Marcelo Righi : Citation Profile

Universidade Federal do Rio Grande do Sul

7

H index

3

i10 index

162

Citations

RESEARCH PRODUCTION:

39

Articles

17

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2011 - 2025). See details.
   Cites by year: 11
   Journals where Marcelo Righi has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 32 (16.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pri511
   Updated: 2026-01-03    RAS profile: 2024-10-16    
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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:

Sahamkhadam, Maziar (4)

Trucíos, Carlos (3)

Fantazzini, Dean (3)

GUPTA, RANGAN (2)

Laeven, Roger (2)

Hallin, Marc (2)

Tiwari, Aviral (2)

Tian, Dejian (2)

Dionne, Georges (2)

Taylor, Nick (2)

Xu, Yongdeng (2)

Cites to:

Acerbi, Carlo (40)

Artzner, Philippe (31)

Perignon, Christophe (24)

Smith, Daniel (21)

Tasche, Dirk (18)

Schied, Alexander (16)

Engle, Robert (15)

Degiannakis, Stavros (14)

Scandolo, Giacomo (14)

Mittnik, Stefan (11)

Bollerslev, Tim (11)

Main data

Where Marcelo Righi has published?

Journals with more than one article published# docs
Economics Bulletin11
Annals of Operations Research2
Finance Research Letters2
Computational Economics2
International Review of Financial Analysis2
Risk Management2
Brazilian Review of Finance2
The North American Journal of Economics and Finance2
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org17

Recent works citing Marcelo Righi (2025 and 2024)

YearTitle of citing document
2025The intertemporal relationship between downside risks and expected stock returns: Evidence from time-varying transition probability models. (2025). Enow, Samuel Tabot. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:7:y:2025:i:2:p:319-323.

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2024New approximate stochastic dominance approaches for Enhanced Indexation models. (2024). Puerto, Justo ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2401.12669.

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2025Set-valued Star-Shaped Risk Measures. (2025). Tian, Dejian ; Jiang, Long ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Worst-cases of distortion riskmetrics and weighted entropy with partial information. (2024). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2405.19075.

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2024Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches. (2024). Desheng, Wu Dash ; Ahmad, Touqeer ; Ur, Shafique ; Karamoozian, Amirhossein. In: Papers. RePEc:arx:papers:2407.15766.

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2025Risk measures based on target risk profiles. (2025). Sass, Jorn ; Laudag, Christian ; Alexander, Jascha. In: Papers. RePEc:arx:papers:2409.17676.

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2025Decentralized 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.

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2025Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints. (2025). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2504.19725.

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2025Empirical Models of the Time Evolution of SPX Option Prices. (2025). Hsieh, David A ; Brini, Alessio ; Kuiper, Patrick ; Moushegian, Sean ; Ye, David. In: Papers. RePEc:arx:papers:2506.17511.

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2024Literacy and Financial Education: Private Providers, Public Certification and Political Preferences. (2024). Masciandaro, Donato ; Guerini, Carolina ; Papini, Alessia. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24223.

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2025Impact of Covid-19 On tail risk dynamics for cryptocurrencies and traditional assets. (2025). Chaim, Pedro ; Pedro, Joao. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00508.

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2024Robust 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.

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2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

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2025Worst-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.

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2025Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization. (2025). Puerto, Justo ; Cesarone, Francesco. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:2:p:657-670.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Zhang, Zhendong ; Luo, Jiawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024Portfolio 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.

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2025Comparative analysis of risk measures for optimal hedge ratio determination. (2025). Spindler, Leonardo Teixeira ; Righi, Marcelo Brutti ; Mller, Fernanda Maria. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000601.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2024Interconnections 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.

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2025Market downturns and asymmetric tail risk transmission speed in the US: Evaluating macroeconomic policy effectiveness during and after the COVID-19 pandemic. (2025). Borjigin, Sumuya ; Hu, Zinan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:102:y:2025:i:c:s1062976925000341.

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2025Quantifying systemic risk in cryptocurrency markets: A high-frequency approach. (2025). Laurini, Mrcio P ; Pedro, Joao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003776.

