Rodrigo Herrera
Names
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Rodrigo |
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Herrera |
Identifer
Contact
Affiliations
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Universidad de Talca
/ Facultad de Economía y Negocios
Research profile
author of:
- Special Issue: Issues in Asia. Guest Editor: Laixun Zhao (RePEc:bla:rdevec:v:18:y:2014:i:2:p:354-371)
by Alexander Karmann & Rodrigo Herrera - Risk modeling with option-implied correlations and score-driven dynamics (RePEc:chb:bcchwp:932)
by Marco Piña & Rodrigo Herrera - Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market (RePEc:eee:ecofin:v:29:y:2014:i:c:p:218-238)
by Herrera, Rodrigo & Schipp, Bernhard - Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach (RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88)
by Herrera, Rodrigo & González, Sergio & Clements, Adam - Geographical spillovers on the relation between risk-taking and market power in the US banking sector (RePEc:eee:ecofin:v:47:y:2019:i:c:p:351-364)
by Pino, Gabriel & Herrera, Rodrigo & Rodríguez, Alejandro - Market risk modeling with option-implied covariances and score-driven dynamics (RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615)
by Herrera, Rodrigo & Piña, Marco - Value at risk forecasts by extreme value models in a conditional duration framework (RePEc:eee:empfin:v:23:y:2013:i:c:p:33-47)
by Herrera, Rodrigo & Schipp, Bernhard - An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile (RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239)
by Candia, Claudio & Herrera, Rodrigo - Energy risk management through self-exciting marked point process (RePEc:eee:eneeco:v:38:y:2013:i:c:p:64-76)
by Herrera, Rodrigo - Modelling interregional links in electricity price spikes (RePEc:eee:eneeco:v:51:y:2015:i:c:p:383-393)
by Clements, A.E. & Herrera, R. & Hurn, A.S. - Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model (RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143)
by Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel - The modeling and forecasting of extreme events in electricity spot markets (RePEc:eee:intfor:v:30:y:2014:i:3:p:477-490)
by Herrera, Rodrigo & González, Nicolás - A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile (RePEc:eee:intfor:v:34:y:2018:i:4:p:566-581)
by Moisan, Stella & Herrera, Rodrigo & Clements, Adam - Forecasting extreme financial risk: A score-driven approach (RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735)
by Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam - Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union (RePEc:eee:jbfina:v:35:y:2011:i:11:p:2916-2930)
by Herrera, R. & Eichler, S. - Point process models for extreme returns: Harnessing implied volatility (RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175)
by Herrera, R. & Clements, A.E. - Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach (RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533)
by Gaete, Michael & Herrera, Rodrigo - Modeling extreme risks in commodities and commodity currencies (RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120)
by Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam - Dynamics of Connectedness in Clean Energy Stocks (RePEc:gam:jeners:v:13:y:2020:i:14:p:3705-:d:386412)
by Fernanda Fuentes & Rodrigo Herrera - Extreme value models in a conditional duration intensity framework (RePEc:hum:wpaper:sfb649dp2011-022)
by Rodrigo Herrera & Bernhard Schipp - Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach (RePEc:pra:mprapa:115641)
by Gaete, Michael & Herrera, Rodrigo - Point process models for extreme returns: Harnessing implied volatility (RePEc:qut:auncer:2015_02)
by R Herrera & Adam Clements - Modelling Extreme Risks in Commodities and Commodity Currencies (RePEc:qut:auncer:2016_06)
by Fernanda Fuentes & Rodrigo Herrera & Adam Clements - A marked point process model for intraday financial returns: modeling extreme risk (RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y)
by Rodrigo Herrera & Adam Clements - Reliability Models for the Uncapacitated Facility Location Problem with User Preferences (RePEc:spr:oprchp:978-3-540-77903-2_21)
by Rodrigo Herrera & Jörg Kalcsics & Stefan Nickel - A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (RePEc:taf:japsta:v:48:y:2021:i:3:p:471-497)
by Alejandro Rodriguez & Gabriel Pino & Rodrigo Herrera - Multivariate dynamic intensity peaks‐over‐threshold models (RePEc:wly:japmet:v:35:y:2020:i:2:p:248-272)
by Nikolaus Hautsch & Rodrigo Herrera - Multivariate dynamic intensity peaks-over-threshold models (RePEc:zbw:cfswop:516)
by Hautsch, Nikolaus & Herrera, Rodrigo - Extreme value models in a conditional duration intensity framework (RePEc:zbw:sfb649:sfb649dp2011-022)
by Herrera, Rodrigo & Schipp, Bernhard