Marcelo Righi : Citation Profile

Are you Marcelo Righi?

Universidade Federal do Rio Grande do Sul

6

H index

2

i10 index

114

Citations

RESEARCH PRODUCTION:

38

Articles

17

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2011 - 2024). See details.
   Cites by year: 8
   Journals where Marcelo Righi has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 30 (20.83 %)

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   Permalink: http://citec.repec.org/pri511
   Updated: 2024-11-04    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)

Laeven, Roger (2)

Xu, Yongdeng (2)

Dionne, Georges (2)

Tiwari, Aviral (2)

Taylor, Nick (2)

Hallin, Marc (2)

Stephan, Andreas (2)

Tian, Dejian (2)

Cites to:

Acerbi, Carlo (38)

Artzner, Philippe (30)

Perignon, Christophe (24)

Smith, Daniel (21)

Schied, Alexander (16)

Tasche, Dirk (16)

Engle, Robert (15)

Scandolo, Giacomo (14)

Degiannakis, Stavros (14)

Mittnik, Stefan (11)

Bollerslev, Tim (10)

Main data

Where Marcelo Righi has published?

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

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

Recent works citing Marcelo Righi (2024 and 2023)

YearTitle of citing document
2023RiskNet: 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.

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2023Dynamic star-shaped risk measures and $g$-expectations. (2023). Wang, Xunlian ; Tian, Dejian. In: Papers. RePEc:arx:papers:2305.02481.

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2023Dynamic Return and Star-Shaped Risk Measures via BSDEs. (2023). Laeven, Roger ; Zullino, Marco ; Gianin, Emanuela Rosazza. In: Papers. RePEc:arx:papers:2307.03447.

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2023Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014.

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2024Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2023Forecasting 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.

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2023On 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.

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2023From 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.

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2024Asymmetric 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.

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2023On 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.

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2024A 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.

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2023Noise 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.

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2023A 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.

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2023.

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2024Value-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.

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2024Influence 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.

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2023Horizon-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.

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2023Stock 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.

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2023Using 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.

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2023Preference 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.

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2023Impact 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.

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2023Modified 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.

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2023Assessing liquidity?adjusted risk forecasts. (2021). Uffmann, Christina ; Berger, Theo. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1179-1189.

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2023Semiparametric 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.

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2023A 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.

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2023Does 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.

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2023Portfolio 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.

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Works by Marcelo Righi:

YearTitleTypeCited
2016Shortfall Deviation Risk: An alternative to risk measurement In: Papers.
[Full Text][Citation analysis]		paper6
2018A composition between risk and deviation measures In: Papers.
[Full Text][Citation analysis]		paper7
2019A 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
2018Extended Gini-type measures of risk and variability In: Papers.
[Full Text][Citation analysis]		paper3
2018Extended 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
2020On a robust risk measurement approach for capital determination errors minimization In: Papers.
[Full Text][Citation analysis]		paper1
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: 1		article
2023A theory for combinations of risk measures In: Papers.
[Full Text][Citation analysis]		paper2
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]		paper0
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]		paper4
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: 4		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]		paper2
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
2024Robust 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
2024Set 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]		article5
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]		article0
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]		article0
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]		article13
2018A simulation comparison of risk measures for portfolio optimization In: Finance Research Letters.
[Full Text][Citation analysis]		article7
2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2013Estimating non-linear serial and cross-interdependence between financial assets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2015A comparison of Expected Shortfall estimation models In: Journal of Economics and Business.
[Full Text][Citation analysis]		article23
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]		article1
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]		article0
2018Numerical comparison of multivariate models to forecasting risk measures In: Risk Management.
[Full Text][Citation analysis]		article4
2023Risk measures-based cluster methods for finance In: Risk Management.
[Full Text][Citation analysis]		article1
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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