Access Statistics for Adam Clements

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are combination forecasts of S&P 500 volatility statistically superior? 1 8 30 117 2 9 52 149
Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance 8 14 50 91 29 56 235 401
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 2 12 12 0 6 24 24
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 2 8 22 151 3 17 68 449
Does implied volatility reflect a wider information set than econometric forecasts? 0 1 15 86 0 3 42 120
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 1 3 34 103 4 11 79 234
Estimating the Payoffs of Temperature-based Weather Derivatives 1 6 30 30 3 18 69 69
Forecasting stock market volatility conditional on macroeconomic conditions 0 6 50 186 2 9 98 246
Forward looking information in S&P 500 options 0 4 18 180 9 30 154 793
HACking at Non-linearity: Evidence from Stocks and Bonds 1 5 10 10 8 18 33 33
Institutional Homogeneity and Choice in Superannuation 0 1 4 10 3 6 24 47
Investor Expectations and Systematic Risk 0 2 7 21 5 11 38 101
Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model 0 1 12 33 0 4 37 81
Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage 3 7 21 60 4 9 41 98
On the efficacy of techniques for evaluating multivariate volatility forecasts 7 18 32 32 8 18 24 24
The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns 0 1 18 51 8 22 66 168
The Jump component of S&P 500 volatility and the VIX index 4 10 84 84 8 40 208 208
Total Working Papers 28 97 449 1,257 96 287 1,292 3,245

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are combination forecasts of S&P 500 volatility statistically superior? 0 4 17 17 3 15 87 87
Do common volatility models capture cyclical behaviour in volatility? 1 8 13 15 4 16 44 52
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 2 7 20 38 2 12 32 74
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 1 3 10 0 2 9 27
On the informational efficiency of S&P500 implied volatility 1 2 8 42 2 5 24 83
S&P 500 implied volatility and monetary policy announcements 1 3 17 31 2 7 46 71
Total Journal Articles 5 25 78 153 13 57 242 394

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Statistics updated 2009-07-03