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 0 117 1 2 6 300
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 0 75 1 1 5 166
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 1 29 0 3 12 45
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 57 1 1 4 253
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 80 3 4 8 177
A Practical Guide to Harnessing the HAR Volatility Model 0 1 60 60 4 11 49 49
A nonparametric approach to forecasting realized volatility 0 0 0 199 2 3 7 278
A semi-parametric point process model of the interactions between equity markets 0 1 2 34 0 1 2 35
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 1 219 2 7 14 382
Combining Multivariate Volatility Forecasts using Weighted Losses 0 1 33 33 2 4 12 12
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 46 1 5 10 130
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 188 0 0 1 605
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 0 0 4 216
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 1 10 23 23 3 6 11 11
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 1 3 164 0 2 8 398
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 1 99 1 3 17 305
Evaluating multivariate volatility forecasts 0 1 3 147 0 2 9 288
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 125 2 2 9 270
Forecasting Equicorrelation 0 0 1 107 0 0 2 258
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 35 3 3 10 43
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 2 30 0 1 5 105
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 106 3 7 11 188
Forecasting stock market volatility conditional on macroeconomic conditions 0 0 1 289 1 2 5 500
Forward looking information in S&P 500 options 0 0 0 213 0 0 4 928
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 1 12 2 5 18 29
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 1 56 0 2 8 174
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 2 7 4 7 14 42
News and network structures in equity market volatility 0 1 1 18 1 3 5 23
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 1 37 4 7 12 85
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 1 2 6 114
Point process models for extreme returns: Harnessing implied volatility 0 0 1 21 7 10 14 30
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 2 4 5 197
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 1 3 12 41
Selecting forecasting models for portfolio allocation 0 0 1 65 2 8 13 164
The Jump component of S&P 500 volatility and the VIX index 0 1 2 174 2 5 10 426
The dynamics of co-jumps, volatility and correlation 0 0 0 44 0 3 5 86
The impact of information flow and trading activity on gold and oil futures volatility 0 0 2 38 0 1 10 182
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 1 54 0 1 34 141
Volatility Dependent Dynamic Equicorrelation 0 0 1 59 4 5 11 54
Volatility and the role of order book structure 0 0 1 73 0 0 5 225
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 106 1 2 3 241
Total Working Papers 1 17 146 3,498 61 138 410 8,196
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 Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 2 1 2 9 18
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 2 2 2 8 20 22
An empirical investigation of herding in the U.S. stock market 0 1 9 11 2 6 28 38
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 3 54 3 5 14 248
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 0 10 0 0 0 36
Common trends in global volatility 0 0 1 11 2 2 5 54
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 1 1 1 112
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 108 2 6 9 247
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 7 1 1 5 43
Forecasting quantiles of day-ahead electricity load 0 0 2 4 0 2 8 25
Forecasting the variance of stock index returns using jumps and cojumps 0 0 1 6 2 6 23 45
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 4 1 2 2 37
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 0 0 0
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 40 0 0 0 90
Modeling extreme risks in commodities and commodity currencies 0 0 0 0 0 1 17 19
Modelling interregional links in electricity price spikes 0 0 0 6 1 1 3 36
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 1 1 3 3 11 11
On the informational efficiency of S&P500 implied volatility 0 1 4 100 0 2 7 230
Point process models for extreme returns: Harnessing implied volatility 0 0 1 2 2 4 12 25
S&P 500 implied volatility and monetary policy announcements 0 1 3 130 2 10 19 278
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 17 3 4 10 67
Semi-Parametric Forecasting of Realized Volatility 0 0 0 48 2 3 3 147
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 0 6 1 1 2 36
Strategic bidding and rebidding in electricity markets 0 0 1 8 1 2 6 42
The Effect of Transmission Constraints on Electricity Prices 0 0 2 20 0 1 11 56
The jump component of S&P 500 volatility and the VIX index 0 0 2 174 12 26 44 608
The volatility-volume relationship in the LME futures market for industrial metals 1 1 3 3 1 4 15 15
Volatility timing: How best to forecast portfolio exposures 0 0 0 29 1 3 4 142
Volatility transmission in global financial markets 1 2 14 47 3 8 35 120
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 0 4 5 5 5
Total Journal Articles 2 6 51 886 53 119 328 2,852


Statistics updated 2019-11-03