maria - Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks (RePEc:eee:eneeco:v:49:y:2015:i:c:p:23-32)
by Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda - Risk prediction management and weak form market efficiency in Eurozone financial crisis (RePEc:eee:finana:v:30:y:2013:i:c:p:384-393)
by Righi, Marcelo Brutti & Ceretta, Paulo Sergio - Liquidity, implied volatility and tail risk: A comparison of liquidity measures (RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071)
by Ramos, Henrique Pinto & Righi, Marcelo Brutti - A simulation comparison of risk measures for portfolio optimization (RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112)
by Righi, Marcelo Brutti & Borenstein, Denis - Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk (RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001878)
by Müller, Fernanda Maria & Santos, Samuel Solgon & Gössling, Thalles Weber & Righi, Marcelo Brutti - Star-shaped acceptability indexes (RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181)
by Righi, Marcelo Brutti - On a robust risk measurement approach for capital determination errors minimization (RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211)
by Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso - Estimating non-linear serial and cross-interdependence between financial assets (RePEc:eee:jbfina:v:37:y:2013:i:3:p:837-846)
by Righi, Marcelo Brutti & Ceretta, Paulo Sergio - A comparison of Expected Shortfall estimation models (RePEc:eee:jebusi:v:78:y:2015:i:c:p:14-47)
by Righi, Marcelo Brutti & Ceretta, Paulo Sergio - Is there a risk premium? Evidence from thirteen measures (RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199)
by Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti - Risk measure index tracking model (RePEc:eee:reveco:v:80:y:2022:i:c:p:361-383)
by Sant’Anna, Leonardo Riegel & Righi, Marcelo Brutti & Müller, Fernanda Maria & Guedes, Pablo Cristini - On the link between monetary and star-shaped risk measures (RePEc:eee:stapro:v:184:y:2022:i:c:s016771522100290x)
by Moresco, Marlon Ruoso & Righi, Marcelo Brutti - Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation (RePEc:eme:csefzz:s1569-375920140000096003)
by Marcelo Brutti Righi & Yi Yang & Paulo Sergio Ceretta - Deviation-Based Model Risk Measures (RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x)
by Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi - Comparison of Value at Risk (VaR) Multivariate Forecast Models (RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10330-x)
by Fernanda Maria Müller & Marcelo Brutti Righi - Numerical comparison of multivariate models to forecasting risk measures (RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8)
by Fernanda Maria Müller & Marcelo Brutti Righi - Risk measures-based cluster methods for finance (RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0)
by Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi - Liquidity Spillover in International Stock Markets through Distinct Time Scales (RePEc:plo:pone00:0086134)
by Marcelo Brutti Righi & Kelmara Mendes Vieira - A composition between risk and deviation measures (RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2913-0)
by Marcelo Brutti Righi - Inf-convolution and optimal risk sharing with countable sets of risk measures (RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04593-8)
by Marcelo Brutti Righi & Marlon Ruoso Moresco - Extended Gini-Type Measures of Risk and Variability (RePEc:taf:apmtfi:v:25:y:2018:i:3:p:295-314)
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi - A comparison of Range Value at Risk (RVaR) forecasting models (RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543)
by Fernanda Maria Müller & Thalles Weber Gössling & Samuel Solgon Santos & Marcelo Brutti Righi