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Rodrigo Sebastian Herrera Leiva

Profesor Asociado

UNIVERSIDAD DE TALCA

Talca, Chile

quantitative risk management, finance, forecasting, energy economics, extreme value theory.

Economia, DRESDEN UNIVERSITY OF TECHNOLOGY. Alemania, 2009
Ingeniería Civil Industrial, UNIVERSIDAD DE TALCA. Chile, 2002

Posdoc Full Time

DRESDEN UNIVERSITY OF TECHNOLOGY

Economia

Dresden, Alemania

2009 - 2010
Profesor Conferenciante Full Time

UNIVERSIDAD DE TALCA

Ingeniería

Curicó, Chile

2010 - 2010
Profesor Asistente Full Time

UNIVERSIDAD DE TALCA

Ingeniería

Curicó, Chile

2011 - 2013
Profesor Asistente Full Time

UNIVERSIDAD DE TALCA

Economía y Negocios

Talca, Chile

2014 - 2015
Profesor Asociado Full Time

UNIVERSIDAD DE TALCA

Economía y Negocios

Talca, Chile

2015 - A la fecha

Director Other

Universidad de Talca, Centro de Investigación en Economía Aplicada

Talca, Chile

2015 - 2018
Director Magister en Economía Other

Universidad de Talca

Talca, Chile

2015 - 2018
Decano Facultad de Economía y Negocios Full Time

Universidad de Talca

Talca, Chile

2018 - A la fecha

Magister en Economía

Michael Gaete, Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach, 2018
Tamara Perez, An approach to predict the future Spot price with Dynamic Conditional Beta, 2018
Erik Muñoz, Effect of oil prices on airline losses: A Conditional Intensity Approach, 2017
Stella Moisan, Dynamic Multiple Equation Approach for PM2.5 Forecasting in Santiago, Chile, 2017

Magister en Gestión de Operaciones

Fernanda Fuentes, Quantifying the Impact of Extreme Events on Commodity Currencies, 2015
Sergio González, Comovements between OECD Stock and Oil Markets: A Conditional Intensity Extreme Value Approach. 2015
Felipe Urrutia, Planificación de la Producción con Modelos Jerárquicos e Incerteza asociada a los Proveedores, 2014
Waleska Lagos, Modelamiento del Valor en Riesgo a través de la Teoría de Valores Extremos y Procesos Puntuales tipo Shot Noise, 2013
Lilian Gudiño, Análisis de parámetros técnicos y económicos a través de un estudio de series de tiempo. Con aplicación a la industria porcina, 2013
Nicolás González, Modelos Autorregresivos Condicionales de duración y Teoría deValores extremos, 2013


A marked point process model for intraday financial returns: modeling extreme risk Herrera, R; Clements, A Article ISI EMPIRICAL ECONOMICS (2020)
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models Rodriguez, Alejandro; Pino, Gabriel; Herrera, Rodrigo Article ISI JOURNAL OF APPLIED STATISTICS (2020)
Multivariate dynamic intensity peaks-over-threshold models Hautsch N.; Herrera R. Article ISI SCOPUS JOURNAL OF APPLIED ECONOMETRICS (2020)
Network analysis: a novel approach to identify PM2.5 hotspots and their spatio-temporal impact on air quality in Santiago de Chile Clements, Adam; Herrera, Rodrigo; Hurn, Stan Article WOS, SCOPUS Air Quality, Atmosphere & Health (2020)
Geographical spillovers on the relation between risk-taking and market power in the US banking sector Pino, Gabriel; Herrera, Rodrigo ; Rodriguez, Alejandro Article ISI SCOPUS NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2019)
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile Moisan, Stella; Herrera, Rodrigo ; Clements, Adam Article ISI SCOPUS INTERNATIONAL JOURNAL OF FORECASTING (2018)
Modeling extreme risks in commodities and commodity currencies Fuentes F.; Herrera R.; Clements A. Article ISI SCOPUS Pacific-Basin Finance Journal (2018)
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach Herrera, Rodrigo ; González, Sergio; Clements, Adam Article ISI SCOPUS North American Journal of Economics and Finance (2018)
Point process models for extreme returns: Harnessing implied volatility Herrera, R.; Clements, A.E. Article ISI SCOPUS JOURNAL OF BANKING FINANCE (2018)
Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model Herrera R.; Rodriguez A.; Pino G. Article ISI SCOPUS ENERGY ECONOMICS (2017)
Modelling interregional links in electricity price spikes Clements, AE; Herrera R.; Hurn, AS Article ISI SCOPUS Energy Economics (2015)
Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market Herrera R.; Schipp, B Article ISI SCOPUS NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2014)
The modeling and forecasting of extreme events in electricity spot markets Herrera R.; González N Article ISI SCOPUS INTERNATIONAL JOURNAL OF FORECASTING (2014)
Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence Karmann, A; Herrera R. Article ISI SCOPUS REVIEW OF DEVELOPMENT ECONOMICS (2014)
Energy risk management through self-exciting marked point process Herrera R. Article ISI SCOPUS Energy Economics (2013)
Value at risk forecasts by extreme value models in a conditional duration framework Herrera R.; Schipp, B Article ISI SCOPUS Journal of Empirical Finance (2013)
Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union Herrera R.; Eichler S. Article ISI SCOPUS Journal of Banking and Finance (2011)


