Rodrigo Herrera : Citation Profile


Are you Rodrigo Herrera?

Universidad de Talca

4

H index

2

i10 index

69

Citations

RESEARCH PRODUCTION:

17

Articles

5

Papers

1

Chapters

RESEARCH ACTIVITY:

   10 years (2011 - 2021). See details.
   Cites by year: 6
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 9 (11.54 %)

EXPERT IN:

   Econometrics; Quantitative and Mathematical Studies
   Econometrics
   Financial Econometrics
   International Finance Forecasting and Simulation: Models and Applications

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe650
   Updated: 2021-03-27    RAS profile: 2021-03-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Clements, Adam (7)

Pino Saldías, Gabriel (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rodrigo Herrera.

Is cited by:

Härdle, Wolfgang (5)

Fiocco, Raffaele (3)

Horst, Ulrich (3)

Hafner, Christian (3)

Trueck, Stefan (3)

Bee, Marco (2)

Weron, Rafał (2)

Wilfling, Bernd (2)

Trapin, Luca (2)

Polinori, Paolo (2)

Reiss, Markus (2)

Cites to:

Engle, Robert (18)

Hammoudeh, Shawkat (15)

Christoffersen, Peter (13)

Hurn, Stan (10)

Bauwens, Luc (9)

Hautsch, Nikolaus (8)

Giot, Pierre (8)

McAleer, Michael (7)

Rogoff, Kenneth (6)

Grammig, Joachim (5)

Clements, Adam (5)

Main data


Where Rodrigo Herrera has published?


Journals with more than one article published# docs
Energy Economics3
The North American Journal of Economics and Finance3
Journal of Banking & Finance2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research3

Recent works citing Rodrigo Herrera (2021 and 2020)


YearTitle of citing document
2020Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

Full description at Econpapers || Download paper

2020Taxonomy of commodities assets via complexity-entropy causality plane. (2020). , Fernando ; Fernando, . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s096007792030309x.

Full description at Econpapers || Download paper

2020Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (2020). Fadugba, Sunday Emmanuel. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920307463.

Full description at Econpapers || Download paper

2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

Full description at Econpapers || Download paper

2020Predictability of hourly nitrogen dioxide concentration. (2020). Haupt, Harry ; Behm, Svenia. In: Ecological Modelling. RePEc:eee:ecomod:v:428:y:2020:i:c:s0304380020301484.

Full description at Econpapers || Download paper

2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

Full description at Econpapers || Download paper

2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

Full description at Econpapers || Download paper

2020The impact of probability of electricity price spike and outside temperature to define total expected cost for air conditioning. (2020). Marwan, Marwan. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301018.

Full description at Econpapers || Download paper

2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

Full description at Econpapers || Download paper

2020Forecasting the urban skyline with extreme value theory. (2020). Wan, Phyllis ; Auerbach, Jonathan. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:814-828.

Full description at Econpapers || Download paper

2020Percolation analysis of urban air quality: A case in China. (2020). Dong, Gaogao ; Li, Jingjing ; Du, Ruijin ; Fang, Guochang ; Qing, Ting ; Tian, Lixin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318552.

Full description at Econpapers || Download paper

2020The (in)efficiency of NYMEX energy futures: A multifractal analysis. (2020). , Igor ; Fernando, . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303952.

Full description at Econpapers || Download paper

2020Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets. (2020). Zhang, Jeffrey ; Yang, Yuhong ; Hu, Genhua ; Qiu, Hong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:7911-:d:418785.

Full description at Econpapers || Download paper

2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810.

Full description at Econpapers || Download paper

Works by Rodrigo Herrera:


YearTitleTypeCited
2014Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence. In: Review of Development Economics.
[Full Text][Citation analysis]
article0
2014Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article1
2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article1
2019Geographical spillovers on the relation between risk-taking and market power in the US banking sector In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article0
2013Value at risk forecasts by extreme value models in a conditional duration framework In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article0
2013Energy risk management through self-exciting marked point process In: Energy Economics.
[Full Text][Citation analysis]
article2
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]
article13
2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics.
[Full Text][Citation analysis]
article4
2014The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile.(2017) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
article0
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
[Full Text][Citation analysis]
article0
2011Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper34
2020A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics.
[Full Text][Citation analysis]
article1
In: .
[Citation analysis]
chapter0
2021A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models In: Journal of Applied Statistics.
[Full Text][Citation analysis]
article0
2020Multivariate dynamic intensity peaks‐over‐threshold models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article0
2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team