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 1 1 1 84 1 1 2 207
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 1 123 0 1 3 331
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 1 35 0 1 4 70
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 81 0 1 1 202
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 0 0 0 288
A Practical Guide to Harnessing the HAR Volatility Model 0 1 4 89 0 2 12 173
A nonparametric approach to forecasting realized volatility 0 0 0 199 0 0 1 286
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 2 3 47
A simple linear alternative to multiplicative error models with an application to trading volume 0 1 1 58 0 3 6 40
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 0 0 2 406
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 0 0 2 25
Combining simple multivariate HAR-like models for portfolio construction 0 0 9 9 0 0 12 12
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 0 4 152
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 1 2 627
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 0 1 2 228
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 23 0 0 0 32
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 1 177 0 2 3 426
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 0 1 351
Evaluating multivariate volatility forecasts 0 0 0 149 0 1 1 306
Forecast combination puzzle in the HAR model 0 0 0 129 5 19 52 214
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 1 1 2 290
Forecasting Equicorrelation 0 0 0 111 0 0 1 283
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 2 47 0 1 4 85
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 1 38 0 0 3 139
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 0 1 2 233
Forecasting stock market volatility conditional on macroeconomic conditions 0 1 1 296 0 2 4 529
Forward looking information in S&P 500 options 0 0 0 215 0 1 2 946
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 0 1 3 90
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 0 0 0 192
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 0 0 2 67
News and network structures in equity market volatility 0 0 0 21 0 0 0 37
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 1 38 0 1 3 121
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 0 0 0 124
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 2 2 3 44
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 0 0 2 206
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 0 0 1 73
Selecting forecasting models for portfolio allocation 0 0 1 66 0 0 1 185
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 1 1 462
The dynamics of co-jumps, volatility and correlation 0 0 1 55 0 1 5 122
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 1 2 3 201
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 0 1 1 175
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 0 0 1 75
Volatility and the role of order book structure 0 0 0 75 0 2 3 241
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 1 1 1 252
Total Working Papers 1 4 25 3,874 12 53 161 9,595
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 4 0 0 2 14
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 0 0 1 49
A Practical Guide to harnessing the HAR volatility model 0 0 0 12 3 5 10 83
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 0 0 1 47
A marked point process model for intraday financial returns: modeling extreme risk 0 1 2 23 0 3 8 65
An empirical investigation of herding in the U.S. stock market 0 0 0 42 0 0 2 140
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 0 1 2 299
Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis 0 1 1 1 1 4 11 11
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 0 11 1 2 9 55
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 0 0 0 14
Common trends in global volatility 0 0 0 17 1 2 3 91
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 0 0 0 116
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 132 0 1 2 297
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 0 0 1 23
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 1 2 2
Facial expressions and the business cycle 0 0 2 5 1 1 7 24
Firm-specific information and systemic risk 0 0 0 3 0 4 5 24
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 1 13 2 5 9 86
Forecasting extreme financial risk: A score-driven approach 0 0 2 11 1 4 8 46
Forecasting quantiles of day-ahead electricity load 0 0 0 9 0 1 4 58
Forecasting retail fuel prices with spatial interdependencies 0 0 0 0 0 0 2 2
Forecasting the variance of stock index returns using jumps and cojumps 0 0 2 11 0 0 6 79
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 0 2 3 3 0 2 3 3
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 0 2 2 57
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 1 2 5
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 0 0 101
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 1 2 4 59
Modelling interregional links in electricity price spikes 0 0 3 20 0 0 5 86
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 0 0 1 14 0 2 5 32
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 1 2 31
On the informational efficiency of S&P500 implied volatility 0 0 0 105 0 0 2 253
Outlier-robust methods for forecasting realized covariance matrices 0 0 0 3 0 1 2 7
Point process models for extreme returns: Harnessing implied volatility 0 0 0 5 0 1 6 55
S&P 500 implied volatility and monetary policy announcements 0 0 3 164 3 3 15 363
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 0 1 5 128
Semi-Parametric Forecasting of Realized Volatility 0 0 1 52 0 0 3 159
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 0 7 1 2 5 53
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 0 0 20 1 1 4 67
Strategic bidding and rebidding in electricity markets 0 1 4 29 0 1 8 94
Tail risk dynamics of banks with score-driven extreme value models 1 1 2 2 2 4 7 7
The Effect of Transmission Constraints on Electricity Prices 0 0 2 3 1 3 9 10
The Effect of Transmission Constraints on Electricity Prices 0 0 2 29 0 0 2 102
The jump component of S&P 500 volatility and the VIX index 0 0 0 183 0 1 4 674
The volatility-volume relationship in the LME futures market for industrial metals 0 0 2 13 0 0 4 74
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 0 0 0 157
Volatility transmission in global financial markets 0 0 1 71 0 2 4 189
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 0 0 1 23
Which oil shocks really matter in equity markets? 0 2 2 30 1 6 7 67
Total Journal Articles 1 9 39 1,307 21 70 206 4,481

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Statistics updated 2025-10-06