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 4 20
Extreme value models in a conditional duration intensity framework 0 0 0 10 0 0 0 99
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 0 1 2 67
Multivariate dynamic intensity peaks-over-threshold models 0 0 1 30 1 1 5 54
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 0 1 1 42
Risk modeling with option-implied correlations and score-driven dynamics 0 1 1 14 2 4 5 20
Total Working Papers 0 1 2 91 4 8 17 302

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 0 1 47
A marked point process model for intraday financial returns: modeling extreme risk 1 1 2 23 3 5 8 65
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 1 1 0 0 1 5
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 1 2 9 12 1 5 16 22
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 1 1 1 4 1 3 9 14
Dynamics of Connectedness in Clean Energy Stocks 1 1 1 3 1 1 1 22
Energy risk management through self-exciting marked point process 0 0 0 19 0 1 2 107
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 0 0 1 126
Forecasting extreme financial risk: A score-driven approach 0 0 2 11 3 3 9 45
Geographical spillovers on the relation between risk-taking and market power in the US banking sector 0 0 0 4 0 0 0 34
Market risk modeling with option-implied covariances and score-driven dynamics 1 1 2 3 2 2 8 11
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 1 1 32 1 2 5 130
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 1 2 3 58
Modelling interregional links in electricity price spikes 0 1 3 20 0 2 5 86
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 1 3 4 37
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 0 1 30
Point process models for extreme returns: Harnessing implied volatility 0 0 0 5 0 2 6 54
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 1 2 2 35
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 0 1 2 139
Tail risk dynamics of banks with score-driven extreme value models 0 1 1 1 1 4 4 4
The modeling and forecasting of extreme events in electricity spot markets 0 0 1 21 0 1 5 70
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 0 0 2 27
Total Journal Articles 5 9 24 246 16 39 95 1,168

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 0 0 4
Total Chapters 0 0 0 0 0 0 0 4

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Statistics updated 2025-08-05