Beatriz Vaz de Melo Mendes

Instituição:

Universidade Federal do Rio de Janeiro

Centro:

Centro de Ciências Matemáticas e da Natureza

Unidade:

Instituto de Matemática

Departamento:

Departamento de Métodos Estatísticos/I Mat

ORCID:

não disponível no Lattes


Formação:

  • The State University of New Jersey - New Brunswick

    Estatística | Mestrado | 1990 - 1992

  • The State University of New Jersey - New Brunswick

    Estatística | Doutorado | 1990 - 1995

  • Instituto Nacional de Matemática Pura e Aplicada

    Matemática | Mestrado | 1985 - 1988

  • Universidade Federal de Minas Gerais

    Arquitetura | Graduação | 1966 - 1970
Laboratórios:
Nenhum laboratório cadastrado
Nuvens de Palavras:
Artigos:

(26.98% artigos com DOI)

Titulo DOI Ano
A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020 10.3390/jrfm13090192 2020
Determinants of stock market classifications 10.1080/13504851.2017.1414927 2018
Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets 10.1007/s12197-017-9386-x 2017
Implementing and testing the Maximum Drawdown at Risk 10.1016/j.frl.2017.06.001 2017
Assessing the impact of the realized range on the (E)GARCH volatility: Evidence from Brazil 2016
Modeling the Sovereign Spreads via Threshold Cointegration: Evidence from Brazil 2015
Robust pair-copula based forecasts of realized volatility 10.1002/asmb.1960 2013
Assessing the effect of tail dependence in portfolio allocations 10.1080/09603107.2013.804160 2013
On the dependence structure of realized volatilities 10.1016/j.irfa.2012.01.001 2012
Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios 10.1016/j.ememar.2012.07.005 2012
Copula based models for serial dependence 10.1108/17439131111109008 2011
Dynamic Copulas and Long Range Dependence 2011
LOCAL ESTIMATION OF DYNAMIC COPULA MODELS 10.1142/S0219024910005759 2010
Pair-copulas modeling in finance 10.1007/s11408-010-0130-1 2010
Portfolio Management with Semi-Parametric Bootstraping 2010
The Risk-Return Relationship of Pension Funds With Investments in Hedge Funds 10.1080/10978526.2010.496307 2010
Assessing Conditional Extremal Risk of Flooding in Puerto Rico 2009
Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas 10.1080/10920277.2009.10597546 2009
Local Estimation of Copula Based Value-at-Risk 2009
Does Long Memory in Volatility Increase Interdependence? 2008
Evaluating the forecast accuracy of emerging market stock returns 2008
A conditional approach for risk estimation 2008
Time series analysis of dengue incidence in Rio de Janeiro 2008
On the maximum bias functions of MM -estimates and constrained M -estimates of regression 10.1214/009053606000000975 2007
Robust Fits for Copula Models 10.1080/03610910701539708 2007
Clustering in Emerging Equity Markets 2007
The limiting copula of the two largest order statistics of i.i.d. samples 2007
Foreign exchange volatility and trading volume of derivative instruments: Evidence from the Brazilian market 2007
A Bayesian Analysis of Clusters of Extreme Losses 2006
Bandwidth Selection in Classical and Robust estimation of Long Memory 2006
Computing Conditional VaR Using Time-varying Copulas 2006
Copulas: A Review and Recent Developments 2006
Multivariate skew distributions based on the GT-copula 2006
Asymmetric extreme interdependence in emerging equity markets 10.1002/asmb.602 2005
Maximum Drawdown: Models and Applications 2005
Robust Multivariate Modeling in Finance 2005
Assessing Drawdown-at-Risk in Brazilian foreign exchange rate 2005
Optimal Portfolio Structuring Using Robust Statistics 2005
Modeling Clusters of Extreme Losses 2005
Some remarks regarding Pitman closeness 2005
Medindo a Influencia do Mercado Americano nas Interdependencias Observadas na America Latina 2005
Data Driven Estimates for Mixtures 2004
Modeling Drawdowns and Drawups in Financial Markets 2004
Measuring financial risks with copulas 2004
Robust Asset Allocation in Emerging Stock Markets 2004
Measuring Financial Risks With Copulas 2004
Value-at-Risk and Extreme Returns in Asian Stock Markets 2003
Sobre a Precisão das Estimativas de Máxima Verossimilhança nas Distribuções Bivariadas de Valores Extremos 2003
Improving Financial Risk Assessment Through Dependency 2002
Sobre a Nao Existencia dos Estimadores de Maxima Verossimilhanca: Uma Aplicacao na Estimacao do Risco de Credito 2002
Extreme Market Events in Latin American Stock Markets 2000
Estructuracion Óptima de Carteras de Inversiones en el Mercado Brasileno Usando Estimadores Robustos para la Matriz de Covarianza 2000
Assessing the bias of maximum likelihood estimates of contaminated garch models 10.1080/00949650008812051 2000
Computing Robust Risk Measures in Emerging Equity Markets Using Extreme Value Theory 2000
Robust Estimation for ARCH Models (with discussion) 1999
Financial Modeling Using Sampling Importance Resampling 1999
Interior Point Algorithms for LSAD and LMAD Estimation 1998
Bias Robustness of the CM-estimates of Location and Scale 1998
Robust Hedging Using Futures Contracts with an Application to Emerging Markets 1998
Estimando o Risco Sistemático de Ações Brasileiras Usando Regressão Ortogonal 1998
Robust Estimation of Systematic Risk in Emerging Stock Markets 1997
Constrained M-estimation for Regression 1996
Estudo do Ponto de Corte em uma Regra de Classificação para Dados Binários e uma Aplicação em Pneumologia 1988
Eventos:

