Modelling interregional links in electricity price spikes AE Clements, R Herrera, AS Hurn Energy Economics 51, 383-393, 2015 | 72 | 2015 |
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile S Moisan, R Herrera, A Clements NCER Working Paper Series 117, 2017 | 70 | 2017 |
Value at risk forecasts by extreme value models in a conditional duration framework R Herrera, B Schipp Journal of Empirical Finance 23, 33-47, 2013 | 47 | 2013 |
The modeling and forecasting of extreme events in electricity spot markets R Herrera, N González International Journal of Forecasting 30 (3), 477-490, 2014 | 39 | 2014 |
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model R Herrera, A Rodriguez, G Pino Energy Economics 63, 129-143, 2017 | 38 | 2017 |
Point process models for extreme returns: Harnessing implied volatility R Herrera, AE Clements Journal of Banking & Finance 88, 161-175, 2018 | 26 | 2018 |
Dynamics of connectedness in clean energy stocks F Fuentes, R Herrera Energies 13 (14), 3705, 2020 | 22 | 2020 |
Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market R Herrera, B Schipp The North American Journal of Economics and Finance 29, 218-238, 2014 | 21 | 2014 |
Energy risk management through self-exciting marked point process R Herrera Energy Economics 38, 64-76, 2013 | 20 | 2013 |
Self-exciting extreme value models for stock market crashes R Herrera, B Schipp Statistical Inference, Econometric Analysis and Matrix Algebra: Festschrift …, 2009 | 18 | 2009 |
Multivariate dynamic intensity peaks‐over‐threshold models N Hautsch, R Herrera Journal of Applied Econometrics 35 (2), 248-272, 2020 | 15 | 2020 |
Modeling extreme risks in commodities and commodity currencies F Fuentes, R Herrera, A Clements Pacific-Basin Finance Journal 51, 108-120, 2018 | 13 | 2018 |
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union R Herrera, S Eichler Journal of Banking & Finance 35 (11), 2916-2930, 2011 | 9 | 2011 |
Una frontera de producción para la banca chilena M Aguirre, R Herrera, G Bravo Panorama socioeconómico, 0, 2004 | 8 | 2004 |
Forecasting extreme financial risk: A score-driven approach F Fuentes, R Herrera, A Clements International Journal of Forecasting 39 (2), 720-735, 2023 | 7 | 2023 |
Análisis comparativo de eficiencia técnica entre la banca chilena y alemana MA González, RH Leiva, GB Espinoza Revista de Matemática: Teoría y Aplicaciones 14 (2), 203-219, 2007 | 7 | 2007 |
Network analysis: a novel approach to identify PM2.5 hotspots and their spatio-temporal impact on air quality in Santiago de Chile A Clements, R Herrera, S Hurn Air Quality, Atmosphere & Health 13, 1075-1082, 2020 | 6 | 2020 |
Volatility Contagion in the A sian Crisis: New Evidence of Volatility Tail Dependence A Karmann, R Herrera Review of Development Economics 18 (2), 354-371, 2014 | 6 | 2014 |
Geographical spillovers on the relation between risk-taking and market power in the US banking sector G Pino, R Herrera, A Rodríguez The North American Journal of Economics and Finance 47, 351-364, 2019 | 5 | 2019 |
A marked point process model for intraday financial returns: Modelling extreme risk R Herrera, A Clements Empirical Economics, 2018 | 5 | 2018 |