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. Bień-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. Bień-Barkowska ”Dynamic binary models for extreme risk in financial markets”
Herrera, R., Candia, C. and K. Bień-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