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 2 2 5 333
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 1 1 84 0 1 2 207
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 1 35 0 1 3 70
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 60 0 0 0 288
A Kernel Technique for Forecasting the Variance-Covariance Matrix 0 0 0 81 0 0 1 202
A Practical Guide to Harnessing the HAR Volatility Model 0 1 4 89 2 4 13 175
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 2 4 4 49
A simple linear alternative to multiplicative error models with an application to trading volume 0 1 1 58 1 4 6 41
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 1 1 3 26
Combining simple multivariate HAR-like models for portfolio construction 0 0 9 9 1 1 12 13
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 1 1 5 153
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 1 1 2 628
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 0 0 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 3 5 6 429
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 1 1 2 352
Evaluating multivariate volatility forecasts 0 0 0 149 0 1 1 306
Forecast combination puzzle in the HAR model 0 0 0 129 2 11 54 216
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 0 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 2 2 6 87
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 1 1 2 39 2 2 5 141
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 0 109 0 1 1 233
Forecasting stock market volatility conditional on macroeconomic conditions 0 0 1 296 0 1 4 529
Forward looking information in S&P 500 options 0 0 0 215 0 0 2 946
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 0 0 3 90
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 1 1 1 193
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 1 1 1 38
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 0 38 1 2 3 122
On the economic benefit of utility based estimation of a volatility model 0 0 0 35 2 2 2 126
Point process models for extreme returns: Harnessing implied volatility 0 0 0 21 1 3 4 45
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 1 1 2 74
Selecting forecasting models for portfolio allocation 0 0 1 66 1 1 2 186
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 0 1 462
The dynamics of co-jumps, volatility and correlation 1 1 2 56 2 3 6 124
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 0 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 0 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 3 3 6 244
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 0 1 1 252
Total Working Papers 2 5 26 3,876 34 65 186 9,629
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 1 1 2 50
A Practical Guide to harnessing the HAR volatility model 0 0 0 12 0 5 9 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 0 1 23 1 1 7 66
An empirical investigation of herding in the U.S. stock market 0 0 0 42 1 1 3 141
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 0 2 10 11
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 0 11 1 2 9 56
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 3 4 92
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 1 297
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 0 7 1 1 1 24
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 2 2 4 4
Facial expressions and the business cycle 0 0 2 5 0 1 7 24
Firm-specific information and systemic risk 0 0 0 3 0 2 5 24
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 13 0 3 8 86
Forecasting extreme financial risk: A score-driven approach 0 0 2 11 3 4 11 49
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 2 2 4 4
Forecasting the variance of stock index returns using jumps and cojumps 0 0 2 11 1 1 6 80
Gasoline prices, gasoline price expectations, and inflation expectations in the United States 1 2 4 4 3 4 6 6
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 1 3 3 58
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 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 0 1 4 59
Modelling interregional links in electricity price spikes 0 0 3 20 1 1 6 87
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 0 0 1 14 4 6 8 36
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 0 1 7
Point process models for extreme returns: Harnessing implied volatility 0 0 0 5 1 2 7 56
S&P 500 implied volatility and monetary policy announcements 0 0 2 164 2 5 16 365
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 2 2 7 130
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 0 1 5 53
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 0 0 20 3 4 7 70
Strategic bidding and rebidding in electricity markets 0 1 3 29 2 3 9 96
Tail risk dynamics of banks with score-driven extreme value models 0 1 2 2 1 4 8 8
The Effect of Transmission Constraints on Electricity Prices 0 0 2 3 1 2 9 11
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 1 1 5 675
The volatility-volume relationship in the LME futures market for industrial metals 0 0 2 13 0 0 3 74
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 0 0 0 157
Volatility transmission in global financial markets 1 1 2 72 1 3 5 190
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 0 2 30 1 4 8 68
Total Journal Articles 2 6 38 1,309 38 82 229 4,519

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-11-08