Details about Adam Clements

Access statistics for papers by Adam Clements.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pcl45

Working Papers

2021

1. A simple linear alternative to multiplicative error models with an application to trading volume
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2. Forecast combination puzzle in the HAR model
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)

2020

3. Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
   Papers, arXiv.org View citations (4)
   See also Journal Article Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo, Econometrics and Statistics, Elsevier (2021) View citations (3) (2021)

2019

4. A Practical Guide to Harnessing the HAR Volatility Model
   NCER Working Paper Series, National Centre for Econometric Research View citations (4)
   See also Journal Article A Practical Guide to harnessing the HAR volatility model, Journal of Banking & Finance, Elsevier (2021) View citations (15) (2021)

2018

5. Combining Multivariate Volatility Forecasts using Weighted Losses
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Combining multivariate volatility forecasts using weighted losses, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) (2020)
6. Media attention and crude oil volatility: Is there any 'new' news in the newspaper?
   NCER Working Paper Series, National Centre for Econometric Research

2017

7. A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile, International Journal of Forecasting, Elsevier (2018) View citations (8) (2018)
8. A semi-parametric point process model of the interactions between equity markets
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics

2016

9. Modelling Extreme Risks in Commodities and Commodity Currencies
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Modeling extreme risks in commodities and commodity currencies, Pacific-Basin Finance Journal, Elsevier (2018) View citations (6) (2018)
10. Volatility Dependent Dynamic Equicorrelation
    NCER Working Paper Series, National Centre for Econometric Research

2015

11. Forecasting day-ahead electricity load using a multiple equation time series approach
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)
    See also Journal Article Forecasting day-ahead electricity load using a multiple equation time series approach, European Journal of Operational Research, Elsevier (2016) View citations (38) (2016)
12. Point process models for extreme returns: Harnessing implied volatility
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article Point process models for extreme returns: Harnessing implied volatility, Journal of Banking & Finance, Elsevier (2018) View citations (19) (2018)
13. Public news flow in intraday component models for trading activity and volatility
    NCER Working Paper Series, National Centre for Econometric Research

2014

14. The impact of information flow and trading activity on gold and oil futures volatility
    NCER Working Paper Series, National Centre for Econometric Research
15. 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

2013

16. Modeling and forecasting realized volatility: getting the most out of the jump component
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
17. On the Benefits of Equicorrelation for Portfolio Allocation
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
18. The dynamics of co-jumps, volatility and correlation
    NCER Working Paper Series, National Centre for Econometric Research View citations (8)

2012

19. Forecasting increases in the VIX: A time-varying long volatility hedge for equities
    NCER Working Paper Series, National Centre for Econometric Research View citations (7)
20. Forecasting multivariate volatility in larger dimensions: some practical issues
    NCER Working Paper Series, National Centre for Econometric Research
21. Selecting forecasting models for portfolio allocation
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)

2011

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

2010

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

2009

28. A nonparametric approach to forecasting realized volatility
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
29. Evaluating multivariate volatility forecasts
    NCER Working Paper Series, National Centre for Econometric Research View citations (32)
30. Forecast performance of implied volatility and the impact of the volatility risk premium
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
31. On the economic benefit of utility based estimation of a volatility model
    NCER Working Paper Series, National Centre for Econometric Research

2008

32. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
    NCER Working Paper Series, National Centre for Econometric Research
33. Estimating the Payoffs of Temperature-based Weather Derivatives
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
34. The Jump component of S&P 500 volatility and the VIX index
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
    See also Journal Article The jump component of S&P 500 volatility and the VIX index, Journal of Banking & Finance, Elsevier (2009) View citations (71) (2009)

2007

35. Are combination forecasts of S&P 500 volatility statistically superior?
    NCER Working Paper Series, National Centre for Econometric Research View citations (8)
    See also Journal Article Are combination forecasts of S&P 500 volatility statistically superior?, International Journal of Forecasting, Elsevier (2008) View citations (53) (2008)
36. Does implied volatility reflect a wider information set than econometric forecasts?
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
37. Forecasting stock market volatility conditional on macroeconomic conditions
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)

2006

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

2004

39. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (6)
40. Forward looking information in S&P 500 options
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

Undated

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

Journal Articles

2024

1. Outlier-robust methods for forecasting realized covariance matrices
   International Journal of Forecasting, 2024, 40, (1), 392-408 View citations (1)

2023

2. A Bayesian approach for more reliable tail risk forecasts
   Journal of Financial Stability, 2023, 64, (C)
3. Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis
   Global Finance Journal, 2023, 57, (C)
4. Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*
   Journal of Financial Econometrics, 2023, 21, (5), 1759-1790
5. Forecasting extreme financial risk: A score-driven approach
   International Journal of Forecasting, 2023, 39, (2), 720-735 View citations (2)

2022

6. Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility
   Journal of Forecasting, 2022, 41, (1), 86-99 View citations (3)

2021

7. A Practical Guide to harnessing the HAR volatility model
   Journal of Banking & Finance, 2021, 133, (C) View citations (15)
   See also Working Paper A Practical Guide to Harnessing the HAR Volatility Model, NCER Working Paper Series (2019) View citations (4) (2019)
8. Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
   Econometrics and Statistics, 2021, 19, (C), 22-46 View citations (3)
   See also Working Paper Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo, Papers (2020) View citations (4) (2020)
9. Facial expressions and the business cycle
   Economic Modelling, 2021, 102, (C) View citations (1)

