Rodrigo Herrera : Citation Profile

Universidad de Talca

8

H index

6

i10 index

180

Citations

RESEARCH PRODUCTION:

22

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2008 - 2025). See details.
   Cites by year: 10
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 13 (6.74 %)

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: 2025-04-12    RAS profile: 2025-03-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Clements, Adam (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)

Trueck, Stefan (5)

Sibbertsen, Philipp (4)

Cavaliere, Giuseppe (4)

Fiocco, Raffaele (3)

Hafner, Christian (3)

Bee, Marco (3)

Trapin, Luca (3)

Lu, Ye (3)

Rahbek, Anders (3)

Horst, Ulrich (3)

Cites to:

Engle, Robert (29)

Bauwens, Luc (25)

Hammoudeh, Shawkat (20)

Giot, Pierre (18)

Hautsch, Nikolaus (17)

Clements, Adam (13)

Hurn, Stan (12)

Lucas, Andre (12)

Nguyen, Duc Khuong (10)

Diebold, Francis (9)

Koopman, Siem Jan (8)

Main data

Production by document typechapterpaperarticle200820092010201120122013201420152016201720182019202020212022202320242025052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published200820092010201120122013201420152016201720182019202020212022202320242025010203040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20112012201320142015201620172018201920202021202220232024202502040Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2008200920102011201220132014201520162017201820192020202120222023202420250204060Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents1234567891002040Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Rodrigo Herrera has published?

Journals with more than one article published# docs
The North American Journal of Economics and Finance4
International Journal of Forecasting3
Journal of Empirical Finance3
Energy Economics3
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2024Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19363.

Full description at Econpapers || Download paper

2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

Full description at Econpapers || Download paper

2024Emission intensities in the Australian National Electricity Market – An econometric analysis. (2024). Truck, Stefan ; Nazifi, Fatemeh. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006825.

Full description at Econpapers || Download paper

2024Quantifying the short-term asymmetric effects of renewable energy on the electricity merit-order curve. (2024). Demetriades, Elias ; Tselika, Maria. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001798.

Full description at Econpapers || Download paper

2024Do climate risks affect dirty–clean energy stock price dynamic correlations?. (2024). Wu, Zhige ; Tang, Yixuan ; Li, DI. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004213.

Full description at Econpapers || Download paper

2024Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy. (2024). Bdowska-Sojka, Barbara ; Kliber, Agata. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005280.

Full description at Econpapers || Download paper

2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

Full description at Econpapers || Download paper

2024The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability. (2024). Wang, LU ; Duan, Huayou ; Liu, Guangqiang ; Zhao, Chenchen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002307.

Full description at Econpapers || Download paper

2024Economic extremes steering renewable energy trajectories: A time-frequency dissection of global shocks. (2024). Li, Dongxin ; Lai, Xiaodong ; Ruan, Hang ; Wang, LU. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:202:y:2024:i:c:s0040162524001136.

Full description at Econpapers || Download paper

2025A Review on PM 2.5 Sources, Mass Prediction, and Association Analysis: Research Opportunities and Challenges. (2025). Yin, Peng-Yeng. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:3:p:1101-:d:1579846.

Full description at Econpapers || Download paper

2024Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks. (2024). Ofori, Kwame Simpe ; Boakye, Kwabena G ; Appiagyei, George Oppong ; Barson, Zynobia ; Junior, Peterson Owusu. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:3:p:306-335.

Full description at Econpapers || Download paper

2024Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach. (2024). Xie, Fei ; Cao, Guangxi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2155-2175.

Full description at Econpapers || Download paper

Works by Rodrigo Herrera:

Year  ↓Title  ↓Type  ↓Cited  ↓
2014Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence. In: Review of Development Economics.
[Full Text][Citation analysis]		article2
2021Risk modeling with option-implied correlations and score-driven dynamics In: Working Papers Central Bank of Chile.
[Full Text][Citation analysis]		paper0
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]		article6
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]		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.
[Full Text][Citation analysis]		article1
2024Market risk modeling with option-implied covariances and score-driven dynamics 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]		article9
2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2025Tail risk dynamics of banks with score-driven extreme value models 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]		article3
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]		article38
2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics.
[Full Text][Citation analysis]		article19
2014The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2023Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
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]		article17
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article1
2022Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach.(2022) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article3
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
[Full Text][Citation analysis]		article13
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]		article3
2008Reliability Models for the Uncapacitated Facility Location Problem with User Preferences In: Operations Research Proceedings.
[Citation analysis]		chapter1
2021A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article1
2020Multivariate dynamic intensity peaks‐over‐threshold models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article3
2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
In: .
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team