Search Results

A marked point process model for intraday financial returns: modeling extreme risk,
Rodrigo Herrera and Adam Clements, in Empirical Economics (2020)
Keywords: Hawkes process, Peaks over threshold, Bid-ask spread, Extreme risk, High frequency

Combining simple multivariate HAR-like models for portfolio construction,
Adam Clements and Andrey Vasnev, from University of Sydney Business School, Discipline of Business Analytics (2023)
Keywords: Realized volatility, realized covariance, forecast combination, HAR model, multivariate HAR, portfolio

A Practical Guide to Harnessing the HAR Volatility Model,
Adam Clements and Daniel Preve, from National Centre for Econometric Research (2019)
Keywords: Volatility forecasting; Realized variance; HAR model; HARQ model; Robust regression; Box-Cox transformation; Forecast comparisons; QLIKE loss; Model confidence set

Combining Multivariate Volatility Forecasts using Weighted Losses,
Adam Clements and M Doolan, from National Centre for Econometric Research (2018)
Keywords: Multivariate volatility, combination forecasts, forecast evaluation, model confidence set

News and network structures in equity market volatility,
Adam Clements and Yin Liao, from National Centre for Econometric Research
Keywords: Networks, news, volatility, sentiment

Point process models for extreme returns: Harnessing implied volatility,
Rodrigo Herrera and Adam Clements, from National Centre for Econometric Research (2015)
Keywords: Implied volatility, Hawkes process, Peaks over threshold, Point process, Extreme events

The impact of information flow and trading activity on gold and oil futures volatility,
Adam Clements and Neda Todorova, from National Centre for Econometric Research (2014)
Keywords: Information flow; Volatility; Oil futures; Gold futures; Trading activity.

The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index,
Adam Clements and Yin Liao, from National Centre for Econometric Research (2014)
Keywords: Realized volatility; diffusion; jumps; point process; Hawkes process; forecasting

Modeling and forecasting realized volatility: getting the most out of the jump component,
Adam Clements and Yin Liao, from National Centre for Econometric Research (2013)
Keywords: Realized volatility, diffusion, jumps, point process, Hawkes process, forecasting

The dynamics of co-jumps, volatility and correlation,
Adam Clements and Yin Liao, from National Centre for Econometric Research (2013)
Keywords: Realized volatility, correlation, jumps, co-jumps, point process

Forecasting increases in the VIX: A time-varying long volatility hedge for equities,
Adam Clements and Joanne Fuller, from National Centre for Econometric Research (2012)
Keywords: Implied volatility, VIX, hedging, semi-parametric, forecasting

Volatility timing and portfolio selection: How best to forecast volatility,
Adam Clements and Annastiina Silvennoinen, from National Centre for Econometric Research (2011)
Keywords: Volatility, volatility timing, utility, portfolio allocation, realized volatility

Volatility and the role of order book structure,
Ralf Becker and Adam Clements, from National Centre for Econometric Research (2010)
Keywords: Realized volatility, bi-power variation, limit order book, market microstructure, order imbalance

Portfolio allocation: Getting the most out of realised volatility,
Adam Clements and Annastiina Silvennoinen, from National Centre for Econometric Research (2010)
Keywords: Volatility, utility, portfolio allocation, realized volatility, MIDAS

On the economic benefit of utility based estimation of a volatility model,
Adam Clements and Annastiina Silvennoinen, from National Centre for Econometric Research (2009)
Keywords: Volatility, utility, portfolio allocation, realized volatility, MIDAS

A nonparametric approach to forecasting realized volatility,
Adam Clements and Ralf Becker, from National Centre for Econometric Research (2009)
Keywords: Volatility, forecasts, forecast evaluation, model confidence set, nonparametric

Forecasting stock market volatility conditional on macroeconomic conditions,
Ralf Becker and Adam Clements, from National Centre for Econometric Research (2007)
Keywords: Volatility, macroeconomic data, forecast, spline, GARCH.

Are combination forecasts of S&P 500 volatility statistically superior?,
Ralf Becker and Adam Clements, from National Centre for Econometric Research (2007)
Keywords: Implied volatility, volatility forecasts, volatility models, realized volatility, combination forecasts.

Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo,
Dan Li, Adam Clements and Christopher Drovandi, from arXiv.org (2020)

Common trends in global volatility,
Adam Clements, Stan Hurn and V.V. Volkov, in Journal of International Money and Finance (2016)
Keywords: Volatility; News arrival; Fractional cointegration;

The Effect of Transmission Constraints on Electricity Prices,
Adam Clements, Stan Hurn and Zili Li, in The Energy Journal (2017)

Mobius-Like Mappings and Their Use in Kernel Density Estimation,
Adam Clements, Stan Hurn and Lindsay K., in Journal of the American Statistical Association (2003)

Combining multivariate volatility forecasts using weighted losses,
Adam Clements and Mark Bernard Doolan, in Journal of Forecasting (2020)

Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility,
Adam Clements, Yin Liao and Yusui Tang, in Journal of Forecasting (2022)

An empirical investigation of herding in the U.S. stock market,
Adam Clements, Stan Hurn and Shuping Shi, in Economic Modelling (2017)
Keywords: Herding; Predictability; Granger causality; News; Sentiment;

Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo,
Dan Li, Adam Clements and Christopher Drovandi, in Econometrics and Statistics (2021)
Keywords: Markov chain Monte Carlo; Time series analysis; Volatility distribution; Cross-validation; Data annealing;

Forecasting day-ahead electricity load using a multiple equation time series approach,
Adam Clements, Stan Hurn and Z. Li, in European Journal of Operational Research (2016)
Keywords: Short-term load forecasting; Modelling seasonality; Intra-day load correlation;

Volatility transmission in global financial markets,
Adam Clements, Stan Hurn and V.V. Volkov, in Journal of Empirical Finance (2015)
Keywords: GARCH; Realised volatility; Asymmetry; Jumps; Volatility transmission;

Strategic bidding and rebidding in electricity markets,
Adam Clements, Stan Hurn and Z. Li, in Energy Economics (2016)
Keywords: Electricity market; Transmission constraints; Synchronisation time; Ramp-up rate; Strategic bidding; Rebidding; Counter-price flow;

Forecasting quantiles of day-ahead electricity load,
Z. Li, Stan Hurn and Adam Clements, in Energy Economics (2017)
Keywords: Load forecasting; Quantile forecasts; Bayesian quantile regression;

Which oil shocks really matter in equity markets?,
Adam Clements, Cody Shield and Stephen Thiele, in Energy Economics (2019)
Keywords: Supply and demand shocks; Stock markets; Precautionary demand; Volatility;

S&P 500 implied volatility and monetary policy announcements,
En-Te Chen and Adam Clements, in Finance Research Letters (2007)

A Bayesian approach for more reliable tail risk forecasts,
Dan Li, Adam Clements and Christopher Drovandi, in Journal of Financial Stability (2023)
Keywords: CAViaR; Value-at-risk; Expected shortfall; Sequential Monte Carlo; Uncertainty quantification; Systemic risk;

Outlier-robust methods for forecasting realized covariance matrices,
Dan Li, Christopher Drovandi and Adam Clements, in International Journal of Forecasting (2024)
Keywords: Multivariate volatility; HAR; Portfolio allocation; Minimum covariance determinant; Multivariate regression; Least-trimmed squares estimator;

The jump component of S&P 500 volatility and the VIX index,
Ralf Becker, Adam Clements and Andrew McClelland, in Journal of Banking & Finance (2009)
Keywords: Implied volatility VIX Volatility forecasts Informational efficiency Jumps

A Practical Guide to harnessing the HAR volatility model,
Adam Clements and Daniel P.A. Preve, in Journal of Banking & Finance (2021)
Keywords: Volatility forecasting; Realized variance; HAR; HARQ; Robust regression; Weighted least squares; Box-Cox transformation; Forecast comparisons; QLIKE; MSE; VaR; Model confidence set;

Semi-parametric Forecasting of Spikes in Electricity Prices,
Adam Clements, Joanne Fuller and Stan Hurn, in The Economic Record (2013)

Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach,
Rodrigo Herrera, Sergio González and Adam Clements, in The North American Journal of Economics and Finance (2018)
Keywords: Extreme value theory; Financial markets; Oil markets; Value at risk; Interdependence;

Modelling interregional links in electricity price spikes,
Adam Clements, Rodrigo Herrera and Stan Hurn, in Energy Economics (2015)
Keywords: Electricity prices; Price spikes; Point process; Hawkes process; Peaks over threshold; Transmission capacity;

A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile,
Stella Moisan, Rodrigo Herrera and Adam Clements, in International Journal of Forecasting (2018)
Keywords: Air quality; Particulate matter; Dynamic multiple equations;

Forecasting extreme financial risk: A score-driven approach,
Fernanda Fuentes, Rodrigo Herrera and Adam Clements, in International Journal of Forecasting (2023)
Keywords: Forecasting; Score-driven models; Time-varying parameters; Extreme value theory; Value at Risk; Expected Shortfall; Realized volatility;

Modeling extreme risks in commodities and commodity currencies,
Fernanda Fuentes, Rodrigo Herrera and Adam Clements, in Pacific-Basin Finance Journal (2018)
Keywords: Commodity currency; BEKK; Hawkes model; Value at risk;

Facial expressions and the business cycle,
J. Daniel Aromi and Adam Clements, in Economic Modelling (2021)
Keywords: Emotions; Facial expressions; Economic growth; Business cycle;

Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil,
J. Daniel Aromi and Adam Clements, in Energy Economics (2019)
Keywords: Investor attention; Google search volume; Google trends; Oil market; Stock market; Volatility; Spillovers;

Semi-Parametric Forecasting of Realized Volatility,
Becker Ralf, Adam Clements and Stan Hurn, in Studies in Nonlinear Dynamics & Econometrics (2011)

Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis,
Ruolin Wang, Anup Basu and Adam Clements, in Global Finance Journal (2023)
Keywords: Credit default swaps (CDS); Market efficiency; Price discovery; Global financial crisis (GFC); Dodd–Frank Act; Lead-lag relation;

Volatility-dependent correlations: further evidence of when, where and how,
Adam Clements, Ayesha Scott and Annastiina Silvennoinen, in Empirical Economics (2019)
Keywords: Volatility, Multivariate GARCH, