Rodrigo Herrera

University of Talca

2 Norte 685

Talca, 3460000

Chile

SCHOLARLY PAPERS

3

DOWNLOADS

102

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Multivariate Dynamic Intensity Peaks-Over-Threshold Models

CFS Working Paper No. 516
Number of pages: 43 Posted: 22 Sep 2015
Nikolaus Hautsch and Rodrigo Herrera
University of Vienna - Department of Statistics and Operations Research and University of Talca
Downloads 96 (272,483)

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Extreme value theory, Value-at-Risk, Expected shortfall, Self-exciting point process, Conditional intensity

2.

Moderate and Extreme Volatility: Do the Magnitude of Returns Matter for Forecasting?

Number of pages: 21 Posted: 19 Sep 2019
Adam Clements and Rodrigo Herrera
Queensland University of Technology - School of Economics and Finance and University of Talca
Downloads 5 (615,838)

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Realized volatility, HAR model, moderate volatility, extreme volatility, forecasting

3.

Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence

Special Issue: Issues in Asia. Guest Editor: Laixun Zhao, Vol. 18, Issue 2, pp. 354-371, 2014
Number of pages: 18 Posted: 03 Apr 2014
Alexander Karmann and Rodrigo Herrera
Dresden University of Technology - Faculty of Economics and Business Management and University of Talca
Downloads 1 (653,079)
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