5
H index
2
i10 index
108
Citations
Universidad de Talca | 5 H index 2 i10 index 108 Citations RESEARCH PRODUCTION: 17 Articles 4 Papers 1 Chapters RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Rodrigo Herrera. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
The North American Journal of Economics and Finance | 3 |
Energy Economics | 3 |
International Journal of Forecasting | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
NCER Working Paper Series / National Centre for Econometric Research | 2 |
Year | Title of citing document |
---|---|
2021 | Deep 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 |
2020 | The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693. Full description at Econpapers || Download paper |
2021 | A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918. Full description at Econpapers || Download paper |
2021 | Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122. Full description at Econpapers || Download paper |
2022 | Order Book Queue Hawkes-Markovian Modeling. (2021). Yang, Shihao ; Wu, Qianfan ; Protter, Philip. In: Papers. RePEc:arx:papers:2107.09629. Full description at Econpapers || Download paper |
2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper |
2020 | Interconnectedness in the Australian National Electricity Market: A Higher?Moment Analysis. (2020). Smyth, Russell ; Nepal, Rabindra ; Do, Hung. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:315:p:450-469. Full description at Econpapers || Download paper |
2022 | Scenarios modelling for forecasting day-ahead electricity prices: Case studies in Australia. (2022). Zhu, Jianguo ; Lei, Gang ; Qiu, Jing ; Lu, Xin. In: Applied Energy. RePEc:eee:appene:v:308:y:2022:i:c:s0306261921015555. Full description at Econpapers || Download paper |
2020 | Taxonomy 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 |
2020 | Homotopy 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 |
2020 | Crude 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 |
2021 | Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114. Full description at Econpapers || Download paper |
2021 | Extreme risk spillovers between crude palm oil prices and exchange rates. (2021). Lau, Wee-Yeap ; Go, You-How. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001315. Full description at Econpapers || Download paper |
2021 | A model of dynamic tail dependence between crude oil prices and exchange rates. (2021). Ye, Wuyi ; Guo, Ranran. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001534. Full description at Econpapers || Download paper |
2020 | Predictability 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 |
2021 | A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881. Full description at Econpapers || Download paper |
2021 | An analysis of electricity congestion price patterns in North America. (2021). Ibrahim, Zinatu ; Godin, Frederic. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003893. Full description at Econpapers || Download paper |
2021 | Which clean energy sectors are attractive? A portfolio diversification perspective. (2021). Kuang, Wei. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005028. Full description at Econpapers || Download paper |
2021 | Reserve currency and the volatility of clean energy stocks: The role of uncertainty. (2021). Soytas, Ugur ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100503x. Full description at Econpapers || Download paper |
2020 | Volatility 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 |
2020 | A 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 |
2021 | Carbon pass-through rates on spot electricity prices in Australia. (2021). Zhu, Liangxu ; Truck, Stefan ; Nazifi, Fatemeh . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000839. Full description at Econpapers || Download paper |
2021 | The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255. Full description at Econpapers || Download paper |
2020 | The 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 |
2021 | COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan. (2021). Kutan, Ali ; Kattumuri, Ruth ; Kaur, Rishman Jot ; Ahmad, Wasim. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002155. Full description at Econpapers || Download paper |
2022 | Impact of carbon tax on electricity prices and behaviour. (2022). Zhang, Qin ; Wong, Jin Boon. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001793. Full description at Econpapers || Download paper |
2020 | Forecasting 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 |
2020 | Forecasting 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 |
2020 | Percolation 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 |
2020 | The (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 |
2022 | Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price. (2022). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007792. Full description at Econpapers || Download paper |
2021 | Functional limit theorems for marked Hawkes point measures. (2021). Xu, Wei ; Horst, Ulrich. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:94-131. Full description at Econpapers || Download paper |
2021 | Modeling Dynamic Multifractal Efficiency of US Electricity Market. (2021). Ferreira, Paulo ; Aslam, Faheem ; Ali, Haider. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6145-:d:644089. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2020 | Modeling 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 |
2021 | Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights. (2021). Sibbertsen, Philipp ; Meier, Johanna ; Flock, Teresa ; Dissanayake, Pushpa. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-690. Full description at Econpapers || Download paper |
2021 | Bootstrap inference for Hawkes and general point processes. (2021). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Discussion Papers. RePEc:kud:kuiedp:2105. Full description at Econpapers || Download paper |
2021 | BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, J ; Rahbek, Anders ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2021-05. Full description at Econpapers || Download paper |
2021 | A simple linear alternative to multiplicative error models with an application to trading volume. (2021). Clements, Adam ; Volkov, Vladimir ; Hurn, Stan. In: Working Papers. RePEc:tas:wpaper:38716. Full description at Econpapers || Download paper |
2020 | Forecasting air pollution PM2.5 in Beijing using weather data and multiple kernel learning. (2020). Xu, Xiang. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:2:p:117-125. Full description at Econpapers || Download paper |
2020 | Forecasting stock volatility in the presence of extreme shocks: Shortâ€term and longâ€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 |
2021 | Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump. (2021). Li, Xiafei ; Wei, YU ; Bai, Lan ; Zhang, Xuhui. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1501-1523. Full description at Econpapers || Download paper |
2022 | A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China. (2022). Niu, Tong ; Yang, Wendong ; Wang, Jianzhou ; Du, Pei. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:64-85. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2014 | Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence. In: Review of Development Economics. [Full Text][Citation analysis] | article | 1 |
2014 | Statistics 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] | article | 5 |
2018 | Mutual 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] | article | 2 |
2019 | Geographical 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] | article | 0 |
2013 | Value at risk forecasts by extreme value models in a conditional duration framework In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
2013 | Energy risk management through self-exciting marked point process In: Energy Economics. [Full Text][Citation analysis] | article | 1 |
2015 | Modelling interregional links in electricity price spikes In: Energy Economics. [Full Text][Citation analysis] | article | 24 |
2017 | Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics. [Full Text][Citation analysis] | article | 8 |
2014 | The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
2018 | A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2011 | Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2018 | Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
2015 | Point 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: 7 | paper | |
2018 | Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
2016 | Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Dynamics of Connectedness in Clean Energy Stocks In: Energies. [Full Text][Citation analysis] | article | 2 |
2011 | Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 34 |
2020 | A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
2008 | Reliability Models for the Uncapacitated Facility Location Problem with User Preferences In: Operations Research Proceedings. [Citation analysis] | chapter | 0 |
2021 | A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Multivariate dynamic intensity peaks?over?threshold models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
2015 | Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team