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 Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 0 123 0 1 6 337
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 1 84 2 2 6 212
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 0 35 0 2 10 80
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 0 1 14 302
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 81 2 2 10 212
A Practical Guide to Harnessing the HAR Volatility Model 0 1 3 92 5 13 49 222
A nonparametric approach to forecasting realized volatility 0 0 0 199 0 1 7 293
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 0 12 58
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 0 58 0 0 21 61
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 0 2 11 417
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 1 1 12 37
Combining simple multivariate HAR-like models for portfolio construction 0 0 1 10 0 0 12 24
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 1 9 161
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 0 9 636
Does implied volatility reflect a wider information set than econometric forecasts? 1 1 1 119 1 2 9 237
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 23 1 1 12 44
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 0 11 437
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 1 1 7 358
Evaluating multivariate volatility forecasts 0 0 0 149 0 0 8 314
Forecast combination puzzle in the HAR model 0 0 0 129 4 15 42 251
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 1 2 9 298
Forecasting Equicorrelation 0 0 1 112 0 0 4 287
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 47 0 4 16 101
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 1 39 1 1 5 144
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 0 2 5 238
Forecasting stock market volatility conditional on macroeconomic conditions 0 0 1 297 1 2 15 544
Forward looking information in S&P 500 options 0 0 1 216 0 0 21 967
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 1 1 27 2 3 10 100
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 0 3 10 202
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 1 1 10 77
News and network structures in equity market volatility 0 0 0 21 0 1 7 44
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 0 38 0 0 12 133
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 0 0 8 132
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 1 1 13 55
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 1 1 10 216
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 2 2 10 83
Selecting forecasting models for portfolio allocation 0 0 0 66 1 2 10 195
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 0 3 465
The dynamics of co-jumps, volatility and correlation 0 0 1 56 0 3 12 134
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 0 2 19 219
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 0 0 10 185
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 1 1 11 86
Volatility and the role of order book structure 0 0 0 75 3 4 22 263
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 0 0 4 255
Total Working Papers 1 3 12 3,885 32 80 533 10,116
7 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian approach for more reliable tail risk forecasts 0 0 2 6 1 1 13 27
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 0 0 13 62
A Practical Guide to harnessing the HAR volatility model 0 1 5 17 3 11 67 147
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 0 1 11 58
A marked point process model for intraday financial returns: modeling extreme risk 0 0 1 24 0 0 16 81
An empirical investigation of herding in the U.S. stock market 0 0 1 43 0 4 29 169
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 0 3 15 314
Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis 0 0 0 1 1 4 19 29
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 1 1 2 13 1 1 23 77
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 0 1 15 29
Common trends in global volatility 0 0 0 17 0 2 11 101
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 1 1 6 122
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 132 1 2 11 308
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 0 0 14 37
Enhancing Volatility Prediction: A Wavelet‐Based Hierarchical Forecast Reconciliation Approach 0 0 0 0 2 2 2 2
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 1 9 11
Facial expressions and the business cycle 0 0 1 6 0 1 17 40
Firm-specific information and systemic risk 0 0 0 3 0 0 9 33
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 4 17 0 1 20 104
Forecasting extreme financial risk: A score-driven approach 1 2 3 14 2 5 17 62
Forecasting quantiles of day-ahead electricity load 0 0 2 11 0 1 8 66
Forecasting realized volatility using HAR models and wavelet decomposition: A volatility-timing perspective 0 0 0 0 1 3 8 8
Forecasting retail fuel prices with spatial interdependencies 0 0 3 3 0 0 27 29
Forecasting the variance of stock index returns using jumps and cojumps 0 0 1 12 0 2 17 96
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 0 0 7 10 1 2 31 34
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 1 2 17 74
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 2 11 15
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 1 2 7 108
Modeling and forecasting intraday spot volatility 0 0 0 0 1 2 2 2
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 0 0 11 69
Modelling interregional links in electricity price spikes 0 0 0 20 1 1 13 99
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 1 2 2 16 3 5 29 61
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 1 1 7 38
On the informational efficiency of S&P500 implied volatility 1 1 1 106 1 1 9 262
Outlier-robust methods for forecasting realized covariance matrices 0 0 0 3 0 1 8 15
Point process models for extreme returns: Harnessing implied volatility 0 0 1 6 1 1 13 68
Predicting directional volatility: HAR model with machine learning integration 1 1 4 4 3 7 11 11
S&P 500 implied volatility and monetary policy announcements 0 0 0 164 0 2 28 388
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 0 0 12 140
Semi-Parametric Forecasting of Realized Volatility 0 0 1 53 0 1 9 168
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 0 13 65
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 0 1 21 0 4 22 88
Strategic bidding and rebidding in electricity markets 0 1 2 31 1 5 20 114
Tail risk dynamics of banks with score-driven extreme value models 0 0 5 6 0 1 27 32
The Effect of Transmission Constraints on Electricity Prices 0 0 3 6 1 1 19 28
The jump component of S&P 500 volatility and the VIX index 0 0 0 183 0 6 36 710
The volatility-volume relationship in the LME futures market for industrial metals 1 1 1 14 1 2 18 92
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 0 1 10 167
Volatility transmission in global financial markets 0 0 1 72 0 0 10 199
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 1 2 10 33
Which oil shocks really matter in equity markets? 0 0 0 30 3 3 20 86
Total Journal Articles 6 11 55 1,332 35 102 820 5,178
1 registered items for which data could not be found
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Statistics updated 2026-09-10