Rodrigo Herrera : Citation Profile

Are you Rodrigo Herrera?

Universidad de Talca

7

H index

5

i10 index

147

Citations

RESEARCH PRODUCTION:

18

Articles

6

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 9
   Journals where Rodrigo Herrera has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 11 (6.96 %)

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: 2023-11-04    RAS profile: 2023-04-08    
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Relations with other researchers

Works with:

Clements, Adam (6)

Pino, Gabriel (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)

Trapin, Luca (3)

Lu, Ye (3)

Hafner, Christian (3)

Bee, Marco (3)

Horst, Ulrich (3)

Fiocco, Raffaele (3)

Rahbek, Anders (3)

Cites to:

Engle, Robert (23)

Bauwens, Luc (20)

Hammoudeh, Shawkat (17)

Giot, Pierre (16)

Hautsch, Nikolaus (13)

Hurn, Stan (11)

Nguyen, Duc Khuong (9)

Lucas, Andre (8)

Diebold, Francis (8)

Clements, Adam (8)

Rogoff, Kenneth (7)

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 Forecasting3
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 (2023 and 2022)

YearTitle of citing document
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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2022Application 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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2022Spillover effects in Chinese carbon, energy and financial markets. (2022). Ling, Meijun ; Xie, Fei ; Cao, Guangxi. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:3:p:416-434.

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2022Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies. (2022). Bhagav, Shravan ; Shaikh, Saheem ; Hawaldar, Iqbal Thonse ; Pinto, Prakash ; Kumar, Abhaya K ; Padmanabha, B. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-04-5.

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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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2022The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs. (2022). Vergili, Gizem ; Hol, Arife Ozdemir ; Sak, Ahmet Furkan ; Elik, Smail. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000262.

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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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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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2022Oil and renewable energy stock markets: Unique role of extreme shocks. (2022). , Toan ; Lu, Xinjie ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001670.

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2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

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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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2022Forecasting the occurrence of extreme electricity prices using a multivariate logistic regression model. (2022). Wennersten, Ronald ; Sun, Qie ; Li, Hailong ; Yan, Ruifeng ; Ma, Cuiping ; Bai, Feifei ; Liu, Luyao. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003206.

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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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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Joint modeling of effects of customer tier program on customer purchase duration and purchase amount. (2022). Hoshino, Takahiro ; Nishio, Kazuki. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:66:y:2022:i:c:s0969698921004720.

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2022Extreme risk transmission among bitcoin and crude oil markets. (2022). Pan, Zhigang ; Xu, Pengfei ; Wang, LU ; Hong, Yanran ; Li, Dongxin. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002094.

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2022How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test. (2022). Hong, Yanran ; Ma, Feng ; Wang, LU ; Liang, Chao. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003051.

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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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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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2022Optimization Method for Conventional Bus Stop Placement and the Bus Line Network Based on the Voronoi Diagram. (2022). Zhu, Hongbin ; Ye, Manqing ; Wang, FU ; Gu, Dengjun. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:13:p:7918-:d:851339.

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2022Energy commodities: A study on model selection for estimating Value-at-Risk. (2022). Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0456.

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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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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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2023Do 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.

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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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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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2022Multi?step air quality index forecasting via data preprocessing, sequence reconstruction, and improved multi?objective optimization algorithm. (2022). Yang, Hufang ; Li, Zhiwu ; Wang, Ying. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:7:p:1483-1511.

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2023A 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.

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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]		article1
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]		article0
2013Value at risk forecasts by extreme value models in a conditional duration framework In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article9
2013Energy risk management through self-exciting marked point process In: Energy Economics.
[Full Text][Citation analysis]		article1
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]		article31
2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model In: Energy Economics.
[Full Text][Citation analysis]		article15
2014The modeling and forecasting of extreme events in electricity spot markets In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
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]		article0
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 another version. Agregated cites: 13		paper
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article1
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020Dynamics of Connectedness in Clean Energy Stocks In: Energies.
[Full Text][Citation analysis]		article8
2011Extreme value models in a conditional duration intensity framework In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper34
2022Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach In: MPRA Paper.
[Full Text][Citation analysis]		paper0
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]		article0
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 another version. Agregated cites: 3		paper

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