4
H index
2
i10 index
69
Citations
Universidad de Talca | 4 H index 2 i10 index 69 Citations RESEARCH PRODUCTION: 17 Articles 5 Papers 1 Chapters RESEARCH ACTIVITY:
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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 |
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Energy Economics | 3 |
The North American Journal of Economics and Finance | 3 |
Journal of Banking & Finance | 2 |
International Journal of Forecasting | 2 |
Working Papers Series with more than one paper published | # docs |
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NCER Working Paper Series / National Centre for Econometric Research | 3 |
Year | Title of citing document |
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2020 | 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 | 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 |
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 |
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 |
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 |
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 |
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 |
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 |
Year | Title | Type | Cited |
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2014 | Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence. In: Review of Development Economics. [Full Text][Citation analysis] | article | 0 |
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 | 1 |
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 | 1 |
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 | 0 |
2013 | Energy risk management through self-exciting marked point process In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
2015 | Modelling interregional links in electricity price spikes In: Energy Economics. [Full Text][Citation analysis] | article | 13 |
2017 | Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
2014 | The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2018 | A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2017 | A 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 | |
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 | 4 |
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: 4 | paper | |
2018 | Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 0 |
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: 0 | paper | |
2020 | Dynamics of Connectedness in Clean Energy Stocks In: Energies. [Full Text][Citation analysis] | article | 0 |
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 |
In: . [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 peaksâ€overâ€threshold models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
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: 0 | paper |
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