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2024Forecasting the effect of extreme sea-level rise on financial market risk. (2024). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:1-27.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Contemporary Threats in the Financial Market. (2025). Wojciechowska-Filipek, Sylwia ; Grudniewski, Tomasz ; Brazkiewicz, Dariusz ; Ciekanowski, Zbigniew ; Wysokinska, Aneta. In: European Research Studies Journal. RePEc:ers:journl:v:xxviii:y:2025:i:4:p:29-43.

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2024Application of a Robust Maximum Diversified Portfolio to a Small Economy’s Stock Market: An Application to Fiji’s South Pacific Stock Exchange. (2024). Kumar, Ronald ; Stauvermann, Peter Josef ; Ghanbari, Hossein. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:9:p:388-:d:1469491.

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2024An Improved K-Means Algorithm Based on Contour Similarity. (2024). Bao, Yanke ; Guan, Xinguo ; Zhao, Jing ; Li, Dongsheng. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2211-:d:1435520.

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2024Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series. (2024). Almulhim, Fatimah A ; Alamari, Mohammed B ; Rachdi, Mustapha ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3956-:d:1545194.

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2024A 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.

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2024Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. (2024). Santillán-Salgado, Roberto ; Sahu, Sonal ; Santillan-Salgado, Roberto Joaquin ; Contreras-Valdez, Mario Ivan ; Nuez-Mora, Jose Antonio. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:50-:d:1356275.

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2024Influence of Regional Temperature Anomalies on Strawberry Yield: A Study Using Multivariate Copula Analysis. (2024). Unnikrishnan, Poornima ; Ponnambalam, Kumaraswamy ; Karray, Fakhri. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:9:p:3523-:d:1381105.

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2024Basel IV and the structural relationship between SA and IMA. (2024). Rossignolo, Adrin F. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:19:y:2024:i:2:a:1.

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2025Risk 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.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2025Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. (2025). Jiang, Kunliang ; Song, Jiashan ; Luo, Pengfei ; Wei, Siyao. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10621-5.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214.

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2025Geopolitical shocks, capital outflows, financial inclusion and digital financial inclusion. (2025). Ozili, Peterson. In: MPRA Paper. RePEc:pra:mprapa:125567.

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2024€œShall Absolute Power Corrupt Absolutely?€ : A Perspective From Financial Constraints and Earnings Quality Under Government Control. (2024). Ly, Minh ; Phu, Nguyen Hoang ; Hai, Nguyen Hoang ; Thanh, Nguyen Cong. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:3:p:21582440241260204.

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2025ON ITERATED LORENZ CURVES WITH APPLICATIONS. (2025). Ignatov, Zvetan ; Yordanov, Vilimir. In: Yearbook of the Faculty of Economics and Business Administration, Sofia University. RePEc:sko:yrbook:v:24:y:2025:i:1:p:71-118.

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2025Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies. (2025). Husain, Afzol ; Yii, Kwang-Jing ; Fung, Chorng Yuan ; Busulwa, Richard. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3.

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2024Relationships 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.

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2025Literacy and Financial Education: Private Providers, Public Certification and Political Preferences. (2025). Guerini, Carolina ; Masciandaro, Donato ; Papini, Alessia. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:11:y:2025:i:2:d:10.1007_s40797-024-00287-1.

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2025The Role of Financial Education for the Prevention of Financial Fragility and Over-Indebtedness. (2025). Korczak, Dieter. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:11:y:2025:i:2:d:10.1007_s40797-025-00334-5.

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2025Set-valued star-shaped risk measures. (2025). Jiang, Long ; Nie, Bingchu ; Tian, Dejian. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00384-4.

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2024Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples. (2024). Zhou, Jinyu ; Yan, Jigao ; Cheng, Dongya. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-023-01525-x.

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2024Forecasting of cryptocurrencies: Mapping trends, influential sources, and research themes. (2024). Peiulis, Tomas ; Ahmad, Nisar ; Bibi, Aqsa ; Menegaki, Angeliki N. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1880-1901.

