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 1 123 0 1 6 335
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 1 84 0 2 3 209
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 0 35 0 7 10 78
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 4 7 9 297
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 81 0 4 5 206
A Practical Guide to Harnessing the HAR Volatility Model 0 0 3 89 4 18 30 194
A nonparametric approach to forecasting realized volatility 0 0 0 199 0 2 4 290
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 8 12 57
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 1 13 21 56
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 4 7 10 414
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 1 6 10 33
Combining simple multivariate HAR-like models for portfolio construction 0 0 2 9 0 2 12 18
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 3 7 156
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 1 4 6 632
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 0 3 6 232
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 23 0 8 8 40
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 3 8 432
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 4 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 0 3 5 310
Forecast combination puzzle in the HAR model 0 0 0 129 3 11 45 228
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 2 3 5 293
Forecasting Equicorrelation 0 0 1 112 0 3 5 287
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 47 0 3 11 93
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 2 39 0 1 5 142
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 0 0 1 233
Forecasting stock market volatility conditional on macroeconomic conditions 0 0 1 296 1 7 10 537
Forward looking information in S&P 500 options 0 0 0 215 5 11 15 960
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 0 5 8 96
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 0 3 4 196
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 0 5 7 73
News and network structures in equity market volatility 0 0 0 21 0 4 5 42
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 0 38 0 4 8 127
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 0 4 7 131
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 0 4 10 51
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 1 3 7 212
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 1 2 4 77
Selecting forecasting models for portfolio allocation 0 0 1 66 0 3 6 190
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 2 3 464
The dynamics of co-jumps, volatility and correlation 0 0 1 56 0 6 10 130
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 0 9 13 211
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 2 5 8 182
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 1 4 5 80
Volatility and the role of order book structure 0 0 0 75 2 9 16 254
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 2 3 4 255
Total Working Papers 0 0 15 3,877 36 219 400 9,890
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 1 2 5 0 3 5 18
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 1 7 9 57
A Practical Guide to harnessing the HAR volatility model 0 3 3 15 4 21 34 110
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 0 6 3 4 7 53
A marked point process model for intraday financial returns: modeling extreme risk 0 0 1 23 1 5 14 74
An empirical investigation of herding in the U.S. stock market 0 0 0 42 1 10 13 152
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 2 9 12 309
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 8 16 20
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 1 1 12 0 3 11 60
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 1 6 9 23
Common trends in global volatility 0 0 0 17 0 3 9 97
Do common volatility models capture cyclical behaviour in volatility? 0 0 0 36 0 3 3 119
Does implied volatility provide any information beyond that captured in model-based volatility forecasts? 0 0 0 132 1 4 5 301
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 1 6 9 32
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 2 6 7
Facial expressions and the business cycle 0 0 1 5 1 4 9 29
Firm-specific information and systemic risk 0 0 0 3 0 4 9 28
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 3 15 1 6 14 93
Forecasting extreme financial risk: A score-driven approach 0 0 0 11 1 3 10 52
Forecasting quantiles of day-ahead electricity load 0 1 1 10 2 3 4 61
Forecasting retail fuel prices with spatial interdependencies 0 0 1 1 0 12 19 19
Forecasting the variance of stock index returns using jumps and cojumps 0 0 1 11 0 4 11 89
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 0 2 6 6 1 7 17 17
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 3 7 12 67
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 3 4 8
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 3 4 105
Modeling extreme risks in commodities and commodity currencies 0 0 0 7 0 3 8 63
Modelling interregional links in electricity price spikes 0 0 2 20 1 5 12 94
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 0 0 0 14 0 11 19 48
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 1 3 7 36
On the informational efficiency of S&P500 implied volatility 0 0 0 105 1 2 4 257
Outlier-robust methods for forecasting realized covariance matrices 0 0 0 3 0 3 4 10
Point process models for extreme returns: Harnessing implied volatility 0 1 1 6 1 6 12 63
S&P 500 implied volatility and monetary policy announcements 0 0 2 164 4 12 29 380
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 1 5 11 137
Semi-Parametric Forecasting of Realized Volatility 0 0 0 52 0 4 5 164
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 9 14 64
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 1 1 21 4 6 13 77
Strategic bidding and rebidding in electricity markets 0 0 2 30 1 7 13 104
Tail risk dynamics of banks with score-driven extreme value models 0 0 2 2 4 7 19 19
The Effect of Transmission Constraints on Electricity Prices 0 1 1 4 2 9 17 22
The Effect of Transmission Constraints on Electricity Prices 0 0 1 29 1 2 4 105
The jump component of S&P 500 volatility and the VIX index 0 0 0 183 3 15 24 695
The volatility-volume relationship in the LME futures market for industrial metals 0 0 1 13 1 8 12 85
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 1 6 7 164
Volatility transmission in global financial markets 0 0 2 72 1 7 12 198
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 1 3 3 26
Which oil shocks really matter in equity markets? 0 0 2 30 0 10 18 78
Total Journal Articles 0 12 40 1,325 53 293 542 4,889

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Statistics updated 2026-03-04