Working Papers
Fuentes, F and Herrera, R., Clements, A. (2024). “Tail Risk Dynamics of Banks with Score-driven Extreme Value
Models”. Revise and resubmit in Journal of Empirical Finance.
​
Herrera, R. and K. BieÅ„-Barkowska (2024) ”When to Be Discrete: The Importance of Time Formulation in the Modeling of Extreme Events in Finance" . Revise and resubmit in International Journal of Forecasting.
​
Herrera, R., and Clements, A. "Using threshold based volatility for estimating linear HAR model coefficients”. Working Paper.​
​
Herrera, R. and Clements, A. ”Realized conditional intensity of extreme events from a high-frequency perspective”
Herrera, R. and K. BieÅ„-Barkowska ”Dynamic binary models for extreme risk in financial markets”
Herrera, R., Candia, C. and K. BieÅ„-Barkowska ”Hawkes POT Factor Models: Measuring Tail Risk in Commodity Market”
Herrera, R., Candia, C. and Clements, A. ”Assessing Multivariate Tail Risk Forecastig Using a Vector Autoregressive Tail Index Model for Extremes”
​
Herrera,R. and C. Candia (2024). ”An Empirical Review of Dynamic Extreme Value Models for Forecasting Value at Risk, Expected Shortfall and Expectile”. Accepted in Journal of Empirical Finance
​
Piña M. and Herrera, R. (2024). ”Risk modelling with option-implied correlations and score-driven dynamics”. Accepted in North American Journal of Economics and Finance.
​
Gaete M. and Herrera, R. (2023): "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach". Journal of Commodity Markets. Vol 32,100363.
​
Fuentes, F and Herrera, R., Clements, A. (2023). "Forecasting extreme financial risk: A score-driven approach"
International Journal of Forecasting. Vol 39 (2), 720-735.
​
Rodriguez, A. Pino, G. and Herrera, R. (2021). “A Non-Parametric Statistic for Testing Conditional Heteroscedasticity”. Journal of Applied Statistics. Vol 48 (3), 471-497.
​
Fuentes, F and Herrera, R. (2020). "Dynamics of Connectedness in Clean Energy Stock Markets". Energies. Vol. 13 (14), 3705.
​
Clements, A. Herrera, R., and Hurn, A. (2020)."Network analysis: a novel approach to identify PM2.5 hotspots and their spatio-temporal impact on air quality in Santiago de Chile". Air Quality, Atmosphere & Health. Vol 13 (9), 1075-1082.
Herrera, R and Hautsch, N. (2020). “Multivariate Dynamic Intensity Peaks-Over-Threshold Models”. Journal of Applied Econometrics. Vol 35, 248-272.
​
Herrera, R., and Clements, A. (2020). “A marked point process model for intraday financial returns: Modelling extreme risk”. Empirical Economics. Vol 58, 1575-1601.
Working Paper Slides
​
Pino, G., Herrera, R. and Rodriguez, A. (2019). “Geographical spillovers on the relation between risk-taking and market power in the US banking sector”. North American Journal of Economics and Finance. Vol.47.351-364.
Working Paper
​
Fuentes, F., Herrera, R., and Clements, A.(2018). “Modeling Extreme Risks in Commodities and Commodity Currencies”. Pacific-Basin Finance Journal Vol. 51, 108-120.
​
Moisan, S., Herrera, R., and Clements, A. (2018). "A Dynamic Multiple Equation Approach for PM2.5 Forecasting in Santiago, Chile". International Journal of Forecasting, Vol. 34. 566-581.
​
Herrera, R., and Clements, A. (2018). “Point process models for extreme returns: Harnessing implied volatility”. Journal of Baking and Finance, Vol. 88, pp. 161-175.
​
Herrera, R., and Gonzalez, S. (2018). “ Mutual excitation between OECD Stock and Oil Markets: A Conditional Intensity Extreme Value Approach”. North American Journal of Economics and Finance. Vol. 46. 70-88.
​
Herrera, R. and Fuentes, F. (2018). “Are Crude Oil and Natural Gas extreme prices interdependent?”. Journal of Physics: Conference Series. 1053 012112.
​
Herrera, R., Rodriguez, A. and Pino (2017). "Modeling and Forecasting Extreme Commodity Prices: A Markov-Switching based Extreme Value Model”. Energy Economics. Vol. 63, pp. 129–143.
Working Paper
​
Herrera, R., Clements, A. and Hurn, A. (2015). “Modeling Interregional Links in Electricity Price Spikes”. Energy Economics, Vol. 51, pp. 383-393.
​
Herrera, R., and Schipp, B (2014). “Statistics of extreme events in Risk Management: The impact of the Subprime and Global Financial Crisis on the German stock market”. North American Journal of Economics and Finance. Vol. 29, 218-238.
​
Herrera, R. and N. González (2014). “Modeling and Forecasting of Extreme Events in Electricity Spot Markets”. International Journal of Forecasting, Vol. 30 (3), pp 477-490.
​
Herrera, R. and A. Karmann (2014). “New evidence of contagion in the Asian crisis”. Review of Development Economics. Vol.18(2), 354-371.
​
Herrera, R. (2013). “Energy risk management through self-exciting marked point process”. Energy Economics. Vol. 38, 64–76.
​
Herrera, R and Schipp, B. (2013).“Value at Risk forecasts by extreme value models in a conditional duration framework”. Journal of Empirical Finance. Vol. 23. 33–47.
​
Herrera, R. and S. Eichler (2011).“Extreme Dependence with Asymmetric Thresholds: Evidence for the European Monetary Union”. Journal of Banking and Finance. 35, Vol. 11, 2916-2930.
​
​
​
​
​
Herrera, R., Schipp, B. (2009). “Self-exciting extreme value models on stock market crashes. In: Statistical Inference, Econometric Analysis and Matrix Algebra”. Physica-Verlag Heidelberg., 209 - 231.(Book Chapter)
​
Herrera, R., M. Aguirre and G. Bravo (2007). “Análisis comparativo de eficiencia técnica entre la banca chilena y alemana”. Revista de Matemática: Teoría y Aplicaciones 14(2) : 203–218. ISSN: 1409-2433.
​
Herrera, R., S. Nickel and J. Kalcsics (2007). “Reliability Models for the Uncapacitated Facility Location Problem with User Preferences”. Operations Research Proceedings 2007, 135-140.
​
Herrera, R., M. Aguirre and G. Bravo (2004).“Una frontera de Producción para la banca Chilena” Panorama Socioeconómico, ISSN: 0718-1566. Chile.
Publications in academic journals