6
H index
2
i10 index
129
Citations
Marcelo Righi : Citation Profile
Universidade Federal do Rio Grande do Sul | RESEARCH PRODUCTION: 39 Articles 17 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2011 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo Righi. | Is cited by:
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Main data
Where Marcelo Righi has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 17 |
Recent works citing Marcelo Righi (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014. Full description at Econpapers || Download paper |
| 2025 | Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security. (2025). Zongxia, Liang ; Runhuan, Feng ; Yilun, Song. In: Papers. RePEc:arx:papers:2502.13742. Full description at Econpapers || Download paper |
| 2024 | Literacy and Financial Education: Private Providers, Public Certification and Political Preferences. (2024). Papini, Alessia ; Masciandaro, Donato ; Guerini, Carolina. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24223. Full description at Econpapers || Download paper |
| 2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers || Download paper |
| 2025 | Worst-case distortion riskmetrics and weighted entropy with partial information. (2025). Yin, Chuancun ; Zuo, Baishuai. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:476-492. Full description at Econpapers || Download paper |
| 2024 | Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462. Full description at Econpapers || Download paper |
| 2024 | Portfolio optimisation using alternative risk measures. (2024). Szczygielski, Jan Jakub ; Lorimer, Douglas Austen ; van Schalkwyk, Cornelis Hendrik. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007888. Full description at Econpapers || Download paper |
| 2024 | Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network. (2024). Zhang, Yuanyuan ; Liao, Xin ; Chan, Stephen ; Chu, Jeffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:647:y:2024:i:c:s0378437124004011. Full description at Econpapers || Download paper |
| 2024 | A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | A Sequential Importance Sampling for Estimating Multi-Period Tail Risk. (2024). Kim, Sunggon ; Seo, Ye-Ji. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:201-:d:1543264. Full description at Econpapers || Download paper |
| 2024 | Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. (2024). Santillan-Salgado, Roberto Joaquin ; Nuez-Mora, Jose Antonio ; Sahu, Sonal ; Contreras-Valdez, Mario Ivan. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:50-:d:1356275. Full description at Econpapers || Download paper |
| 2024 | Influence of Regional Temperature Anomalies on Strawberry Yield: A Study Using Multivariate Copula Analysis. (2024). Karray, Fakhri ; Ponnambalam, Kumaraswamy ; Unnikrishnan, Poornima. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:9:p:3523-:d:1381105. Full description at Econpapers || Download paper |
| 2025 | Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers. (2025). Perlin, Marcelo Scherer ; Mller, Fernanda Maria ; Almeida, Lucas Mussoi. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10585-6. Full description at Econpapers || Download paper |
| 2024 | €œShall Absolute Power Corrupt Absolutely?€ : A Perspective From Financial Constraints and Earnings Quality Under Government Control. (2024). Phu, Nguyen Hoang ; Hai, Nguyen Hoang ; Thanh, Nguyen Cong ; Ly, Minh. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:3:p:21582440241260204. Full description at Econpapers || Download paper |
| 2024 | Relationships among return and liquidity of cryptocurrencies. (2024). Li, Ziyuan ; Jin, Siyuan ; Zhang, Mianmian ; Zhu, Bing ; Xia, Yong. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00532-z. Full description at Econpapers || Download paper |
Works by Marcelo Righi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Shortfall Deviation Risk: An alternative to risk measurement In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | A composition between risk and deviation measures In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2019 | A composition between risk and deviation measures.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Extended Gini-type measures of risk and variability In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Extended Gini-Type Measures of Risk and Variability.(2018) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2020 | On a robust risk measurement approach for capital determination errors minimization In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | On a robust risk measurement approach for capital determination errors minimization.(2020) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | A theory for combinations of risk measures In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Spectral risk measures and uncertainty In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Inf-convolution and optimal risk sharing with countable sets of risk measures In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Inf-convolution and optimal risk sharing with countable sets of risk measures.(2024) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | Minkowski gauges and deviation measures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | On the link between monetary and star-shaped risk measures In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2022 | On the link between monetary and star-shaped risk measures.(2022) In: Statistics & Probability Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2024 | Star-shaped acceptability indexes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Star-shaped acceptability indexes.(2024) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | Star-Shaped deviations In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | A risk measurement approach from risk-averse stochastic optimization of score functions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The limitations of comonotonic additive risk measures: a literature review In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A note on the induction of comonotonic additive risk measures from acceptance sets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | A note on robust convex risk measures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Optimal hedging with variational preferences under convex risk measures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Set risk measures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Minkowski deviation measures In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2012 | Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | Risk Measures Theory: a comprehensive survey In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2023 | Range-based risk measures and their applications In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2011 | Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2011 | Extreme values dependence of risk in Latin American markets In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2011 | Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis In: Economics Bulletin. [Full Text][Citation analysis] | article | 5 |
| 2012 | Predicting the risk of global portfolios considering the non-linear dependence structures In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2012 | Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2012 | Quantiles autocorrelation in stock markets returns In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2012 | Copula based Dynamic Hedging Strategy with Futures In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2013 | Pair Copula Construction based Expected Shortfall estimation In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2013 | A 10 min tick volatility analysis between the Ibovespa and the S&P500 In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2014 | Decomposing the bid-ask spread in the Brazilian market: an intraday framework In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2017 | Closed spaces induced by deviation measures In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2013 | Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach In: Economic Modelling. [Full Text][Citation analysis] | article | 5 |
| 2023 | A description of the COVID-19 outbreak role in financial risk forecasting In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2024 | Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks In: Energy Economics. [Full Text][Citation analysis] | article | 7 |
| 2013 | Risk prediction management and weak form market efficiency in Eurozone financial crisis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 4 |
| 2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 15 |
| 2018 | A simulation comparison of risk measures for portfolio optimization In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
| 2022 | Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2013 | Estimating non-linear serial and cross-interdependence between financial assets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
| 2015 | A comparison of Expected Shortfall estimation models In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 27 |
| 2023 | Is there a risk premium? Evidence from thirteen measures In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Risk measure index tracking model In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
| 2014 | Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation In: Contemporary Studies in Economic and Financial Analysis. [Full Text][Citation analysis] | chapter | 1 |
| 2022 | Deviation-Based Model Risk Measures In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Comparison of Value at Risk (VaR) Multivariate Forecast Models In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Numerical comparison of multivariate models to forecasting risk measures In: Risk Management. [Full Text][Citation analysis] | article | 5 |
| 2023 | Risk measures-based cluster methods for finance In: Risk Management. [Full Text][Citation analysis] | article | 1 |
| 2014 | Liquidity Spillover in International Stock Markets through Distinct Time Scales In: PLOS ONE. [Full Text][Citation analysis] | article | 3 |
| 2024 | A comparison of Range Value at Risk (RVaR) forecasting models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
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