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Statistics of Multivariate Extremes with Applications in Risk Management

Herrera, Rodrigo - 2009

Persistent link: https://www.econbiz.de/10003899076

Energy risk management through self-exciting marked point process

Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76

Persistent link: https://www.econbiz.de/10009763643

A dynamic multiple equation approach for forecasting PM 2.5 pollution in Santiago, Chile

Moisan, Stella; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 34 (2018) 4, pp. 566-581

Persistent link: https://www.econbiz.de/10012031041

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

Multivariate dynamic intensity peaks-over-threshold models

Hautsch, Nikolaus; Herrera, Rodrigo - 2015

We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...

Persistent link: https://www.econbiz.de/10011336494