(0.00% eventos com DOI)

Titulo DOI Ano
EGARCH-RR: Realized Ranges explaining EGARCH volatilities 2014
Determinants of (Re)Insurer Credit Default Premia Dynamics through Vector Error Correction Models (VECM) 2013
Variance of the forecasting error: revisiting top-down and bottom-up approaches under different updating conditions 2010
On the Dependence Structure of Realized Volatilities 2010
Robust Conditional Pair-Copulas Modelling of Realized Volatilities 2010
Pair-Copulas: Applications in Finance 2009
Pair-Copulas Modeling in Finance 2009
Incorporating Tail-Dependence Into Markowitz Mean-Variance Model 2009
Pair Copula Modeling of Realized Volatilities 2009
Copula Based Models for Serial Dependence 2009
Hydrological Risk Analysis of Solim\~oes River Using Extreme Value Theory 2008
Long Range Dependence in Copula Models 2008
Uma nova abordagem na estimação de Valor em Risco usando Valores Extremos 2007
Interdependência Extrema e Contágio em Mercados Emergentes: Uma Aplicação da Teoria das Cópulas para Valores Extremos 2007
Análise de Estilo Robusta 2007
A Conditional Approach for Risk Estimation 2007
Robust Style Analysis: Brazilian Funds Classification Revisited 2007
Testes de Associatividade para Cópulas Arquimedianas 2007
Clustering in Emerging Equity Markets 2007
Clusters of emerging markets 2006
Robust Fits for copula models 2006
Robust Estimation of Long Memory 2006
Classificação dos fundos brasileiros utilizando técnicas robustas. 2006
Evaluating the forecast accuracy of emerging market stock returns 2005
A statistical methodology for the evaluation of Brazilian regular traffic delay cost 2005
Extremal dependence in stochastic processes 2005
Robust estimation of long memory 2005
How Long Memory in Volatility Affects True Dependence Structure 2005
Asymmetric Extreme Interdependence in Emerging Equity Markets 2005
Optimal Robust Asset Allocation with Very Volatile Stocks 2005
Matriz Robusta de Covariâncias e Seleção de Ações Brasileiras 2005
Robust Fits for Copula Models. 2005
Extremal Behavior of FIGARCH Processes 2004
Asymmetric extreme interdependence in emerging equity markets 2004
On the bias robustness of MM-estimates and constrained M-estimates of regression 2004
Asymmetric extreme interdependence in emerging equity markets 2004
Bayesian modeling of clusters of extreme losses 2004
Multivariate skew distributions based on the GT-copula 2004
Assessing Foreign Exchange Risk in Brazilian Markets Through Drawdowns 2004
Robust Asset Allocation in Emerging Stock Markets 2004
Assessing Investment Risk by Modeling its Maximum Drawdown 2003
Maximum bias curves for regression MM and CM-estimates 2003
A new family of multivariate skew distributions based on the GT copula 2003
Copula based measures of contagion 2003
Robust Modeling of Multivariate Financial Data 2002
Robust Statiscal Modeling of Portfolios 2002
Data Driven Estimates for Mixtures 2002
Aplicção de novas medidas de risco baseadas em drawdowns e drawups e de modelagem robusta em finanças 2002
Robust Modeling of Multivariate Financial Data 2002
Sobre a Precisão das Estimativas de Máxima Verossimilhança em Modelos Bivariados de Valores Extremos 2002
Modeling Extreme Returns In Asian Stock Markets 2001
Cópulas e Medidas de Dependência em Finanças 2001
A Teoria dos Valores Extremos em Atuária 2000
Improving Financial Risk Assessment Through Dependency 2000
Computing Robust Risk Measures in Emerging Equity Markets Using Extreme Value Theory 2000
Computing Robust Risk Measures in Emerging Equity Markets Using Extreme Value Theory 2000
Computing Robust Risk Measures Using Extreme Value Theory 1999
Extreme Market Events in Latin American Stock Markets 1999
Comparing Risk Measures in Latin American Stock Markets 1999
Assessing the Bias of Maximum Likelihood Estimates of GARCH Models 1998
Constrained M-estimation for GARCH Models 1998
Extreme Value Theory Aplied to Latin American Stock Markets 1998
Detectando Outliers de Regressão e Pontos de Alavanca 1998
Obtenção das Constantes Reguladoras de Várias Classes de CM-estimadores 1998
Estruturação Ótima de Carteiras de Investimento nos Mercados Acionários Brasileiros 1998
Robust Hedging Using Futures Contracts in Emerging Stock Markets 1997
Comparando Alguns Estimadores para Modelos GARCH 1997
Robust Estimation for ARCH Models 1997
Hedge Robusto Usando Futuros em Mercados Emergentes 1997
Regressão Robusta em Visão Computacional 1997
Estimativas Robustas e Eficientes para Processos GARCH com Contaminações 1997
Robustness Aspects of ARCH Regression Models Estimates 1996
Bayesian Inference: Sampling Importance Resampling Technique 1996
Robust Estimation of Risk inthe Brazilian Stock Market 1996
Illustrating the Behavior of the CM-estimates of Location and Scale 1996
Robust Estimation in the Brazilian Stock Market 1996
Inferência Bayesiana usando o SPlus: A Técnica Sampling Importance Resampling 1995
Robust Estimation of Market Risk 1995
Constrained M-estimation for Regression 1995
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