Self-exciting Extreme Value Models for Stock Market Crashes Herrera, Rodrigo ; Schipp, Bernhard; Krämer, Walter; Schipp, Bernhard BookSection


Are crude oil and natural gas extreme prices interdependent? Fuentes F.; Herrera R. ConferencePaper SCOPUS Journal of Physics: Conference Series (2018)


Modeling high-dimensional and highfrequency extreme events in financial markets=> Incorporating trading activity, liquidity measures and news flow FONDECYT (1180672) Proyecto 2018-2020 Inv. Principal
Extreme Financial Risk=> A Multivariate Conditional Framework of Extreme Events FONDECYT (1150349) Proyecto 2015-2018 Inv. Responsable
Advanced extremal models for Risk Modeling under Basel II FONDECYT (11110247) Proyecto 2011-2013 Inv. Principal
Extreme value theory with Application in Risk Management and Crisis Contagion DAAD-CRUCH Proyecto 2011-2011 Inv. Principal
Multivariate models of extreme value theory with Applications in Risk Management Fritz Thyssen Foundation Proyecto 2009-2010 Inv. Principal
Engineering Systems for Preparing and Making Decisions under Multiple Criteria ALFA Program of the European Commission SISTING project (AML/B7-311/97/0666/II321-FA) Proyecto 2007-2007 Investigador(a)

Rodrigo Herrera

Profesor Asociado

Escuela de Ingeniería Comercial

UNIVERSIDAD DE TALCA

Talca, Chile

Gabriel Pino

Assistant Professor

UNIVERSIDAD DE TALCA

Chile

Alejandro Rodriguez

Profesor Asistente

Departamento de Ingeniería Industrial

Universidad de Talca

Curicó, Chile

Rodrigo Sebastian Herrera Leiva

Líneas de Investigación

Educación

Economia, DRESDEN UNIVERSITY OF TECHNOLOGY. Alemania, 2009

Ingeniería Civil Industrial, UNIVERSIDAD DE TALCA. Chile, 2002

Experiencia Académica

Posdoc Full Time

Profesor Conferenciante Full Time

Profesor Asistente Full Time

Profesor Asistente Full Time

Profesor Asociado Full Time

Experiencia Profesional

Director Other

Director Magister en Economía Other

Decano Facultad de Economía y Negocios Full Time

Formación de Capital Humano

Article (17)

BookSection (1)

ConferencePaper (1)

Proyecto (6)

Modeling high-dimensional and highfrequency extreme events in financial markets=> Incorporating trading activity, liquidity measures and news flow

Extreme Financial Risk=> A Multivariate Conditional Framework of Extreme Events

Advanced extremal models for Risk Modeling under Basel II

Extreme value theory with Application in Risk Management and Crisis Contagion

Multivariate models of extreme value theory with Applications in Risk Management

Engineering Systems for Preparing and Making Decisions under Multiple Criteria