Paulo Sergio Ceretta

Universidade Federal de Santa Maria

Professor

Santa Maria

Brazil

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 27,665

SSRN RANKINGS

Top 27,665

in Total Papers Downloads

1,301

CITATIONS

1

Scholarly Papers (15)

1.

Individual and Flexible Expected Shortfall Backtesting

Journal of Risk Model Validation, 7 (3), 3-20, 2013.
Number of pages: 12 Posted: 04 Oct 2012 Last Revised: 02 May 2014
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 231 (77,248)

Abstract:

Expected Shortfall, Shortfall Deviation, Backtest, Monte Carlo Simulations

2.

Long-Run Relationship Among Latin America Stock Markets and the US - Impacts of the 2007/2008 Crisis

Number of pages: 15 Posted: 26 Oct 2010 Last Revised: 06 Nov 2010
Fernanda Barba and Paulo Sergio Ceretta
Federal University of Santa Maria (UFSM) and Universidade Federal de Santa Maria
Downloads 131 (173,746)
Citation 1

Abstract:

financial crisis, cointegration, stock market

Shortfall Deviation Risk: An Alternative for Risk Measurement

Number of pages: 29 Posted: 19 Dec 2014 Last Revised: 11 May 2016
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 104 (213,856)

Abstract:

Shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures.

Shortfall Deviation Risk: An Alternative for Risk Measurement

Journal of Risk, Vol. 19, No. 2, 2016
Number of pages: 36 Posted: 23 Nov 2016
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 0

Abstract:

shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures

4.

A Comparison of Expected Shortfall Estimation Models

Journal of Economics and Business, Vol. 78, 2015
Number of pages: 41 Posted: 06 Jun 2013 Last Revised: 02 Dec 2014
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 102 (154,960)

Abstract:

Risk Measures, Expected Shortfall, Risk Estimation, Backtesting

5.

Risk Transmission Between Latin America Stock Markets and the US: Impacts of the 2007/2008 Crisis

Number of pages: 13 Posted: 18 Feb 2011
Fernanda Barba and Paulo Sergio Ceretta
Federal University of Santa Maria (UFSM) and Universidade Federal de Santa Maria
Downloads 83 (237,819)

Abstract:

Financial Crisis, Volatility Spillover, Latin America

6.

Do Brazilian REITs Depend on Real Estate Sector Companies or Overall Market?

Economics Bulletin, v. 33, i. 4, pp. 2948-2957, 2013
Number of pages: 9 Posted: 01 Jan 2014
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Downloads 60 (232,778)

Abstract:

REITs, Brazilian Market, Ifix, Imob, Ibovespa

7.

Forecasting Value at Risk and Expected Shortfall Based on Serial Pair-Copula Constructions

Expert Systems with Applications, 42 : 6380–6390.,
Number of pages: 21 Posted: 28 Apr 2013 Last Revised: 16 May 2015
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 60 (250,381)

Abstract:

Risk management; Risk measures; Serial dependence; Pair-copula construction

8.

Brazilian REITs Performance: An Analysis of Higher Moments and Time Scales Influence

WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / E-ISSN: 2224-2899, Volume 13, 2016, Art. #19, pp. 193-206.
Number of pages: 14 Posted: 23 Jan 2015 Last Revised: 07 Apr 2016
Bruno Milani, Paulo Sergio Ceretta and Mari Eldionara Rosa Machado
Federal University of Santa Maria, Universidade Federal de Santa Maria and Federal University of Santa Maria (UFSM)
Downloads 40 (262,156)

Abstract:

Real Estate, REITs; wavelets; multiscale analysis; higher moments; Brazilian market

9.

Emerging Market Return Pricing: An Intertemporal and Interquantile Approach

Engineering Economics, v. 25, i. 4, pp. 387-394, 2014.
Number of pages: 14 Posted: 03 Dec 2012 Last Revised: 23 Jan 2015
Federal University of Santa Maria, Federal University of Rio Grande do Sul, Universidade Federal de Santa Maria and Federal University of Rio Grande do Sul
Downloads 30 (340,378)

Abstract:

Emerging Markets, ICAPM, Copula-DCC-GARCH

10.

Economic Development and Economic Variables: An Analyze of Emergent Countries

Number of pages: 13 Posted: 10 Apr 2015
Mari Eldionara Rosa Machado, Paulo Sergio Ceretta and Alexandre Costa
Federal University of Santa Maria (UFSM), Universidade Federal de Santa Maria and Federal University of Santa Maria (UFSM)
Downloads 21 (186,813)

Abstract:

economic growth, economic variables, BRICS, panel, threshold.

11.

Comparison between Brazilian Exchange-Traded Funds and Mutual Funds Performance: A Multiscale Approach

WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / E-ISSN: 2224-2899, Volume 13, 2016, Art. #18, pp. 175-192.
Number of pages: 18 Posted: 23 Jan 2015 Last Revised: 07 Apr 2016
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Downloads 21 (374,425)

Abstract:

Mutual Funds, ETFs, Multiscale analysis, Brazilian Market

12.

Dynamic Correlation between Share Returns, NAV Variation and Market Proxy of Brazilian ETFs

Engineering Economics, v. 25, i.1, pp. 21-30, 2014.
Number of pages: 11 Posted: 24 Jan 2015
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Downloads 16 (343,554)

Abstract:

ETFs, DCC, Multivariate Volatility, Brazilian Market, Share return, NAV variation

13.

A Multiscale Approach to Emerging Market Pricing

Economics Bulletin, v. 34, i.2, 2014.
Number of pages: 9 Posted: 24 Jan 2015
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Downloads 6 (484,564)

Abstract:

Emerging Markets, ICAPM, Multi-scale analysis.

14.

Cause-Effect Relation Between National Milk Supply and the Price Paid to Brazilian Milk Producers: An Empirical Analysis

The IUP Journal of Applied Economics, Vol. XI, No. 2, pp. 70-82, April 2012
Posted: 08 Oct 2012
affiliation not provided to SSRN, Federal University of Santa Maria (UFSM), Universidade Federal de Santa Maria and Universidade de Cruz Alta

Abstract:

15.

Misattribution Bias: The Role of Emotion in Risk Tolerance

The IUP Journal of Behavioral Finance, Vol. VIII, No. 3, pp. 25-44, September 2011
Posted: 03 Jul 2012
affiliation not provided to SSRN, Federal University of Santa Maria (UFSM), Universidade Federal de Santa Maria, Universidade Tecnológica Federal do Paraná and Universidade de Cruz Alta

Abstract: