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
A nonparametric approach to forecasting realized volatility 7 34 74 74 14 29 39 39
Are combination forecasts of S&P 500 volatility statistically superior? 5 9 29 129 8 15 46 168
Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance 3 13 46 110 35 148 302 569
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 2 2 12 14 2 4 27 29
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 2 3 19 154 4 9 55 459
Does implied volatility reflect a wider information set than econometric forecasts? 1 2 12 89 2 4 37 129
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 3 6 26 110 3 10 65 249
Estimating the Payoffs of Temperature-based Weather Derivatives 2 2 30 33 3 8 78 80
Forecast performance of implied volatility and the impact of the volatility risk premium 11 22 22 22 16 17 17 17
Forecasting stock market volatility conditional on macroeconomic conditions 3 6 36 196 5 10 62 260
Forward looking information in S&P 500 options 0 3 13 183 6 14 105 810
HACking at Non-linearity: Evidence from Stocks and Bonds 0 6 21 21 4 17 59 59
Institutional Homogeneity and Choice in Superannuation 1 2 5 14 3 5 21 56
Investor Expectations and Systematic Risk 2 2 8 25 4 8 37 115
Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model 1 1 11 35 2 11 38 94
Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage 2 7 22 68 2 12 40 112
On the economic benefit of utility based estimation of a volatility model 3 9 9 9 8 9 9 9
On the efficacy of techniques for evaluating multivariate volatility forecasts 2 5 42 42 5 10 39 39
The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns 0 0 11 51 1 3 55 175
The Jump component of S&P 500 volatility and the VIX index 2 4 49 92 3 9 178 227
Total Working Papers 52 138 497 1,471 130 352 1,309 3,695

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? 2 4 17 24 5 8 60 99
Do common volatility models capture cyclical behaviour in volatility? 0 0 12 15 0 0 30 53
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 4 18 42 2 7 32 84
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 1 2 11 0 1 9 29
On the informational efficiency of S&P500 implied volatility 0 1 8 44 0 1 24 87
S&P 500 implied volatility and monetary policy announcements 2 4 19 36 6 8 39 80
The jump component of S&P 500 volatility and the VIX index 6 15 38 38 18 52 106 106
Total Journal Articles 10 29 114 210 31 77 300 538

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Statistics updated 2009-11-04