Access Statistics for Rodrigo Herrera

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 0 0 4 1 1 5 24
Extreme value models in a conditional duration intensity framework 0 0 0 10 2 4 5 104
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 4 6 8 73
Multivariate dynamic intensity peaks-over-threshold models 0 0 1 30 4 8 14 64
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 3 6 10 51
Risk modeling with option-implied correlations and score-driven dynamics 0 0 2 15 6 15 24 39
Total Working Papers 0 0 3 92 20 40 66 355

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 0 3 4 50
A marked point process model for intraday financial returns: modeling extreme risk 0 0 1 23 3 7 14 73
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 0 1 2 3 3 8
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 1 1 8 16 6 10 24 39
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 1 2 5 1 7 14 23
Dynamics of Connectedness in Clean Energy Stocks 0 0 1 3 3 6 9 30
Energy risk management through self-exciting marked point process 0 0 0 19 4 5 6 112
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 2 3 3 129
Forecasting extreme financial risk: A score-driven approach 0 0 0 11 2 2 10 51
Geographical spillovers on the relation between risk-taking and market power in the US banking sector 0 0 0 4 3 3 3 37
Market risk modeling with option-implied covariances and score-driven dynamics 0 0 2 3 5 5 12 19
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 0 1 32 3 10 17 144
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 2 4 8 63
Modelling interregional links in electricity price spikes 0 0 2 20 3 6 11 93
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 1 5 8 42
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 2 4 6 35
Point process models for extreme returns: Harnessing implied volatility 1 1 1 6 4 6 11 62
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 2 3 6 39
Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market 0 0 0 30 4 7 11 149
Tail risk dynamics of banks with score-driven extreme value models 0 0 2 2 3 7 15 15
The modeling and forecasting of extreme events in electricity spot markets 0 0 1 21 4 6 10 77
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 3 6 6 33
When to be discrete: The importance of time formulation in the modeling of extreme events in finance 0 0 0 0 2 6 6 6
Total Journal Articles 2 3 21 253 64 124 217 1,329

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Reliability Models for the Uncapacitated Facility Location Problem with User Preferences 0 0 0 0 0 1 1 5
Self-exciting Extreme Value Models for Stock Market Crashes 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 0 0 1 1 5

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Statistics updated 2026-02-12