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 1 84 1 1 4 210
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 0 123 1 1 6 336
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 0 35 0 0 9 78
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 1 7 12 300
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 81 3 3 8 209
A Practical Guide to Harnessing the HAR Volatility Model 1 2 5 91 7 14 38 204
A nonparametric approach to forecasting realized volatility 0 0 0 199 0 1 5 291
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 2 13 58
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 4 5 24 60
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 0 4 8 414
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 2 3 11 35
Combining simple multivariate HAR-like models for portfolio construction 0 0 2 9 2 5 14 23
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 3 3 8 159
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 2 5 10 636
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 2 2 7 234
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 23 2 3 11 43
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 4 4 12 436
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 0 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 1 2 7 312
Forecast combination puzzle in the HAR model 0 0 0 129 1 8 44 233
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 2 5 8 296
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 2 3 12 96
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 1 39 1 1 4 143
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 3 3 4 236
Forecasting stock market volatility conditional on macroeconomic conditions 1 1 2 297 3 4 13 540
Forward looking information in S&P 500 options 0 0 0 215 3 10 20 965
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 1 1 9 97
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 2 3 7 199
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 2 2 9 75
News and network structures in equity market volatility 0 0 0 21 1 1 6 43
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 0 38 5 6 13 133
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 0 0 7 131
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 2 3 13 54
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 2 4 9 215
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 3 4 7 80
Selecting forecasting models for portfolio allocation 0 0 0 66 1 3 8 193
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 1 1 4 465
The dynamics of co-jumps, volatility and correlation 0 0 1 56 1 1 11 131
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 2 6 19 217
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 2 4 10 184
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 4 6 10 85
Volatility and the role of order book structure 0 0 0 75 3 6 20 258
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 0 2 4 255
Total Working Papers 2 3 14 3,880 83 152 488 10,006
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 1 5 3 6 10 24
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 4 5 13 61
A Practical Guide to harnessing the HAR volatility model 0 1 4 16 10 23 53 129
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 3 7 10 57
A marked point process model for intraday financial returns: modeling extreme risk 0 1 2 24 2 6 19 79
An empirical investigation of herding in the U.S. stock market 1 1 1 43 7 13 24 164
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 2 4 13 311
Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis 0 0 1 1 4 5 18 24
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 1 12 16 16 26 76
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 3 5 13 27
Common trends in global volatility 0 0 0 17 1 2 11 99
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 2 2 5 121
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 132 3 5 9 305
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 3 6 14 37
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 2 2 8 9
Facial expressions and the business cycle 1 1 2 6 7 11 18 39
Firm-specific information and systemic risk 0 0 0 3 4 4 12 32
Forecasting day-ahead electricity load using a multiple equation time series approach 1 1 4 16 7 9 20 101
Forecasting extreme financial risk: A score-driven approach 1 1 1 12 2 5 14 56
Forecasting quantiles of day-ahead electricity load 1 1 2 11 3 5 7 64
Forecasting retail fuel prices with spatial interdependencies 1 2 3 3 9 10 28 29
Forecasting the variance of stock index returns using jumps and cojumps 0 1 1 12 3 5 15 94
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 1 1 7 7 6 13 29 29
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 2 7 16 71
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 3 3 7 11
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 0 4 105
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 4 6 13 69
Modelling interregional links in electricity price spikes 0 0 1 20 3 4 13 97
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 0 0 0 14 5 6 24 54
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 2 7 37
On the informational efficiency of S&P500 implied volatility 0 0 0 105 2 5 8 261
Outlier-robust methods for forecasting realized covariance matrices 0 0 0 3 2 4 8 14
Point process models for extreme returns: Harnessing implied volatility 0 0 1 6 2 4 14 66
S&P 500 implied volatility and monetary policy announcements 0 0 1 164 2 9 33 385
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 3 4 13 140
Semi-Parametric Forecasting of Realized Volatility 0 1 1 53 1 2 7 166
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 1 1 15 65
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 0 1 21 3 8 16 81
Strategic bidding and rebidding in electricity markets 0 0 2 30 2 5 15 108
Tail risk dynamics of banks with score-driven extreme value models 1 4 6 6 5 16 31 31
The Effect of Transmission Constraints on Electricity Prices 1 1 2 5 2 6 20 26
The jump component of S&P 500 volatility and the VIX index 0 0 0 183 5 10 30 702
The volatility-volume relationship in the LME futures market for industrial metals 0 0 0 13 3 6 16 90
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 1 2 8 165
Volatility transmission in global financial markets 0 0 1 72 1 2 12 199
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 4 5 7 30
Which oil shocks really matter in equity markets? 0 0 2 30 3 4 22 82
Total Journal Articles 9 17 49 1,313 165 290 748 5,022
1 registered items for which data could not be found
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Statistics updated 2026-05-06