2020

10. A marked point process model for intraday financial returns: modeling extreme risk
    Empirical Economics, 2020, 58, (4), 1575-1601 View citations (3)
11. Combining multivariate volatility forecasts using weighted losses
    Journal of Forecasting, 2020, 39, (4), 628-641
    See also Working Paper Combining Multivariate Volatility Forecasts using Weighted Losses, NCER Working Paper Series (2018) (2018)
12. Firm-specific information and systemic risk
    Economic Modelling, 2020, 90, (C), 480-493 View citations (1)

2019

13. Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil
    Energy Economics, 2019, 81, (C), 187-196 View citations (25)
14. Volatility-dependent correlations: further evidence of when, where and how
    Empirical Economics, 2019, 57, (2), 505-540 View citations (5)
15. Which oil shocks really matter in equity markets?
    Energy Economics, 2019, 81, (C), 134-141 View citations (26)

2018

16. A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns
    Econometrics, 2018, 6, (1), 1-27
17. A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile
    International Journal of Forecasting, 2018, 34, (4), 566-581 View citations (8)
    See also Working Paper A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile, NCER Working Paper Series (2017) (2017)
18. Modeling extreme risks in commodities and commodity currencies
    Pacific-Basin Finance Journal, 2018, 51, (C), 108-120 View citations (6)
    See also Working Paper Modelling Extreme Risks in Commodities and Commodity Currencies, NCER Working Paper Series (2016) (2016)
19. Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach
    The North American Journal of Economics and Finance, 2018, 46, (C), 70-88 View citations (2)
20. Point process models for extreme returns: Harnessing implied volatility
    Journal of Banking & Finance, 2018, 88, (C), 161-175 View citations (19)
    See also Working Paper Point process models for extreme returns: Harnessing implied volatility, NCER Working Paper Series (2015) (2015)
21. The volatility-volume relationship in the LME futures market for industrial metals
    Resources Policy, 2018, 58, (C), 111-124 View citations (7)

2017

22. An empirical investigation of herding in the U.S. stock market
    Economic Modelling, 2017, 67, (C), 184-192 View citations (24)
23. Forecasting quantiles of day-ahead electricity load
    Energy Economics, 2017, 67, (C), 60-71 View citations (14)
24. Forecasting the variance of stock index returns using jumps and cojumps
    International Journal of Forecasting, 2017, 33, (3), 729-742 View citations (28)
25. The Effect of Transmission Constraints on Electricity Prices
    The Energy Journal, 2017, 38, (4), 145-163
    Also in The Energy Journal, 2017, Volume 38, (Number 4) (2017) View citations (7)

2016

26. Common trends in global volatility
    Journal of International Money and Finance, 2016, 67, (C), 194-214 View citations (2)
27. Forecasting day-ahead electricity load using a multiple equation time series approach
    European Journal of Operational Research, 2016, 251, (2), 522-530 View citations (38)
    See also Working Paper Forecasting day-ahead electricity load using a multiple equation time series approach, NCER Working Paper Series (2015) View citations (2) (2015)
28. Information Flow, Trading Activity and Commodity Futures Volatility
    Journal of Futures Markets, 2016, 36, (1), 88-104 View citations (13)
29. Strategic bidding and rebidding in electricity markets
    Energy Economics, 2016, 59, (C), 24-36 View citations (22)

2015

30. Modelling interregional links in electricity price spikes
    Energy Economics, 2015, 51, (C), 383-393 View citations (41)
31. Selecting volatility forecasting models for portfolio allocation purposes
    International Journal of Forecasting, 2015, 31, (3), 849-861 View citations (25)
32. Volatility transmission in global financial markets
    Journal of Empirical Finance, 2015, 32, (C), 3-18 View citations (23)

2014

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

2013

34. Semi-parametric Forecasting of Spikes in Electricity Prices
    The Economic Record, 2013, 89, (287), 508-521 View citations (15)
35. Volatility timing: How best to forecast portfolio exposures
    Journal of Empirical Finance, 2013, 24, (C), 108-115 View citations (10)

2011

36. Semi-Parametric Forecasting of Realized Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 23 View citations (8)

2009

37. The jump component of S&P 500 volatility and the VIX index
    Journal of Banking & Finance, 2009, 33, (6), 1033-1038 View citations (71)
    See also Working Paper The Jump component of S&P 500 volatility and the VIX index, NCER Working Paper Series (2008) View citations (4) (2008)

2008

38. Are combination forecasts of S&P 500 volatility statistically superior?
    International Journal of Forecasting, 2008, 24, (1), 122-133 View citations (53)
    See also Working Paper Are combination forecasts of S&P 500 volatility statistically superior?, NCER Working Paper Series (2007) View citations (8) (2007)
39. Do common volatility models capture cyclical behaviour in volatility?
    Applied Financial Economics, 2008, 18, (7), 599-604 View citations (2)

2007

40. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
    Journal of Banking & Finance, 2007, 31, (8), 2535-2549 View citations (61)
41. S&P 500 implied volatility and monetary policy announcements
    Finance Research Letters, 2007, 4, (4), 227-232 View citations (60)

2006

42. Mixture distribution‐based forecasting using stochastic volatility models
    Applied Stochastic Models in Business and Industry, 2006, 22, (5‐6), 547-557
43. On the informational efficiency of S&P500 implied volatility
    The North American Journal of Economics and Finance, 2006, 17, (2), 139-153 View citations (31)

2003

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