Adam Clements
Names
| first: |
Adam |
| last: |
Clements |
Identifer
Contact
Affiliations
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Queensland University of Technology
/ Business School
/ School of Economics and Finance (weight: 75%)
Research profile
author of:
- The Effect of Transmission Constraints on Electricity Prices (RePEc:aen:journl:ej38-4-hurn)
by Adam E. Clements & A. Stan Hurn & Zili Li - Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo (RePEc:arx:papers:1906.03828)
by Dan Li & Adam Clements & Christopher Drovandi - Mobius-Like Mappings and Their Use in Kernel Density Estimation (RePEc:bes:jnlasa:v:98:y:2003:p:993-1000)
by Clements A. & Hurn S. & Lindsay K. - Semi-parametric Forecasting of Spikes in Electricity Prices (RePEc:bla:ecorec:v:89:y:2013:i:287:p:508-521)
by Adam Clements & Joanne Fuller & Stan Hurn - Semi-Parametric Forecasting of Realized Volatility (RePEc:bpj:sndecm:v:15:y:2011:i:3:n:1)
by Becker Ralf & Clements Adam E & Hurn Stan - Forward looking information in S&P 500 options (RePEc:ecm:ausm04:233)
by Scott I White & Ralf Becker & Adam E Clements - Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility (RePEc:ecm:ausm04:46)
by Scott I. White & Adam E. Clements & Stan Hurn - Facial expressions and the business cycle (RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001528)
by Aromi, J. Daniel & Clements, Adam - An empirical investigation of herding in the U.S. stock market (RePEc:eee:ecmode:v:67:y:2017:i:c:p:184-192)
by Clements, Adam & Hurn, Stan & Shi, Shuping - Firm-specific information and systemic risk (RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493)
by Clements, A.E. & Liao, Y. - On the informational efficiency of S&P500 implied volatility (RePEc:eee:ecofin:v:17:y:2006:i:2:p:139-153)
by Becker, Ralf & Clements, Adam E. & White, Scott I. - Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach (RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88)
by Herrera, Rodrigo & González, Sergio & Clements, Adam - Are lifecycle funds appropriate as default options in participant-directed retirement plans? (RePEc:eee:ecolet:v:124:y:2014:i:1:p:51-54)
by Basu, Anup K. & Chen, En Te & Clements, Adam - Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo (RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46)
by Li, Dan & Clements, Adam & Drovandi, Christopher - Forecasting day-ahead electricity load using a multiple equation time series approach (RePEc:eee:ejores:v:251:y:2016:i:2:p:522-530)
by Clements, A.E. & Hurn, A.S. & Li, Z. - Volatility timing: How best to forecast portfolio exposures (RePEc:eee:empfin:v:24:y:2013:i:c:p:108-115)
by Clements, A. & Silvennoinen, A. - Volatility transmission in global financial markets (RePEc:eee:empfin:v:32:y:2015:i:c:p:3-18)
by Clements, A.E. & Hurn, A.S. & Volkov, V.V. - Modelling interregional links in electricity price spikes (RePEc:eee:eneeco:v:51:y:2015:i:c:p:383-393)
by Clements, A.E. & Herrera, R. & Hurn, A.S. - Strategic bidding and rebidding in electricity markets (RePEc:eee:eneeco:v:59:y:2016:i:c:p:24-36)
by Clements, A.E. & Hurn, A.S. & Li, Z. - Forecasting quantiles of day-ahead electricity load (RePEc:eee:eneeco:v:67:y:2017:i:c:p:60-71)
by Li, Z. & Hurn, A.S. & Clements, A.E. - Which oil shocks really matter in equity markets? (RePEc:eee:eneeco:v:81:y:2019:i:c:p:134-141)
by Clements, Adam & Shield, Cody & Thiele, Stephen - Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil (RePEc:eee:eneeco:v:81:y:2019:i:c:p:187-196)
by Aromi, Daniel & Clements, Adam - S&P 500 implied volatility and monetary policy announcements (RePEc:eee:finlet:v:4:y:2007:i:4:p:227-232)
by Chen, En-Te (John) & Clements, Adam - A Bayesian approach for more reliable tail risk forecasts (RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x)
by Li, Dan & Clements, Adam & Drovandi, Christopher - Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis (RePEc:eee:glofin:v:57:y:2023:i:c:s1044028323000443)
by Wang, Ruolin & Basu, Anup & Clements, Adam - Are combination forecasts of S&P 500 volatility statistically superior? (RePEc:eee:intfor:v:24:y:2008:i:1:p:122-133)
by Becker, Ralf & Clements, Adam E. - Selecting volatility forecasting models for portfolio allocation purposes (RePEc:eee:intfor:v:31:y:2015:i:3:p:849-861)
by Becker, R. & Clements, A.E. & Doolan, M.B. & Hurn, A.S. - Forecasting the variance of stock index returns using jumps and cojumps (RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742)
by Clements, Adam & Liao, Yin - A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile (RePEc:eee:intfor:v:34:y:2018:i:4:p:566-581)
by Moisan, Stella & Herrera, Rodrigo & Clements, Adam - Forecasting extreme financial risk: A score-driven approach (RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735)
by Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam - Outlier-robust methods for forecasting realized covariance matrices (RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408)
by Li, Dan & Drovandi, Christopher & Clements, Adam - A Practical Guide to harnessing the HAR volatility model (RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417)
by Clements, Adam & Preve, Daniel P.A. - Does implied volatility provide any information beyond that captured in model-based volatility forecasts? (RePEc:eee:jbfina:v:31:y:2007:i:8:p:2535-2549)
by Becker, Ralf & Clements, Adam E. & White, Scott I. - The jump component of S&P 500 volatility and the VIX index (RePEc:eee:jbfina:v:33:y:2009:i:6:p:1033-1038)
by Becker, Ralf & Clements, Adam E. & McClelland, Andrew - Point process models for extreme returns: Harnessing implied volatility (RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175)
by Herrera, R. & Clements, A.E. - Common trends in global volatility (RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214)
by Clements, A.E. & Hurn, A.S. & Volkov, V.V. - The volatility-volume relationship in the LME futures market for industrial metals (RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124)
by Todorova, Neda & Clements, Adam E. - Modeling extreme risks in commodities and commodity currencies (RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120)
by Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam - A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns (RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320)
by Ralf Becker & Adam Clements & Robert O'Neill - A Cholesky-MIDAS model for predicting stock portfolio volatility (RePEc:man:cgbcrp:149)
by Ralf Becker & Adam Clements & Robert O'Neill - A Kernel Technique for Forecasting the Variance-Covariance Matrix (RePEc:man:cgbcrp:151)
by Ralf Becker & Adam Clements & Robert O'Neill - Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes (RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790.)
by A E Clements & A S Hurn & K A Lindsay & V Volkov - Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 (RePEc:qut:auncer:2006-3)
by Adam Clements & Stan Hurn & Scott White - Does implied volatility reflect a wider information set than econometric forecasts? (RePEc:qut:auncer:2007-9)
by Ralf Becker & Adam Clements & James Curchin - Are combination forecasts of S&P 500 volatility statistically superior? (RePEc:qut:auncer:2007-92)
by Ralf Becker & Adam Clements - Forecasting stock market volatility conditional on macroeconomic conditions (RePEc:qut:auncer:2007-93)
by Ralf Becker & Adam Clements - The Jump component of S&P 500 volatility and the VIX index (RePEc:qut:auncer:2008-13)
by Ralf Becker & Adam Clements & Andrew McClelland - Estimating the Payoffs of Temperature-based Weather Derivatives (RePEc:qut:auncer:2008-22)
by Adam Clements & A S Hurn & K A Lindsay - Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives (RePEc:qut:auncer:2008-23)
by Adam Clements & A S Hurn & K A Lindsay - Evaluating multivariate volatility forecasts (RePEc:qut:auncer:2009_50)
by Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker - A nonparametric approach to forecasting realized volatility (RePEc:qut:auncer:2009_56)
by Adam Clements & Ralf Becker - On the economic benefit of utility based estimation of a volatility model (RePEc:qut:auncer:2009_57)
by Adam Clements & Annastiina Silvennoinen - Forecast performance of implied volatility and the impact of the volatility risk premium (RePEc:qut:auncer:2009_58)
by Ralf Becker & Adam Clements & Christopher Coleman-Fenn - Portfolio allocation: Getting the most out of realised volatility (RePEc:qut:auncer:2010_01)
by Adam Clements & Annastiina Silvennoinen - A Cholesky-MIDAS model for predicting stock portfolio volatility (RePEc:qut:auncer:2010_07)
by Ralf Becker & Adam Clements & Robert O'Neill - Volatility and the role of order book structure (RePEc:qut:auncer:2010_11)
by Ralf Becker & Adam Clements - A Kernel Technique for Forecasting the Variance-Covariance Matrix (RePEc:qut:auncer:2010_13)
by Ralf Becker & Adam Clements & Robert O'Neill - Forecasting Equicorrelation (RePEc:qut:auncer:2011_3)
by Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith - Volatility timing and portfolio selection: How best to forecast volatility (RePEc:qut:auncer:2011_7)
