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 0 83 0 1 2 206
A Cholesky-MIDAS model for predicting stock portfolio volatility 0 0 0 122 0 1 1 329
A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 0 0 1 35 0 0 3 68
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 0 201
A Practical Guide to Harnessing the HAR Volatility Model 0 0 4 86 0 1 7 164
A nonparametric approach to forecasting realized volatility 0 0 0 199 0 1 1 286
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 0 1 45
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 0 57 0 0 1 35
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 222 0 0 0 404
Combining Multivariate Volatility Forecasts using Weighted Losses 0 0 0 34 0 0 0 23
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 1 2 149
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 1 191 0 0 3 626
Does implied volatility reflect a wider information set than econometric forecasts? 0 0 0 118 0 0 1 226
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 1 3 177 0 1 5 424
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 1 4 351
Evaluating multivariate volatility forecasts 0 0 0 149 0 0 0 305
Forecast combination puzzle in the HAR model 0 0 1 129 10 16 50 183
Forecast performance of implied volatility and the impact of the volatility risk premium 0 0 0 130 0 0 0 288
Forecasting Equicorrelation 0 0 0 111 0 0 1 282
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 2 46 0 0 4 82
Forecasting increases in the VIX: A time-varying long volatility hedge for equities 0 0 1 37 1 1 3 137
Forecasting multivariate volatility in larger dimensions: some practical issues 0 0 2 109 0 0 3 232
Forecasting stock market volatility conditional on macroeconomic conditions 0 0 0 295 1 2 3 527
Forward looking information in S&P 500 options 0 0 0 215 0 1 1 945
Media attention and crude oil volatility: Is there any 'new' news in the newspaper? 0 0 0 26 1 1 2 88
Modeling and forecasting realized volatility: getting the most out of the jump component 0 0 0 58 0 0 1 192
Modelling Extreme Risks in Commodities and Commodity Currencies 0 0 0 12 1 1 2 66
News and network structures in equity market volatility 0 0 0 21 0 0 1 37
On the Benefits of Equicorrelation for Portfolio Allocation 0 0 1 38 0 0 1 119
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 0 0 0 41
Portfolio allocation: Getting the most out of realised volatility 0 0 0 80 0 0 1 205
Public news flow in intraday component models for trading activity and volatility 0 0 0 26 0 1 1 73
Selecting forecasting models for portfolio allocation 0 0 0 65 0 0 0 184
The Jump component of S&P 500 volatility and the VIX index 0 0 0 177 0 0 1 461
The dynamics of co-jumps, volatility and correlation 0 1 2 55 0 2 8 120
The impact of information flow and trading activity on gold and oil futures volatility 0 0 0 41 0 0 0 198
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index 0 0 0 57 0 0 2 174
Volatility Dependent Dynamic Equicorrelation 0 0 0 61 1 1 1 75
Volatility and the role of order book structure 0 0 0 75 0 0 0 238
Volatility timing and portfolio selection: How best to forecast volatility 0 0 0 109 0 0 1 251
Total Working Papers 0 2 18 3,855 15 33 118 9,484
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 3 0 1 4 13
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns 0 0 0 9 0 0 0 48
A Practical Guide to harnessing the HAR volatility model 0 0 0 12 0 2 5 76
A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile 0 0 1 6 0 0 2 46
A marked point process model for intraday financial returns: modeling extreme risk 0 0 3 22 1 1 6 60
An empirical investigation of herding in the U.S. stock market 0 0 1 42 0 0 6 139
Are combination forecasts of S&P 500 volatility statistically superior? 0 0 0 75 0 0 1 297
Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis 0 0 0 0 2 3 4 4
Are lifecycle funds appropriate as default options in participant-directed retirement plans? 0 0 1 11 1 1 5 49
Combining multivariate volatility forecasts using weighted losses 0 0 0 1 0 0 1 14
Common trends in global volatility 0 0 0 17 0 0 1 88
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 1 132 0 0 2 296
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo 0 0 1 7 0 0 3 23
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 1 1 1 1
Facial expressions and the business cycle 1 1 1 4 3 3 4 20
Firm-specific information and systemic risk 0 0 0 3 0 0 2 19
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 12 0 0 7 79
Forecasting extreme financial risk: A score-driven approach 0 1 3 11 1 2 10 42
Forecasting quantiles of day-ahead electricity load 0 0 0 9 1 3 4 57
Forecasting the variance of stock index returns using jumps and cojumps 0 1 1 10 2 4 7 78
Information Flow, Trading Activity and Commodity Futures Volatility 0 0 0 7 0 0 0 55
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 1 2 4
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 1 7 0 0 3 55
Modelling interregional links in electricity price spikes 0 1 2 18 0 1 2 82
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility 1 1 4 14 1 1 6 29
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach 0 0 0 6 0 0 0 29
On the informational efficiency of S&P500 implied volatility 0 0 1 105 0 2 4 253
Outlier-robust methods for forecasting realized covariance matrices 0 0 2 3 0 0 5 6
Point process models for extreme returns: Harnessing implied volatility 0 0 0 5 0 2 5 51
S&P 500 implied volatility and monetary policy announcements 0 0 6 162 0 2 10 351
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 32 2 2 3 126
Semi-Parametric Forecasting of Realized Volatility 0 1 2 52 1 2 5 159
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 0 7 2 2 2 50
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil 0 0 0 20 0 0 6 64
Strategic bidding and rebidding in electricity markets 0 1 4 28 1 3 8 91
The Effect of Transmission Constraints on Electricity Prices 0 0 2 28 0 0 3 101
The Effect of Transmission Constraints on Electricity Prices 1 1 3 3 1 2 5 5
The jump component of S&P 500 volatility and the VIX index 0 0 1 183 1 1 5 671
The volatility-volume relationship in the LME futures market for industrial metals 0 1 1 12 0 2 3 73
Volatility timing: How best to forecast portfolio exposures 0 0 0 31 0 0 0 157
Volatility transmission in global financial markets 0 0 2 70 1 1 5 186
Volatility-dependent correlations: further evidence of when, where and how 0 0 0 1 0 1 1 23
Which oil shocks really matter in equity markets? 0 0 0 28 0 0 3 60
Total Journal Articles 3 10 47 1,285 23 46 161 4,347

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Statistics updated 2025-03-03