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 0 1 4 210
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 0 123 0 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 81 1 4 9 210
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 1 4 13 301
A Practical Guide to Harnessing the HAR Volatility Model 0 2 4 91 5 15 40 209
A nonparametric approach to forecasting realized volatility 0 0 0 199 1 2 6 292
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 1 13 58
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 1 5 24 61
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 1 1 9 415
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 1 3 12 36
Combining simple multivariate HAR-like models for portfolio construction 1 1 2 10 1 6 13 24
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 1 4 9 160
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 4 10 636
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 1 3 8 235
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 23 0 3 11 43
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 1 5 13 437
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 0 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 2 4 9 314
Forecast combination puzzle in the HAR model 0 0 0 129 3 8 45 236
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 0 3 7 296
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 1 4 13 97
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 1 39 0 1 4 143
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 0 3 4 236
Forecasting stock market volatility conditional on macroeconomic conditions 0 1 2 297 2 5 15 542
Forward looking information in S&P 500 options 1 1 1 216 2 7 22 967
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 0 1 9 97
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 0 3 7 199
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 1 3 9 76
News and network structures in equity market volatility 0 0 0 21 0 1 6 43
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 0 38 0 6 13 133
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 1 1 8 132
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 0 3 12 54
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 0 3 9 215
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 1 4 8 81
Selecting forecasting models for portfolio allocation 0 0 0 66 0 3 8 193
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 1 4 465
The dynamics of co-jumps, volatility and correlation 0 0 1 56 0 1 10 131
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 0 6 18 217
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 1 3 11 185
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 0 5 10 85
Volatility and the role of order book structure 0 0 0 75 1 5 21 259
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 0 0 4 255
Total Working Papers 2 5 14 3,882 30 146 505 10,036
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 1 1 2 6 2 8 12 26
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 1 5 14 62
A Practical Guide to harnessing the HAR volatility model 0 1 4 16 7 26 59 136
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 0 4 10 57
A marked point process model for intraday financial returns: modeling extreme risk 0 1 2 24 2 7 19 81
An empirical investigation of herding in the U.S. stock market 0 1 1 43 1 13 25 165
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 0 2 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 1 5 19 25
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 1 12 0 16 23 76
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 1 5 14 28
Common trends in global volatility 0 0 0 17 0 2 11 99
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 0 2 5 121
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 132 1 5 10 306
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 0 5 14 37
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 1 3 9 10
Facial expressions and the business cycle 0 1 1 6 0 10 17 39
Firm-specific information and systemic risk 0 0 0 3 1 5 13 33
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 4 16 2 10 22 103
Forecasting extreme financial risk: A score-driven approach 0 1 1 12 1 5 15 57
Forecasting quantiles of day-ahead electricity load 0 1 2 11 1 4 8 65
Forecasting retail fuel prices with spatial interdependencies 0 2 3 3 0 10 27 29
Forecasting the variance of stock index returns using jumps and cojumps 0 1 1 12 0 5 15 94
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 3 4 9 10 3 15 31 32
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 1 5 17 72
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 2 5 9 13
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 1 1 5 106
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 0 6 12 69
Modelling interregional links in electricity price spikes 0 0 0 20 1 4 13 98
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 0 0 0 14 2 8 26 56
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 1 7 37
On the informational efficiency of S&P500 implied volatility 0 0 0 105 0 4 8 261
Outlier-robust methods for forecasting realized covariance matrices 0 0 0 3 0 4 8 14
Point process models for extreme returns: Harnessing implied volatility 0 0 1 6 1 4 14 67
S&P 500 implied volatility and monetary policy announcements 0 0 0 164 1 6 29 386
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 0 3 13 140
Semi-Parametric Forecasting of Realized Volatility 0 1 1 53 1 3 8 167
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 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 7 19 84
Strategic bidding and rebidding in electricity markets 0 0 2 30 1 5 16 109
Tail risk dynamics of banks with score-driven extreme value models 0 4 5 6 0 12 30 31
The Effect of Transmission Constraints on Electricity Prices 1 2 3 6 1 5 21 27
The jump component of S&P 500 volatility and the VIX index 0 0 0 183 2 9 32 704
The volatility-volume relationship in the LME futures market for industrial metals 0 0 0 13 0 5 16 90
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 1 2 9 166
Volatility transmission in global financial markets 0 0 1 72 0 1 12 199
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 1 5 8 31
Which oil shocks really matter in equity markets? 0 0 2 30 1 5 22 83
Total Journal Articles 5 22 49 1,318 45 283 774 5,067
1 registered items for which data could not be found
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Statistics updated 2026-06-04