Rodrigo Herrera : Citation Profile

Are you Rodrigo Herrera?

Universidad de Talca

7

H index

6

i10 index

165

Citations

RESEARCH PRODUCTION:

20

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 10
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 12 (6.78 %)

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: 2024-11-04    RAS profile: 2024-06-10    
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Relations with other researchers

Works with:

Pino, Gabriel (2)

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)

Cavaliere, Giuseppe (4)

Sibbertsen, Philipp (4)

Horst, Ulrich (3)

Rahbek, Anders (3)

Bee, Marco (3)

Lu, Ye (3)

Fiocco, Raffaele (3)

Trapin, Luca (3)

Hafner, Christian (3)

Cites to:

Engle, Robert (29)

Bauwens, Luc (26)

Giot, Pierre (19)

Hammoudeh, Shawkat (18)

Hautsch, Nikolaus (17)

Hurn, Stan (11)

Lucas, Andre (11)

Clements, Adam (9)

Nguyen, Duc Khuong (8)

Diebold, Francis (8)

Poon, Ser-Huang (8)

Main data

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
Energy Economics3
Journal of Banking & Finance2
Journal of Empirical 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 (2024 and 2023)

YearTitle 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.

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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.

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2024The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). McCarthy, Joseph ; Goldstein, Michael A ; Orlov, Alexei G. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.

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2023Rural 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.

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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.

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2023Bootstrap 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.

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2023Energy 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.

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2023Forecasting 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.

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2023Forecasting 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.

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2023Foreseeing 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.

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2023Modelling 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.

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2023Electricity 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.

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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.

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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.

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2023Market 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.

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2023Dynamic regime differences in the market behavior of primary natural resources in response to geopolitical risk and economic policy uncertainty. (2023). Mugaloglu, Erhan ; Bilgili, Faik ; Aldieri, Luigi ; Mualolu, Erhan ; Magazzino, Cosimo ; Hoque, Mohammad Enamul ; Alnour, Mohammed ; Kukaya, Sevda. In: Resources Policy. RePEc:eee:jrpoli:v:87:y:2023:i:pb:s0301420723010516.

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2023New 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.

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2023Energy 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.

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2023Clean 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.

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2023Hedging 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.

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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.

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2023Deep 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.

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2024Forecasting 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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Works by Rodrigo Herrera:

YearTitleTypeCited
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
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]		article37
2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics.
[Full Text][Citation analysis]		article17
2014The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting.
[Full Text][Citation analysis]		article12
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
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]		article13
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: 13		paper
2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article0
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: 0		paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article2
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: 2		paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
[Full Text][Citation analysis]		article10
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
2015Multivariate dynamic intensity peaks-over-threshold models In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2
In: .
[Full Text][Citation analysis]		paper0

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