Universidade Federal de Santa Maria
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Expected Shortfall, Shortfall Deviation, Backtest, Monte Carlo Simulations
financial crisis, cointegration, stock market
Shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures.
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shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures
Risk Measures, Expected Shortfall, Risk Estimation, Backtesting
Financial Crisis, Volatility Spillover, Latin America
REITs, Brazilian Market, Ifix, Imob, Ibovespa
Risk management; Risk measures; Serial dependence; Pair-copula construction
Real Estate, REITs; wavelets; multiscale analysis; higher moments; Brazilian market
Emerging Markets, ICAPM, Copula-DCC-GARCH
economic growth, economic variables, BRICS, panel, threshold.
Mutual Funds, ETFs, Multiscale analysis, Brazilian Market
ETFs, DCC, Multivariate Volatility, Brazilian Market, Share return, NAV variation
Emerging Markets, ICAPM, Multi-scale analysis.
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