7
H index
5
i10 index
151
Citations
Rodrigo Herrera : Citation Profile
Universidad de Talca | RESEARCH PRODUCTION: 18 Articles 6 Papers 1 Chapters RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2008 - 2023). 
Relations with other researchers
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:
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Main data
Where Rodrigo Herrera has published?
| Journals with more than one article published | # docs |
|---|---|
| Energy Economics | 3 |
| International Journal of Forecasting | 3 |
| The North American Journal of Economics and Finance | 3 |
| 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 |
Recent works citing Rodrigo Herrera (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Rural banking spatial competition and stability. (2023). Amanda, Citra. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:492-504. Full description at Econpapers || Download paper |
| 2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper |
| 2023 | Energy firms in emerging markets: Systemic risk and diversification opportunities. (2023). Uribe, Jorge ; Chuliá, Helena ; Muoz-Mendoza, Jorge A ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000584. Full description at Econpapers || Download paper |
| 2023 | Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198. Full description at Econpapers || Download paper |
| 2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper |
| 2023 | Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191. Full description at Econpapers || Download paper |
| 2023 | Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147. Full description at Econpapers || Download paper |
| 2023 | Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328. Full description at Econpapers || Download paper |
| 2023 | Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x. Full description at Econpapers || Download paper |
| 2023 | New evidence of extreme risk transmission between financial stress and international crude oil markets. (2023). Zhang, Yaojie ; Wang, LU ; Li, Pan ; Hong, Yanran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002392. Full description at Econpapers || Download paper |
| 2023 | Energy Transition and the Economy: A Review Article. (2023). Kosempel, Stephen ; Genc, Talat S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:7:p:2965-:d:1106226. Full description at Econpapers || Download paper |
| 2023 | Clean Energy Action Index Efficiency: An Analysis in Global Uncertainty Contexts. (2023). Chambino, Mariana ; Horta, Nicole ; Dias, Rui. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:9:p:3937-:d:1140829. Full description at Econpapers || Download paper |
| 2023 | Hedging strategies among financial markets: the case of green and brown assets. (2023). Asl, Mahdi Ghaemi ; Yusuf, Agboola H ; Akinkugbe, Oluyele ; Raheem, Ibrahim D. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02358-1. Full description at Econpapers || Download paper |
| 2023 | Do extreme shocks help forecast oil price volatility? The augmented GARCH?MIDAS approach. (2023). Lang, Qiaoqi ; Liu, Guoshan ; Ma, Feng ; Wang, LU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2056-2073. Full description at Econpapers || Download paper |
| 2023 | Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511. Full description at Econpapers || Download paper |
| 2023 | A new PM2.5 concentration forecasting system based on AdaBoost?ensemble system with deep learning approach. (2023). Wang, Shouyang ; Sun, Shaolong ; Gan, Kai ; Li, Zhongfei. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:154-175. Full description at Econpapers || Download paper |
Works by Rodrigo Herrera:
| 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 |
| 2021 | Risk modeling with option-implied correlations and score-driven dynamics In: Working Papers Central Bank of Chile. [Full Text][Citation analysis] | paper | 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 | 6 |
| 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 | 1 |
| 2013 | Value at risk forecasts by extreme value models in a conditional duration framework In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
| 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 | 33 |
| 2017 | Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics. [Full Text][Citation analysis] | article | 15 |
| 2014 | The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
| 2018 | A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
| 2023 | Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 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 | 13 |
| 2015 | Point 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: 13 | 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 nother version. Agregated cites: 1 | paper | |
| 2020 | Dynamics of Connectedness in Clean Energy Stocks In: Energies. [Full Text][Citation analysis] | article | 9 |
| 2011 | Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 34 |
| 2022 | Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics. [Full Text][Citation analysis] | article | 3 |
| 2008 | Reliability Models for the Uncapacitated Facility Location Problem with User Preferences In: Operations Research Proceedings. [Citation analysis] | chapter | 1 |
| 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 nother version. Agregated cites: 3 | paper |
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