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Works by Marcelo Righi:

YearTitleTypeCited
2016Shortfall Deviation Risk: An alternative to risk measurement In: Papers.
[Full Text][Citation analysis]		paper7
2018A composition between risk and deviation measures In: Papers.
[Full Text][Citation analysis]		paper9
2019A composition between risk and deviation measures.(2019) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2018Extended Gini-type measures of risk and variability In: Papers.
[Full Text][Citation analysis]		paper5
2018Extended Gini-Type Measures of Risk and Variability.(2018) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2020On a robust risk measurement approach for capital determination errors minimization In: Papers.
[Full Text][Citation analysis]		paper3
2020On 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: 3		article
2023A theory for combinations of risk measures In: Papers.
[Full Text][Citation analysis]		paper3
2019Spectral risk measures and uncertainty In: Papers.
[Full Text][Citation analysis]		paper1
2022Inf-convolution and optimal risk sharing with countable sets of risk measures In: Papers.
[Full Text][Citation analysis]		paper1
2024Inf-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
2021Minkowski gauges and deviation measures In: Papers.
[Full Text][Citation analysis]		paper0
2021On the link between monetary and star-shaped risk measures In: Papers.
[Full Text][Citation analysis]		paper6
2022On 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: 6		article
2024Star-shaped acceptability indexes In: Papers.
[Full Text][Citation analysis]		paper1
2024Star-shaped acceptability indexes.(2024) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Star-Shaped deviations In: Papers.
[Full Text][Citation analysis]		paper3
2023A risk measurement approach from risk-averse stochastic optimization of score functions In: Papers.
[Full Text][Citation analysis]		paper0
2024The limitations of comonotonic additive risk measures: a literature review In: Papers.
[Full Text][Citation analysis]		paper0
2023A note on the induction of comonotonic additive risk measures from acceptance sets In: Papers.
[Full Text][Citation analysis]		paper0
2025A note on robust convex risk measures In: Papers.
[Full Text][Citation analysis]		paper0
2024Optimal hedging with variational preferences under convex risk measures In: Papers.
[Full Text][Citation analysis]		paper0
2025Set risk measures In: Papers.
[Full Text][Citation analysis]		paper0
2023Minkowski deviation measures In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article0
2012Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article1
2014Risk Measures Theory: a comprehensive survey In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2023Range-based risk measures and their applications In: ASTIN Bulletin.
[Full Text][Citation analysis]		article1
2011Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2011Extreme values dependence of risk in Latin American markets In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2011Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis In: Economics Bulletin.
[Full Text][Citation analysis]		article6
2012Predicting the risk of global portfolios considering the non-linear dependence structures In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2012Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2012Quantiles autocorrelation in stock markets returns In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2012Copula based Dynamic Hedging Strategy with Futures In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2013Pair Copula Construction based Expected Shortfall estimation In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2013A 10 min tick volatility analysis between the Ibovespa and the S&P500 In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2014Decomposing the bid-ask spread in the Brazilian market: an intraday framework In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2017Closed spaces induced by deviation measures In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2013Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach In: Economic Modelling.
[Full Text][Citation analysis]		article5
2023A description of the COVID-19 outbreak role in financial risk forecasting In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2024Is 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]		article5
2015Investigating 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]		article7
2013Risk prediction management and weak form market efficiency in Eurozone financial crisis In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article4
2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article18
2018A simulation comparison of risk measures for portfolio optimization In: Finance Research Letters.
[Full Text][Citation analysis]		article11
2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2013Estimating non-linear serial and cross-interdependence between financial assets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2015A comparison of Expected Shortfall estimation models In: Journal of Economics and Business.
[Full Text][Citation analysis]		article28
2023Is there a risk premium? Evidence from thirteen measures In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
2022Risk measure index tracking model In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article4
2014Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation In: Contemporary Studies in Economic and Financial Analysis.
[Full Text][Citation analysis]		chapter1
2022Deviation-Based Model Risk Measures In: Computational Economics.
[Full Text][Citation analysis]		article0
2024Comparison of Value at Risk (VaR) Multivariate Forecast Models In: Computational Economics.
[Full Text][Citation analysis]		article1
2018Numerical comparison of multivariate models to forecasting risk measures In: Risk Management.
[Full Text][Citation analysis]		article7
2023Risk measures-based cluster methods for finance In: Risk Management.
[Full Text][Citation analysis]		article2
2014Liquidity Spillover in International Stock Markets through Distinct Time Scales In: PLOS ONE.
[Full Text][Citation analysis]		article3
2024A comparison of Range Value at Risk (RVaR) forecasting models In: Journal of Forecasting.
[Full Text][Citation analysis]		article0

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