Details about Marcelo Righi

Access statistics for papers by Marcelo Righi.

Last updated 2024-10-16. Update your information in the RePEc Author Service.

Short-id: pri511

Working Papers

2025

1. A note on robust convex risk measures
   Papers, arXiv.org
2. Set risk measures
   Papers, arXiv.org

2024

3. Optimal hedging with variational preferences under convex risk measures
   Papers, arXiv.org
4. Star-shaped acceptability indexes
   Papers, arXiv.org View citations (2)
   See also Journal Article Star-shaped acceptability indexes, Insurance: Mathematics and Economics, Elsevier (2024) (2024)
5. The limitations of comonotonic additive risk measures: a literature review
   Papers, arXiv.org

2023

6. A note on the induction of comonotonic additive risk measures from acceptance sets
   Papers, arXiv.org
7. A risk measurement approach from risk-averse stochastic optimization of score functions
   Papers, arXiv.org
8. A theory for combinations of risk measures
   Papers, arXiv.org View citations (5)

2022

9. Inf-convolution and optimal risk sharing with countable sets of risk measures
   Papers, arXiv.org View citations (1)
   See also Journal Article Inf-convolution and optimal risk sharing with countable sets of risk measures, Annals of Operations Research, Springer (2024) (2024)
10. Star-Shaped deviations
    Papers, arXiv.org View citations (3)

2021

11. Minkowski gauges and deviation measures
    Papers, arXiv.org
12. On the link between monetary and star-shaped risk measures
    Papers, arXiv.org View citations (1)
    See also Journal Article On the link between monetary and star-shaped risk measures, Statistics & Probability Letters, Elsevier (2022) View citations (8) (2022)

2020

13. On a robust risk measurement approach for capital determination errors minimization
    Papers, arXiv.org View citations (3)
    See also Journal Article On a robust risk measurement approach for capital determination errors minimization, Insurance: Mathematics and Economics, Elsevier (2020) View citations (2) (2020)

2019

14. Spectral risk measures and uncertainty
    Papers, arXiv.org View citations (1)

2018

15. A composition between risk and deviation measures
    Papers, arXiv.org View citations (4)
    See also Journal Article A composition between risk and deviation measures, Annals of Operations Research, Springer (2019) View citations (19) (2019)
16. Extended Gini-type measures of risk and variability
    Papers, arXiv.org View citations (6)
    See also Journal Article Extended Gini-Type Measures of Risk and Variability, Applied Mathematical Finance, Taylor & Francis Journals (2018) View citations (6) (2018)

2016

17. Shortfall Deviation Risk: An alternative to risk measurement
    Papers, arXiv.org View citations (22)

Journal Articles

2024

1. A comparison of Range Value at Risk (RVaR) forecasting models
   Journal of Forecasting, 2024, 43, (3), 509-543 View citations (1)
2. Comparison of Value at Risk (VaR) Multivariate Forecast Models
   Computational Economics, 2024, 63, (1), 75-110
3. Inf-convolution and optimal risk sharing with countable sets of risk measures
   Annals of Operations Research, 2024, 336, (1), 829-860
   See also Working Paper Inf-convolution and optimal risk sharing with countable sets of risk measures, Papers (2022) View citations (1) (2022)
4. Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk
   The North American Journal of Economics and Finance, 2024, 72, (C)
5. Star-shaped acceptability indexes
   Insurance: Mathematics and Economics, 2024, 117, (C), 170-181
   See also Working Paper Star-shaped acceptability indexes, Papers (2024) View citations (2) (2024)

2023

6. A description of the COVID-19 outbreak role in financial risk forecasting
   The North American Journal of Economics and Finance, 2023, 66, (C) View citations (2)
7. Is there a risk premium? Evidence from thirteen measures
   The Quarterly Review of Economics and Finance, 2023, 92, (C), 182-199
8. Minkowski deviation measures
   Statistics & Risk Modeling, 2023, 40, (1-2), 1-19
9. Range-based risk measures and their applications
   ASTIN Bulletin, 2023, 53, (3), 636-657 View citations (1)
10. Risk measures-based cluster methods for finance
    Risk Management, 2023, 25, (1), 1-56 View citations (2)

