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 0 1 4 23
Extreme value models in a conditional duration intensity framework 0 0 0 10 2 2 3 102
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 1 2 4 69
Multivariate dynamic intensity peaks-over-threshold models 0 0 1 30 3 5 10 60
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 1 4 7 48
Risk modeling with option-implied correlations and score-driven dynamics 0 0 2 15 7 11 18 33
Total Working Papers 0 0 3 92 14 25 46 335

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 3 4 50
A marked point process model for intraday financial returns: modeling extreme risk 0 0 1 23 1 5 11 70
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 1 1 1 1 2 6
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 0 1 8 15 3 7 19 33
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 1 2 5 2 8 13 22
Dynamics of Connectedness in Clean Energy Stocks 0 0 1 3 3 4 6 27
Energy risk management through self-exciting marked point process 0 0 0 19 0 1 3 108
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 1 1 2 127
Forecasting extreme financial risk: A score-driven approach 0 0 1 11 0 3 9 49
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 0 0 2 3 0 2 7 14
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 0 1 32 5 8 14 141
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 1 2 6 61
Modelling interregional links in electricity price spikes 0 0 2 20 1 4 8 90
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 2 4 7 41
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 2 4 33
Point process models for extreme returns: Harnessing implied volatility 0 0 0 5 1 3 8 58
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 1 2 4 37
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 1 6 7 145
Tail risk dynamics of banks with score-driven extreme value models 0 0 2 2 0 5 12 12
The modeling and forecasting of extreme events in electricity spot markets 0 0 1 21 2 3 6 73
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 2 3 3 30
When to be discrete: The importance of time formulation in the modeling of extreme events in finance 0 0 0 0 4 4 4 4
Total Journal Articles 0 2 22 251 32 81 159 1,265

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 1 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 1 1 1 5

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Statistics updated 2026-01-09