Beatriz V.M. Mendes

Instituto Nacional de Matemática Pura e Aplicada (IMPA)

Estrada Dona Castorina 110

Rio de Janeiro, 22460

Brazil

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

1.

Maximum Drawdown: Models and Applications

Coppead Working Paper Series No. 359
Number of pages: 19 Posted: 11 Mar 2004
Beatriz V.M. Mendes and Ricardo P. C. Leal
Instituto Nacional de Matemática Pura e Aplicada (IMPA) and The COPPEAD Graduate School of Business
Downloads 1,146 (34,952)
Citation 2

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Drawdown, Drawup, Maximum Drawdown-at-Risk, Extreme value distributions

2.

Value-at-Risk and Extreme Returns in Asian Stock Markets

International Journal of Business, Vol. 8, No. 1, 2003
Number of pages: 24 Posted: 01 Oct 2003
Andre Carvalhal and Beatriz V.M. Mendes
The COPPEAD Graduate School of Business and Instituto Nacional de Matemática Pura e Aplicada (IMPA)
Downloads 739 (64,246)

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Value-at-risk, Extreme values, Asia

3.

Robust Modeling of Multivariate Financial Data

Coppead Working Paper Series No. 355
Number of pages: 32 Posted: 19 Mar 2004
Beatriz V.M. Mendes and Ricardo P. C. Leal
Instituto Nacional de Matemática Pura e Aplicada (IMPA) and The COPPEAD Graduate School of Business
Downloads 342 (162,413)
Citation 1

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Extreme values, portfolio optimization, asset allocation, robustness

4.

Dynamic Copulas and Long Range Dependence

Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 89-111, 2011
Number of pages: 23 Posted: 29 Feb 2012
Beatriz V.M. Mendes and Silvia Costa Lopes
Instituto Nacional de Matemática Pura e Aplicada (IMPA) and University of São Paulo (USP) - Institute of Mathematics and Statistics (IME)
Downloads 174 (314,144)

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Long Memory, Conditional Copulas, Time Series, Financial

5.

Clustering in Emerging Equity Markets

Number of pages: 15 Posted: 16 Oct 2006
Beatriz V.M. Mendes and Ricardo P. C. Leal
Instituto Nacional de Matemática Pura e Aplicada (IMPA) and The COPPEAD Graduate School of Business
Downloads 165 (328,871)

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Copulas, Multivariate extreme events, Tail dependence, Emerging markets

6.

Pair-Copulas Modeling in Finance

Financial Markets and Portfolio Management, Vol. 24, No. 2, pp. 193-213, 2010
Posted: 18 Jun 2010
Instituto Nacional de Matemática Pura e Aplicada (IMPA), Universidade Federal do Rio de Janeiro (UFRJ) and The COPPEAD Graduate School of Business

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Pair-Copulas, Multivariate Modeling, Markowitz Mean Variance Model