2022

11. Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk
    Finance Research Letters, 2022, 48, (C) View citations (7)
12. Deviation-Based Model Risk Measures
    Computational Economics, 2022, 59, (2), 527-547 View citations (1)
13. On the link between monetary and star-shaped risk measures
    Statistics & Probability Letters, 2022, 184, (C) View citations (8)
    See also Working Paper On the link between monetary and star-shaped risk measures, Papers (2021) View citations (1) (2021)
14. Risk measure index tracking model
    International Review of Economics & Finance, 2022, 80, (C), 361-383 View citations (3)

2020

15. Liquidity, implied volatility and tail risk: A comparison of liquidity measures
    International Review of Financial Analysis, 2020, 69, (C) View citations (15)
16. On a robust risk measurement approach for capital determination errors minimization
    Insurance: Mathematics and Economics, 2020, 95, (C), 199-211 View citations (2)
    See also Working Paper On a robust risk measurement approach for capital determination errors minimization, Papers (2020) View citations (3) (2020)

2019

17. A composition between risk and deviation measures
    Annals of Operations Research, 2019, 282, (1), 299-313 View citations (19)
    See also Working Paper A composition between risk and deviation measures, Papers (2018) View citations (4) (2018)

2018

18. A simulation comparison of risk measures for portfolio optimization
    Finance Research Letters, 2018, 24, (C), 105-112 View citations (19)
19. Extended Gini-Type Measures of Risk and Variability
    Applied Mathematical Finance, 2018, 25, (3), 295-314 View citations (6)
    See also Working Paper Extended Gini-type measures of risk and variability, Papers (2018) View citations (6) (2018)
20. Numerical comparison of multivariate models to forecasting risk measures
    Risk Management, 2018, 20, (1), 29-50 View citations (11)

2017

21. Closed spaces induced by deviation measures
    Economics Bulletin, 2017, 37, (3), 1781-1784 View citations (3)

2015

22. A comparison of Expected Shortfall estimation models
    Journal of Economics and Business, 2015, 78, (C), 14-47 View citations (36)
23. Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks
    Energy Economics, 2015, 49, (C), 23-32 View citations (7)

2014

24. Decomposing the bid-ask spread in the Brazilian market: an intraday framework
    Economics Bulletin, 2014, 34, (3), 2010-2023
25. Liquidity Spillover in International Stock Markets through Distinct Time Scales
    PLOS ONE, 2014, 9, (1), 1-10 View citations (3)
26. Risk Measures Theory: a comprehensive survey
    Brazilian Review of Finance, 2014, 12, (3), 411-464

2013

27. A 10 min tick volatility analysis between the Ibovespa and the S&P500
    Economics Bulletin, 2013, 33, (3), 2169-2176
28. Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach
    Economic Modelling, 2013, 35, (C), 199-206 View citations (5)
29. Estimating non-linear serial and cross-interdependence between financial assets
    Journal of Banking & Finance, 2013, 37, (3), 837-846 View citations (5)
30. Pair Copula Construction based Expected Shortfall estimation
    Economics Bulletin, 2013, 33, (2), 1067-1072 View citations (3)
31. Risk prediction management and weak form market efficiency in Eurozone financial crisis
    International Review of Financial Analysis, 2013, 30, (C), 384-393 View citations (5)

2012

32. Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach
    Economics Bulletin, 2012, 32, (2), 1151-1161 View citations (1)
33. Copula based Dynamic Hedging Strategy with Futures
    Economics Bulletin, 2012, 32, (4), 3394-3400
34. Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach
    Brazilian Review of Finance, 2012, 10, (4), 529-550 View citations (1)
35. Predicting the risk of global portfolios considering the non-linear dependence structures
    Economics Bulletin, 2012, 32, (1), 282-294 View citations (2)
36. Quantiles autocorrelation in stock markets returns
    Economics Bulletin, 2012, 32, (3), 2065-2075 View citations (1)

2011

37. Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis
    Economics Bulletin, 2011, 31, (4), 3016-3029 View citations (8)
38. Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach
    Economics Bulletin, 2011, 31, (2), 1717-1730 View citations (2)
39. Extreme values dependence of risk in Latin American markets
    Economics Bulletin, 2011, 31, (4), 2903-2914 View citations (1)

Chapters

2014

1. Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation
   A chapter in Risk Management Post Financial Crisis: A Period of Monetary Easing, 2014, vol. 96, pp 83-95 View citations (1)