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 3 8 27
Extreme value models in a conditional duration intensity framework 0 0 0 10 3 5 10 109
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 2 2 9 75
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 0 1 12 65
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 2 3 13 54
Risk modeling with option-implied correlations and score-driven dynamics 1 1 3 16 1 4 27 43
Total Working Papers 1 1 3 93 9 18 79 373

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 3 7 10 57
A marked point process model for intraday financial returns: modeling extreme risk 0 1 2 24 2 6 19 79
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 0 1 2 3 6 11
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 0 0 6 16 3 7 29 46
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 1 3 6 2 9 21 32
Dynamics of Connectedness in Clean Energy Stocks 0 0 1 3 2 3 12 33
Energy risk management through self-exciting marked point process 0 0 0 19 1 1 7 113
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 1 2 5 131
Forecasting extreme financial risk: A score-driven approach 1 1 1 12 2 5 14 56
Geographical spillovers on the relation between risk-taking and market power in the US banking sector 0 0 0 4 2 2 5 39
Market risk modeling with option-implied covariances and score-driven dynamics 0 0 1 3 2 6 16 25
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 0 1 32 6 11 27 155
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 4 6 13 69
Modelling interregional links in electricity price spikes 0 0 1 20 3 4 13 97
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 4 4 12 46
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 2 7 37
Point process models for extreme returns: Harnessing implied volatility 0 0 1 6 2 4 14 66
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 1 1 7 40
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 2 3 14 152
Tail risk dynamics of banks with score-driven extreme value models 1 4 6 6 5 16 31 31
The modeling and forecasting of extreme events in electricity spot markets 0 0 0 21 1 2 10 79
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 3 3 9 36
When to be discrete: The importance of time formulation in the modeling of extreme events in finance 0 1 1 1 2 5 11 11
Total Journal Articles 2 8 24 261 55 112 312 1,441

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 2 6
Self-exciting Extreme Value Models for Stock Market Crashes 0 0 0 0 1 1 1 1
Total Chapters 0 0 0 0 2 2 3 7

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Statistics updated 2026-05-06