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 8 27
Extreme value models in a conditional duration intensity framework 0 0 0 10 0 3 10 109
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 0 3 9 76
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 1 1 13 66
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 0 2 12 54
Risk modeling with option-implied correlations and score-driven dynamics 0 1 2 16 0 1 25 43
Total Working Papers 0 1 2 93 1 11 77 375

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 4 11 58
A marked point process model for intraday financial returns: modeling extreme risk 0 0 2 24 0 4 19 81
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models 0 0 0 1 0 2 6 11
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 1 1 6 17 5 11 33 54
Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 0 1 4 7 1 6 23 36
Dynamics of Connectedness in Clean Energy Stocks 0 0 1 3 0 2 12 33
Energy risk management through self-exciting marked point process 0 0 0 19 1 2 7 114
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union 0 0 0 27 0 1 5 131
Forecasting extreme financial risk: A score-driven approach 0 1 1 12 2 5 17 59
Geographical spillovers on the relation between risk-taking and market power in the US banking sector 0 0 0 4 0 4 7 41
Market risk modeling with option-implied covariances and score-driven dynamics 0 0 1 3 1 3 17 26
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 0 0 0 32 1 8 28 157
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 0 4 12 69
Modelling interregional links in electricity price spikes 0 0 0 20 0 4 12 98
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 4 10 46
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 0 7 37
Point process models for extreme returns: Harnessing implied volatility 0 0 1 6 0 3 13 67
Special Issue: Issues in Asia. Guest Editor: Laixun Zhao 0 0 0 6 1 3 8 42
Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market 1 1 1 31 1 3 14 153
Tail risk dynamics of banks with score-driven extreme value models 0 1 5 6 1 6 29 32
The modeling and forecasting of extreme events in electricity spot markets 0 0 0 21 2 3 11 81
Value at risk forecasts by extreme value models in a conditional duration framework 0 0 0 1 0 3 9 36
When to be discrete: The importance of time formulation in the modeling of extreme events in finance 0 0 1 1 1 3 12 12
Total Journal Articles 2 5 23 264 18 88 322 1,474

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 2 3 7
Self-exciting Extreme Value Models for Stock Market Crashes 0 0 0 0 0 1 1 1
Total Chapters 0 0 0 0 0 3 4 8

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Statistics updated 2026-07-10