Working Papers

Gaete M. and Herrera, R. (2022): "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach". Submitted to International Review of Financial Analysis.

Fuentes, F and Herrera, R., Clements, A. (2022). “Tail Risk Dynamics of Banks with Score-driven Extreme Value
Models
”. Revise and resubmit in Journal of Banking and Finance.

Herrera, R., and Clements, A. (2022). "Using threshold based volatility for estimating linear HAR model coefficients”. Working Paper.​

Piña M. and Herrera, R. (2021). "Risk modelling with option-implied correlations and score-driven dynamics". Workin Paper N° 932,  Central Bank of Chile.

Fuentes, F and Herrera, R., Clements, A. (2022). "Forecasting extreme financial risk: A score-driven approach"

International Journal of Forecasting. In Press (Available online 21 March 2022).

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.

Working Paper   

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.

Working Paper   Slides

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.

Working Paper   Slides

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.

Working Paper   

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.

Working Paper   

Herrera, R. and Fuentes, F. (2018). “Are Crude Oil and Natural Gas extreme prices interdependent?”. Journal of Physics: Conference Series. 1053 012112.

Working Paper   

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.

Working Paper   

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. 

Working Paper   

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.

Working Paper   

Herrera, R. and A. Karmann (2014). New evidence of contagion in the Asian crisis”. Review of Development Economics. Vol.18(2), 354-371. 

Working Paper   

Herrera, R. (2013). Energy risk management through self-exciting marked point process”. Energy Economics. Vol. 38, 64–76. 

Working Paper  

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. 

Working Paper   

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. 

Working Paper   

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
Other Publications