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Marcelo Righi

Personal Details

First Name:Marcelo
Middle Name:
Last Name:Righi
Suffix:
RePEc Short-ID:pri511

Affiliation

Departamento de Economia e Relações Internacionais
Universidade Federal do Rio Grande do Sul

Porto Alegre, Brazil
https://www.ufrgs.br/fce/departamentos/economia-relacoes-internacionais/
RePEc:edi:cufrgbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Marcelo Righi & Eduardo Horta & Marlon Moresco, 2024. "Set risk measures," Papers 2407.18687, arXiv.org, revised Mar 2025.
  2. Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
  3. Marcelo Righi, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Feb 2025.
  4. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
  5. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
  6. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
  7. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  8. Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised May 2024.
  9. Marlon Moresco & Marcelo Brutti Righi, 2021. "On the link between monetary and star-shaped risk measures," Papers 2108.13500, arXiv.org.
  10. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  11. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.
  12. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2019. "Spectral risk measures and uncertainty," Papers 1905.07716, arXiv.org.
  13. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
  14. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
  15. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322, arXiv.org, revised Mar 2018.
  16. Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
  17. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.

Articles

  1. Foguesatto, Cristian Rogério & Righi, Marcelo Brutti & Müller, Fernanda Maria, 2024. "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, Elsevier, vol. 72(C).
  2. Fernanda Maria Müller & Marcelo Brutti Righi, 2024. "Comparison of Value at Risk (VaR) Multivariate Forecast Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 75-110, January.
  3. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
  4. Fernanda Maria Müller & Thalles Weber Gössling & Samuel Solgon Santos & Marcelo Brutti Righi, 2024. "A comparison of Range Value at Risk (RVaR) forecasting models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 509-543, April.
  5. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
  6. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  7. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
  8. Moresco Marlon & Brutti Righi Marcelo & Horta Eduardo, 2023. "Minkowski deviation measures," Statistics & Risk Modeling, De Gruyter, vol. 40(1-2), pages 1-19, January.
  9. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
  10. Righi, Marcelo Brutti & Müller, Fernanda Maria, 2023. "Range-based risk measures and their applications," ASTIN Bulletin, Cambridge University Press, vol. 53(3), pages 636-657, September.
  11. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  12. Moresco, Marlon Ruoso & Righi, Marcelo Brutti, 2022. "On the link between monetary and star-shaped risk measures," Statistics & Probability Letters, Elsevier, vol. 184(C).
  13. Sant’Anna, Leonardo Riegel & Righi, Marcelo Brutti & Müller, Fernanda Maria & Guedes, Pablo Cristini, 2022. "Risk measure index tracking model," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 361-383.
  14. Müller, Fernanda Maria & Santos, Samuel Solgon & Gössling, Thalles Weber & Righi, Marcelo Brutti, 2022. "Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk," Finance Research Letters, Elsevier, vol. 48(C).
  15. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  16. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
  17. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
  18. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2018. "Extended Gini-Type Measures of Risk and Variability," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 295-314, May.
  19. Righi, Marcelo Brutti & Borenstein, Denis, 2018. "A simulation comparison of risk measures for portfolio optimization," Finance Research Letters, Elsevier, vol. 24(C), pages 105-112.
  20. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  21. Marcelo Brutti Righi, 2017. "Closed spaces induced by deviation measures," Economics Bulletin, AccessEcon, vol. 37(3), pages 1781-1784.
  22. Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda, 2015. "Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks," Energy Economics, Elsevier, vol. 49(C), pages 23-32.
  23. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
  24. Marcelo Brutti Righi & Kelmara Mendes Vieira, 2014. "Liquidity Spillover in International Stock Markets through Distinct Time Scales," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-10, January.
  25. Marcelo Brutti Righi & Kelmara Mendes Vieira & Daniel Arruda Coronel & Reisoli Bender Filho & Paulo Sergio Ceretta, 2014. "Decomposing the bid-ask spread in the Brazilian market: an intraday framework," Economics Bulletin, AccessEcon, vol. 34(3), pages 2010-2023.
  26. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2014. "Risk Measures Theory: a comprehensive survey," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 411-464.
  27. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Risk prediction management and weak form market efficiency in Eurozone financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 384-393.
  28. Paulo Sergio Ceretta & Alexandre Silva da Costa & Marcelo Brutti Righi & Fernanda Maria Müller, 2013. "A 10 min tick volatility analysis between the Ibovespa and the S&P500," Economics Bulletin, AccessEcon, vol. 33(3), pages 2169-2176.
  29. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2013. "Pair Copula Construction based Expected Shortfall estimation," Economics Bulletin, AccessEcon, vol. 33(2), pages 1067-1072.
  30. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
  31. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach," Economic Modelling, Elsevier, vol. 35(C), pages 199-206.
  32. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Copula based Dynamic Hedging Strategy with Futures," Economics Bulletin, AccessEcon, vol. 32(4), pages 3394-3400.
  33. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 529-550.
  34. Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller, 2012. "Quantiles autocorrelation in stock markets returns," Economics Bulletin, AccessEcon, vol. 32(3), pages 2065-2075.
  35. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach," Economics Bulletin, AccessEcon, vol. 32(2), pages 1151-1161.
  36. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Predicting the risk of global portfolios considering the non-linear dependence structures," Economics Bulletin, AccessEcon, vol. 32(1), pages 282-294.
  37. Marcelo Brutti Righi & Paulo Sérgio Ceretta, 2011. "Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach," Economics Bulletin, AccessEcon, vol. 31(2), pages 1717-1730.
  38. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3016-3029.
  39. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Extreme values dependence of risk in Latin American markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 2903-2914.

Chapters

  1. Marcelo Brutti Righi & Yi Yang & Paulo Sergio Ceretta, 2014. "Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation," Contemporary Studies in Economic and Financial Analysis, in: Risk Management Post Financial Crisis: A Period of Monetary Easing, volume 96, pages 83-95, Emerald Group Publishing Limited.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (14) 2015-01-31 2015-12-01 2017-07-30 2017-08-06 2018-08-13 2019-05-27 2020-03-30 2021-09-06 2021-11-01 2022-10-10 2023-02-06 2024-07-29 2024-08-12 2024-08-26. Author is listed
  2. NEP-CBA: Central Banking (1) 2015-12-01
  3. NEP-FMK: Financial Markets (1) 2019-05-27
  4. NEP-ISF: Islamic Finance (1) 2021-09-06
  5. NEP-UPT: Utility Models and Prospect Theory (1) 2022-10-10

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