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 1 1 1 5 2 29 34 56
Extreme value models in a conditional duration intensity framework 0 0 0 10 0 1 10 110
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 1 2 11 78
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 0 0 11 66
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 1 2 12 56
Risk modeling with option-implied correlations and score-driven dynamics 0 0 1 16 1 2 23 45
Total Working Papers 1 1 2 94 5 36 101 411

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 1 1 12 59
A marked point process model for intraday financial returns: modeling extreme risk 0 0 1 24 1 1 17 82
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 0 1 0 1 7 12
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 0 2 5 19 0 4 32 58
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 1 4 8 2 5 27 41
Dynamics of Connectedness in Clean Energy Stocks 0 0 0 3 0 0 10 33
Energy risk management through self-exciting marked point process 0 0 0 19 0 2 9 116
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 0 0 5 131
Forecasting extreme financial risk: A score-driven approach 1 3 4 15 1 4 17 63
Geographical spillovers on the relation between risk-taking and market power in the US banking sector 0 0 0 4 0 1 8 42
Market risk modeling with option-implied covariances and score-driven dynamics 0 1 1 4 0 2 16 28
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 0 0 32 0 0 24 157
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 0 0 10 69
Modeling tail risk spillovers in commodity markets: The dominant role of energy 0 0 0 0 1 1 1 1
Modelling interregional links in electricity price spikes 1 1 1 21 2 3 15 101
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 1 10 47
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 1 2 8 39
Point process models for extreme returns: Harnessing implied volatility 1 1 2 7 1 2 14 69
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 0 1 8 43
Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market 0 0 1 31 1 4 18 157
Tail risk dynamics of banks with score-driven extreme value models 1 1 5 7 1 1 26 33
The modeling and forecasting of extreme events in electricity spot markets 0 0 0 21 0 1 12 82
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 0 2 11 38
When to be discrete: The importance of time formulation in the modeling of extreme events in finance 0 0 1 1 1 4 16 16
Total Journal Articles 4 10 25 274 13 43 333 1,517

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 3 7
Self-exciting Extreme Value Models for Stock Market Crashes 0 0 0 0 0 2 3 3
Total Chapters 0 0 0 0 0 2 6 10

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Statistics updated 2026-10-11