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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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The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo; González, Nicolás - In: International journal of forecasting 30 (2014) 3, pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
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A marked point process model for intraday financial returns : modeling extreme risk
Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601
Persistent link: https://www.econbiz.de/10012219662
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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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Tail risk dynamics of banks with score-driven extreme value models
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: Journal of empirical finance 81 (2025), pp. 1-13
Persistent link: https://www.econbiz.de/10015405419