Details about Adam Clements

Access statistics for papers by Adam Clements.

Last updated 2009-11-06. Update your information in the RePEc Author Service.

Short-id: pcl45

Working Papers

2009

1. A nonparametric approach to forecasting realized volatility
   NCER Working Paper Series, National Centre for Econometric Research
2. Forecast performance of implied volatility and the impact of the volatility risk premium
   NCER Working Paper Series, National Centre for Econometric Research
3. HACking at Non-linearity: Evidence from Stocks and Bonds
   School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology
4. On the economic benefit of utility based estimation of a volatility model
   NCER Working Paper Series, National Centre for Econometric Research
5. On the efficacy of techniques for evaluating multivariate volatility forecasts
   NCER Working Paper Series, National Centre for Econometric Research

2008

6. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
   NCER Working Paper Series, National Centre for Econometric Research
7. Estimating the Payoffs of Temperature-based Weather Derivatives
   NCER Working Paper Series, National Centre for Econometric Research View citations
8. The Jump component of S&P 500 volatility and the VIX index
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article in Journal of Banking & Finance (2009)

2007

9. Are combination forecasts of S&P 500 volatility statistically superior?
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article in International Journal of Forecasting (2008)
10. Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology
11. Does implied volatility reflect a wider information set than econometric forecasts?
    NCER Working Paper Series, National Centre for Econometric Research
12. Forecasting stock market volatility conditional on macroeconomic conditions
    NCER Working Paper Series, National Centre for Econometric Research
13. Institutional Homogeneity and Choice in Superannuation
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology
14. The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology

2006

15. Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3
    NCER Working Paper Series, National Centre for Econometric Research

2005

16. Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology
17. Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology

2004

18. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
19. Forward looking information in S&P 500 options
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

20. Investor Expectations and Systematic Risk
    School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology

Journal Articles

2009

1. The jump component of S&P 500 volatility and the VIX index
   Journal of Banking & Finance, 2009, 33, (6), 1033-1038
   See also Working Paper (2008)

2008

2. Are combination forecasts of S&P 500 volatility statistically superior?
   International Journal of Forecasting, 2008, 24, (1), 122-133
   See also Working Paper (2007)
3. Do common volatility models capture cyclical behaviour in volatility?
   Applied Financial Economics, 2008, 18, (7), 599-604

2007

4. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
   Journal of Banking & Finance, 2007, 31, (8), 2535-2549
5. S&P 500 implied volatility and monetary policy announcements
   Finance Research Letters, 2007, 4, (4), 227-232

2006

6. On the informational efficiency of S&P500 implied volatility
   The North American Journal of Economics and Finance, 2006, 17, (2), 139-153 View citations

2003

7. Mobius-Like Mappings and Their Use in Kernel Density Estimation
   Journal of the American Statistical Association, 2003, 98, 993-1000