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Statistics of Multivariate Extremes with Applications in Risk Management
Herrera, Rodrigo - 2009
Persistent link: https://www.econbiz.de/10003899076
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An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
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Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael; Herrera, Rodrigo - In: Journal of commodity markets 32 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822