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Details about Adam Clements

Workplace:School of Economics and Finance, Business School, Queensland University of Technology, (more information at EDIRC)
National Centre for Econometric Research (NCER), (more information at EDIRC)

Access statistics for papers by Adam Clements.

Last updated 2017-03-05. Update your information in the RePEc Author Service.

Short-id: pcl45


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Working Papers

2016

  1. Modelling Extreme Risks in Commodities and Commodity Currencies
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. Volatility Dependent Dynamic Equicorrelation
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2015

  1. Forecasting day-ahead electricity load using a multiple equation time series approach
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in European Journal of Operational Research (2016)
  2. Point process models for extreme returns: Harnessing implied volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. Public news flow in intraday component models for trading activity and volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2014

  1. The impact of information flow and trading activity on gold and oil futures volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2013

  1. Modeling and forecasting realized volatility: getting the most out of the jump component
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. On the Benefits of Equicorrelation for Portfolio Allocation
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. The dynamics of co-jumps, volatility and correlation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (6)

2012

  1. Forecasting increases in the VIX: A time-varying long volatility hedge for equities
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (3)
  2. Forecasting multivariate volatility in larger dimensions: some practical issues
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. Selecting forecasting models for portfolio allocation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)

2011

  1. Forecasting Equicorrelation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)
  2. Volatility timing and portfolio selection: How best to forecast volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2010

  1. A Cholesky-MIDAS model for predicting stock portfolio volatility
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads
  2. A Kernel Technique for Forecasting the Variance-Covariance Matrix
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads
  3. Portfolio allocation: Getting the most out of realised volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  4. Volatility and the role of order book structure
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2009

  1. A nonparametric approach to forecasting realized volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  2. Evaluating multivariate volatility forecasts
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (20)
  3. Forecast performance of implied volatility and the impact of the volatility risk premium
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  4. 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 Downloads
  5. On the economic benefit of utility based estimation of a volatility model
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2008

  1. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. Estimating the Payoffs of Temperature-based Weather Derivatives
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)
  3. The Jump component of S&P 500 volatility and the VIX index
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (5)
    See also Journal Article in Journal of Banking & Finance (2009)

2007

  1. Are combination forecasts of S&P 500 volatility statistically superior?
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2008)
  2. 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 Downloads
  3. Does implied volatility reflect a wider information set than econometric forecasts?
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  4. Forecasting stock market volatility conditional on macroeconomic conditions
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  5. 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 Downloads
  6. 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 Downloads View citations (6)

2006

  1. Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)

2005

  1. 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 Downloads
  2. 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 Downloads

2004

  1. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (5)
  2. Forward looking information in S&P 500 options
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (1)

2003

  1. 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 Downloads

Undated

  1. News and network structures in equity market volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

Journal Articles

2016

  1. Common trends in global volatility
    Journal of International Money and Finance, 2016, 67, (C), 194-214 Downloads
  2. Forecasting day-ahead electricity load using a multiple equation time series approach
    European Journal of Operational Research, 2016, 251, (2), 522-530 Downloads View citations (3)
    See also Working Paper (2015)
  3. Information Flow, Trading Activity and Commodity Futures Volatility
    Journal of Futures Markets, 2016, 36, (1), 88-104 Downloads View citations (1)
  4. Strategic bidding and rebidding in electricity markets
    Energy Economics, 2016, 59, (C), 24-36 Downloads

2015

  1. Modelling interregional links in electricity price spikes
    Energy Economics, 2015, 51, (C), 383-393 Downloads View citations (4)
  2. Selecting volatility forecasting models for portfolio allocation purposes
    International Journal of Forecasting, 2015, 31, (3), 849-861 Downloads View citations (1)
  3. Volatility transmission in global financial markets
    Journal of Empirical Finance, 2015, 32, (C), 3-18 Downloads View citations (4)

2014

  1. Are lifecycle funds appropriate as default options in participant-directed retirement plans?
    Economics Letters, 2014, 124, (1), 51-54 Downloads

2013

  1. Semi-parametric Forecasting of Spikes in Electricity Prices
    The Economic Record, 2013, 89, (287), 508-521 Downloads View citations (7)
  2. Volatility timing: How best to forecast portfolio exposures
    Journal of Empirical Finance, 2013, 24, (C), 108-115 Downloads View citations (4)

2011

  1. Semi-Parametric Forecasting of Realized Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 1-23 Downloads View citations (6)

2009

  1. The jump component of S&P 500 volatility and the VIX index
    Journal of Banking & Finance, 2009, 33, (6), 1033-1038 Downloads View citations (25)
    See also Working Paper (2008)

2008

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

2007

  1. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
    Journal of Banking & Finance, 2007, 31, (8), 2535-2549 Downloads View citations (30)
  2. S&P 500 implied volatility and monetary policy announcements
    Finance Research Letters, 2007, 4, (4), 227-232 Downloads View citations (17)

2006

  1. On the informational efficiency of S&P500 implied volatility
    The North American Journal of Economics and Finance, 2006, 17, (2), 139-153 Downloads View citations (16)

2003

  1. Mobius-Like Mappings and Their Use in Kernel Density Estimation
    Journal of the American Statistical Association, 2003, 98, 993-1000 Downloads View citations (6)
 
Page updated 2017-05-22