Rodrigo Herrera : Citation Profile

Universidad de Talca

8

H index

7

i10 index

198

Citations

RESEARCH PRODUCTION:

22

Articles

7

Papers

2

Chapters

RESEARCH ACTIVITY:

   17 years (2008 - 2025). See details.
   Cites by year: 11
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 14 (6.6 %)

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: 2026-01-17    RAS profile: 2025-11-25    
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Relations with other researchers

Works with:

Clements, Adam (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rodrigo Herrera.

Is cited by:

Trueck, Stefan (5)

Härdle, Wolfgang (5)

Sibbertsen, Philipp (4)

Cavaliere, Giuseppe (4)

Horst, Ulrich (3)

Bee, Marco (3)

Rahbek, Anders (3)

Hafner, Christian (3)

Trapin, Luca (3)

Fiocco, Raffaele (3)

Lau, Chi Keung (3)

Cites to:

Engle, Robert (30)

Bauwens, Luc (25)

Hammoudeh, Shawkat (20)

Hautsch, Nikolaus (19)

Giot, Pierre (18)

Clements, Adam (17)

Lucas, Andre (14)

Hurn, Stan (12)

Nguyen, Duc Khuong (10)

Diebold, Francis (10)

Koopman, Siem Jan (9)

Main data

Where Rodrigo Herrera has published?

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

YearTitle of citing document
2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). 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). Li, Nan ; Chen, Muzi ; Zheng, Lifen ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19363.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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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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2024Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets. (2024). Lau, Wee Yeap ; Go, You-How. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001037.

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2025Unveiling the crypto-green nexus: A risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments. (2025). Kumar, Sanjeev ; Patel, Ritesh ; Agnihotri, Shalini. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002146.

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2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

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2024Emission intensities in the Australian National Electricity Market – An econometric analysis. (2024). , Weiming ; 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). Tselika, Maria ; Demetriades, Elias. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001798.

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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.

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

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2025Revisiting the crisis: An empirical analysis of the NEM suspension. (2025). Svec, Jiri ; Rangarajan, Arvind ; Trck, Stefan ; Foley, Sean. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324006911.

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2025Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events. (2025). Nepal, Rabindra ; Jamasb, Tooraj ; Pham, Son Duy ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008326.

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2025Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement. (2025). Wojewodzki, Michal ; Lau, Chi Keung ; Dai, Xingyu ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000659.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2025Asymmetric impacts of energy market-related uncertainty on clean energy stock volatility: The role of extreme shocks. (2025). Chen, Gengxuan ; Li, Sitong ; Yi, Siyu ; Liu, Yanchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002935.

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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.

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2024Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management. (2024). Veloso, Carmen L ; Cornejo, Edinson E ; Seplveda, Sandra M ; Muoz, Jorge A ; Delgado, Carlos L. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s104402832400125x.

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2024More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?. (2024). Wang, LU ; Duong, Duy ; Liang, Chao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:218:y:2024:i:c:p:1-19.

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2025A tale of two risks: Differential diversification roles of clean energy sector stocks in physical and transition climate risk management. (2025). Kuang, Wei. In: Renewable Energy. RePEc:eee:renene:v:249:y:2025:i:c:s0960148125008031.

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2025Revisiting the currency-commodity nexus: New insights into the R2 decomposed connectedness and the role of global shocks. (2025). Xia, Xiaohua ; An, Chaofan ; Liu, Mengai ; Chen, Baifan ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000152.

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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.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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

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2024Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado. (2024). Jose, Alvarez-Garcia ; de la Cruz, Maria ; de la Torre-Torres, Oscar V. In: Agriculture. RePEc:gam:jagris:v:14:y:2024:i:10:p:1692-:d:1486977.

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2025Modeling the Duration of Electricity Price Spikes Using Survival Analysis. (2025). Lpez, Manuel Zamudio ; Zareipour, Hamidreza. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:19:p:5255-:d:1764374.

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2024Forecasting the Occurrence of Electricity Price Spikes: A Statistical-Economic Investigation Study. (2024). Quashie, Mike ; Lopez, Manuel Zamudio ; Zareipour, Hamidreza. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:1:p:7-137:d:1331777.

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2024An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading. (2024). de la Torre-Torres, Oscar V ; de la Cruz, Maria ; Alvarez-Garcia, Jose. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:485-:d:1332374.

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2025Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case. (2025). Almanjahie, Ibrahim M ; Laksaci, Ali ; Elmezouar, Zouaoui Chikr ; Alshahrani, Fatimah. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1961-:d:1678875.

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2025Improved Probability-Weighted Moments and Two-Stage Order Statistics Methods of Generalized Extreme Value Distribution. (2025). Araveeporn, Autcha. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:14:p:2295-:d:1703845.

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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.

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2024Forecasting price spikes in day-ahead electricity markets: techniques, challenges, and the road ahead. (2024). Sheybanivaziri, Samaneh ; le Dreau, Jerome ; Kazmi, Hussain. In: Discussion Papers. RePEc:hhs:nhhfms:2024_001.

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2025Dynamic connectedness between trading volumes and retail investor sentiment in the Russian stock market with Bitcoin during external shock periods. (2025). Kurkin, Aleksei ; Teplova, Tamara ; Fayzulin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:021523.

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

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2025Is corn still king? Unravelling time-varying interactions among soft commodities. (2025). Auret, Christo ; Sayed, Ayesha. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:1:d:10.1007_s40822-024-00296-6.

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2024Does the U.S. extreme indicator matter in stock markets? International evidence. (2024). Jing, Xiaozhen ; Singh, Tarlok ; Xu, Dezhong ; Li, Bin. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00610-w.

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2024Operational risk management in managerial accounting: a comprehensive examination of strategies and implementation in medium size organizations. (2024). Kalogiannidis, Stavros ; Chatzitheodoridis, Fotios ; Kontsas, Stamatis ; Kalfas, Dimitrios. In: Operational Research. RePEc:spr:operea:v:24:y:2024:i:3:d:10.1007_s12351-024-00854-5.

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

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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2025Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework. (2025). Zhu, Min ; Xu, Mingdong ; Zheng, Siyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1182-1201.

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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]		article10
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]		article3
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]		article42
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]		article14
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]		article19
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: 19		paper
2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article2
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: 2		paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article5
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: 5		paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
[Full Text][Citation analysis]		article17
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
2009Self-exciting Extreme Value Models for Stock Market Crashes In: Springer Books.
[Citation analysis]		chapter0
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
2011Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0

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