6
H index
2
i10 index
115
Citations
Marcelo Righi : Citation Profile
Universidade Federal do Rio Grande do Sul | RESEARCH PRODUCTION: 38 Articles 17 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2011 - 2024). 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:
| Cites to:
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Main data
Where Marcelo Righi has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Bulletin | 11 |
| Brazilian Review of Finance | 2 |
| Computational Economics | 2 |
| Insurance: Mathematics and Economics | 2 |
| International Review of Financial Analysis | 2 |
| The North American Journal of Economics and Finance | 2 |
| Risk Management | 2 |
| Finance Research Letters | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 17 |
Recent works citing Marcelo Righi (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | RiskNet: Neural Risk Assessment in Networks of Unreliable Resources. (2022). Jaglarz, Piotr ; Borylo, Piotr ; Rusek, Krzysztof ; Cholda, Piotr ; Cabellos, Albert ; Geyer, Fabien. In: Papers. RePEc:arx:papers:2201.12263. Full description at Econpapers || Download paper |
| 2023 | Dynamic star-shaped risk measures and $g$-expectations. (2023). Wang, Xunlian ; Tian, Dejian. In: Papers. RePEc:arx:papers:2305.02481. Full description at Econpapers || Download paper |
| 2023 | Dynamic Return and Star-Shaped Risk Measures via BSDEs. (2023). Laeven, Roger ; Zullino, Marco ; Gianin, Emanuela Rosazza. In: Papers. RePEc:arx:papers:2307.03447. Full description at Econpapers || Download paper |
| 2023 | Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014. Full description at Econpapers || Download paper |
| 2024 | 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 |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2023 | On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x. Full description at Econpapers || Download paper |
| 2023 | From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618. 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 |
| 2023 | On the information content of implied liquidity measure: Evidence from the S&P 500 index options. (2023). Eksi-Altay, Zehra ; Yerli, Cigdem ; Selcuk-Kestel, Sevtap A. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005366. 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 |
| 2023 | Noise Measurement, Characterization, and Modeling for Broadband Indoor Power Communication System: A Comprehensive Survey. (2023). Nwulu, Nnamdi I ; Owolabi, Israel Esan ; Gbadamosi, Saheed Lekan ; Ogunlade, Michael Adegoke. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1535-:d:1057312. Full description at Econpapers || Download paper |
| 2023 | A Combined AHP-PROMETHEE Approach for Portfolio Performance Comparison. (2023). Delalic, Adela ; Arnaut-Berilo, Almira ; Sikalo, Mirza. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:1:p:46-:d:1095631. Full description at Econpapers || Download paper |
| 2023 | . 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 |
| 2023 | Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Maurer, Frantz ; Tzagkarakis, George. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3. Full description at Econpapers || Download paper |
| 2023 | Stock Market Volatility and Multi-Scale Positive and Negative Bubbles. (2023). Pierdzioch, Christian ; Nielsen, Joshua ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202310. Full description at Econpapers || Download paper |
| 2023 | Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation. (2023). Dionne, Georges ; Hassani, Samir Saissi. In: Working Papers. RePEc:ris:crcrmw:2023_002. Full description at Econpapers || Download paper |
| 2023 | Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers || Download paper |
| 2023 | Impact of futures’ trader types on stock market quality: evidence from Taiwan. (2023). Lai, Ya-Wen. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09612-9. Full description at Econpapers || Download paper |
| 2023 | Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions. (2023). Variyam, Ramanathan Thekke ; Jadhav, Deepak K. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00294-1. Full description at Econpapers || Download paper |
| 2023 | Semiparametric estimation of expected shortfall and its application in finance. (2023). Zhao, Yunfan ; Liu, Yinglin ; Fang, Yan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:835-851. Full description at Econpapers || Download paper |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper |
| 2023 | Does herding effect help forecast market volatility?—Evidence from the Chinese stock market. (2023). Zhao, Xujie ; Yu, Chao ; Wang, Yide. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1275-1290. Full description at Econpapers || Download paper |
| 2023 | Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises. (2023). Stephan, Andreas ; Sahamkhadam, Maziar. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2139-2166. 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 | 3 |
| 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: 3 | 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 | 0 |
| 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 |
| 2024 | 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 |
| 2024 | 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 | 0 |
| 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 | 0 |
| 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 | 13 |
| 2018 | A simulation comparison of risk measures for portfolio optimization In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
| 2022 | Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2013 | Estimating non-linear serial and cross-interdependence between financial assets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2015 | A comparison of Expected Shortfall estimation models In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 24 |
| 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 | 1 |
| 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 | 4 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team