by Adam E Clements & Annastiina Silvennoinen - Forecasting multivariate volatility in larger dimensions: some practical issues (RePEc:qut:auncer:2012_3)
by Adam E Clements & Ayesha Scott & Annastiina Silvennoinen - Selecting forecasting models for portfolio allocation (RePEc:qut:auncer:2012_8)
by Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker - Forecasting increases in the VIX: A time-varying long volatility hedge for equities (RePEc:qut:auncer:2012_92)
by Adam Clements & Joanne Fuller - The dynamics of co-jumps, volatility and correlation (RePEc:qut:auncer:2013_3)
by Adam Clements & Yin Liao - Modeling and forecasting realized volatility: getting the most out of the jump component (RePEc:qut:auncer:2013_5)
by Adam E Clements & Yin Liao - On the Benefits of Equicorrelation for Portfolio Allocation (RePEc:qut:auncer:2013_92)
by Adam Clements & Ayesha Scott & Annastiina Silvennoinen - The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index (RePEc:qut:auncer:2014_02)
by Adam Clements & Yin Liao - The impact of information flow and trading activity on gold and oil futures volatility (RePEc:qut:auncer:2014_03)
by Adam Clements & Neda Todorova - Forecasting day-ahead electricity load using a multiple equation time series approach (RePEc:qut:auncer:2015_01)
by Adam Clements & Stan Hurn & Zili Li - Point process models for extreme returns: Harnessing implied volatility (RePEc:qut:auncer:2015_02)
by R Herrera & Adam Clements - Public news flow in intraday component models for trading activity and volatility (RePEc:qut:auncer:2015_04)
by Adam Clements & Joanne Fuller & Vasilios Papalexiou - News and network structures in equity market volatility (RePEc:qut:auncer:2016_01)
by Adam Clements & Yin Liao - Volatility Dependent Dynamic Equicorrelation (RePEc:qut:auncer:2016_02)
by Adam Clements & Ayesha Scott & Annastiina Silvennoinen - Modelling Extreme Risks in Commodities and Commodity Currencies (RePEc:qut:auncer:2016_06)
by Fernanda Fuentes & Rodrigo Herrera & Adam Clements - A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile (RePEc:qut:auncer:2017_01)
by Stella Moisan & Rodrigo Herrera & Adam Clements - Media attention and crude oil volatility: Is there any 'new' news in the newspaper? (RePEc:qut:auncer:2018_01)
by D Aromi & A Clements - Combining Multivariate Volatility Forecasts using Weighted Losses (RePEc:qut:auncer:2018_02)
by A Clements & M Doolan - A Practical Guide to Harnessing the HAR Volatility Model (RePEc:qut:auncer:2019_01)
by A Clements & D Preve - Unknown item RePEc:qut:dpaper:129 (paper)
- Unknown item RePEc:qut:dpaper:191 (paper)
- Unknown item RePEc:qut:dpaper:192 (paper)
- Unknown item RePEc:qut:dpaper:217 (paper)
- Unknown item RePEc:qut:dpaper:218 (paper)
- Unknown item RePEc:qut:dpaper:219 (paper)
- Unknown item RePEc:qut:dpaper:244 (paper)
- The Effect of Transmission Constraints on Electricity Prices (RePEc:sae:enejou:v:38:y:2017:i:4:p:145-163)
by Adam E. Clements & A. Stan Hurn & Zili Li - Volatility-dependent correlations: further evidence of when, where and how (RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1473-0)
by Adam Clements & Ayesha Scott & Annastiina Silvennoinen - A marked point process model for intraday financial returns: modeling extreme risk (RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y)
by Rodrigo Herrera & Adam Clements - Forecast combination puzzle in the HAR model (RePEc:syb:wpbsba:2123/25045)
by Clements, Adam & Vasnev, Andrey - Unknown item RePEc:taf:apfiec:v:18:y:2008:i:7:p:599-604 (article)
- A semi-parametric point process model of the interactions between equity markets (RePEc:tas:wpaper:23504)
by Clements, A.E. & Hurn, A.S. & Lindsay, K.A. & Volkov, V.V - A simple linear alternative to multiplicative error models with an application to trading volume (RePEc:tas:wpaper:38716)
by Clements, Adam & Hurn, Stan & Volkov, Vladimir - Mixture distribution‐based forecasting using stochastic volatility models (RePEc:wly:apsmbi:v:22:y:2006:i:5-6:p:547-557)
by A. E. Clements & S. Hurn & S. I. White - Combining multivariate volatility forecasts using weighted losses (RePEc:wly:jforec:v:39:y:2020:i:4:p:628-641)
by Adam Clements & Mark Bernard Doolan - Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility (RePEc:wly:jforec:v:41:y:2022:i:1:p:86-99)
by Adam Clements & Yin Liao & Yusui Tang - Information Flow, Trading Activity and Commodity Futures Volatility (RePEc:wly:jfutmk:v:36:y:2016:i:1:p:88-104)
by Adam E. Clements & Neda Todorova