Details about Rodrigo Herrera

Access statistics for papers by Rodrigo Herrera.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: phe650

Working Papers

2022

1. Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach, Journal of Commodity Markets, Elsevier (2023) View citations (1) (2023)

2021

2. Risk modeling with option-implied correlations and score-driven dynamics
   Working Papers Central Bank of Chile, Central Bank of Chile

2016

3. Modelling Extreme Risks in Commodities and Commodity Currencies
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Modeling extreme risks in commodities and commodity currencies, Pacific-Basin Finance Journal, Elsevier (2018) View citations (6) (2018)

2015

4. Multivariate dynamic intensity peaks-over-threshold models
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
   See also Journal Article Multivariate dynamic intensity peaks‐over‐threshold models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (2) (2020)
5. Point process models for extreme returns: Harnessing implied volatility
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Point process models for extreme returns: Harnessing implied volatility, Journal of Banking & Finance, Elsevier (2018) View citations (16) (2018)

2011

6. Extreme value models in a conditional duration intensity framework
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2025

1. Tail risk dynamics of banks with score-driven extreme value models
   Journal of Empirical Finance, 2025, 81, (C)

2024

2. An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
   Journal of Empirical Finance, 2024, 77, (C)
3. Market risk modeling with option-implied covariances and score-driven dynamics
   The North American Journal of Economics and Finance, 2024, 72, (C)

2023

4. Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach
   Journal of Commodity Markets, 2023, 32, (C) View citations (1)
   See also Working Paper Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach, MPRA Paper (2022) (2022)
5. Forecasting extreme financial risk: A score-driven approach
   International Journal of Forecasting, 2023, 39, (2), 720-735 View citations (2)

2021

6. A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
   Journal of Applied Statistics, 2021, 48, (3), 471-497 View citations (1)

2020

7. A marked point process model for intraday financial returns: modeling extreme risk
   Empirical Economics, 2020, 58, (4), 1575-1601 View citations (3)
8. Dynamics of Connectedness in Clean Energy Stocks
   Energies, 2020, 13, (14), 1-19 View citations (14)
9. Multivariate dynamic intensity peaks‐over‐threshold models
   Journal of Applied Econometrics, 2020, 35, (2), 248-272 View citations (2)
   See also Working Paper Multivariate dynamic intensity peaks-over-threshold models, CFS Working Paper Series (2015) View citations (3) (2015)

2019

10. Geographical spillovers on the relation between risk-taking and market power in the US banking sector
    The North American Journal of Economics and Finance, 2019, 47, (C), 351-364 View citations (1)

2018

11. A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile
    International Journal of Forecasting, 2018, 34, (4), 566-581 View citations (8)
12. Modeling extreme risks in commodities and commodity currencies
    Pacific-Basin Finance Journal, 2018, 51, (C), 108-120 View citations (6)
    See also Working Paper Modelling Extreme Risks in Commodities and Commodity Currencies, NCER Working Paper Series (2016) (2016)
13. Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach
    The North American Journal of Economics and Finance, 2018, 46, (C), 70-88 View citations (2)
14. Point process models for extreme returns: Harnessing implied volatility
    Journal of Banking & Finance, 2018, 88, (C), 161-175 View citations (16)
    See also Working Paper Point process models for extreme returns: Harnessing implied volatility, NCER Working Paper Series (2015) (2015)

2017

15. Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model
    Energy Economics, 2017, 63, (C), 129-143 View citations (18)

2015

16. Modelling interregional links in electricity price spikes
    Energy Economics, 2015, 51, (C), 383-393 View citations (40)

2014

17. Special Issue: Issues in Asia. Guest Editor: Laixun Zhao
    Review of Development Economics, 2014, 18, (2), 354-371 View citations (2)
18. Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market
    The North American Journal of Economics and Finance, 2014, 29, (C), 218-238 View citations (12)
19. The modeling and forecasting of extreme events in electricity spot markets
    International Journal of Forecasting, 2014, 30, (3), 477-490 View citations (18)

2013

20. Energy risk management through self-exciting marked point process
    Energy Economics, 2013, 38, (C), 64-76 View citations (10)
21. Value at risk forecasts by extreme value models in a conditional duration framework
    Journal of Empirical Finance, 2013, 23, (C), 33-47 View citations (16)

2011

22. Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union
    Journal of Banking & Finance, 2011, 35, (11), 2916-2930 View citations (2)

Chapters

2008

1. Reliability Models for the Uncapacitated Facility Location Problem with User Preferences
   Springer View citations (1)