Rodrigo Herrera : Citation Profile


Are you Rodrigo Herrera?

Universidad de Talca

5

H index

2

i10 index

108

Citations

RESEARCH PRODUCTION:

17

Articles

4

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 8
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 10 (8.47 %)

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: 2022-06-25    RAS profile: 2022-05-18    
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Relations with other researchers


Works with:

Clements, Adam (6)

Pino, Gabriel (3)

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)

Trueck, Stefan (5)

Sibbertsen, Philipp (4)

Horst, Ulrich (3)

Rahbek, Anders (3)

Hafner, Christian (3)

Lu, Ye (3)

Trapin, Luca (3)

Cavaliere, Giuseppe (3)

Bee, Marco (3)

Fiocco, Raffaele (3)

Cites to:

Engle, Robert (18)

Hammoudeh, Shawkat (14)

Christoffersen, Peter (13)

Bauwens, Luc (12)

Giot, Pierre (11)

Hurn, Stan (11)

Hautsch, Nikolaus (8)

McAleer, Michael (6)

Rogoff, Kenneth (6)

Clements, Adam (6)

Diebold, Francis (6)

Main data


Where Rodrigo Herrera has published?


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

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research2

Recent works citing Rodrigo Herrera (2021 and 2020)


YearTitle of citing document
2021Deep 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.

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2020The 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.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2022Order Book Queue Hawkes-Markovian Modeling. (2021). Yang, Shihao ; Wu, Qianfan ; Protter, Philip. In: Papers. RePEc:arx:papers:2107.09629.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2020Interconnectedness 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.

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2022Scenarios 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.

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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.

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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.

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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.

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2021Consistent 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.

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2021Extreme 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.

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2021A 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.

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

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2021A 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.

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2021An 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.

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2021Which 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.

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2021Reserve 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.

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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.

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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.

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2021Carbon 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.

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2021The 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.

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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.

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2021COVID-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.

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2022Impact 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.

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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.

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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.

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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.

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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.

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2022Dynamic 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.

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2021Functional 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.

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2021Modeling 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.

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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.

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2021Modelling 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.

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2021Bootstrap inference for Hawkes and general point processes. (2021). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Discussion Papers. RePEc:kud:kuiedp:2105.

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2021BOOTSTRAP 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.

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2021A 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.

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2020Forecasting 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.

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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.

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2021Forecasting 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.

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2022A 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.

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Works by Rodrigo Herrera:


YearTitleTypeCited
2014Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence. In: Review of Development Economics.
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article1
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.
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article5
2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach In: The North American Journal of Economics and Finance.
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article2
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.
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article0
2013Value at risk forecasts by extreme value models in a conditional duration framework In: Journal of Empirical Finance.
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article4
2013Energy risk management through self-exciting marked point process In: Energy Economics.
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article1
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article24
2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics.
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article8
2014The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting.
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article8
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
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article5
2011Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union In: Journal of Banking & Finance.
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article2
2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
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article7
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
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paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
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article1
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
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paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
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article2
2011Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers.
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paper34
2020A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics.
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article1
2008Reliability Models for the Uncapacitated Facility Location Problem with User Preferences In: Operations Research Proceedings.
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chapter0
2021A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models In: Journal of Applied Statistics.
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article0
2020Multivariate dynamic intensity peaks?over?threshold models In: Journal of Applied Econometrics.
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article3
2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 3
paper

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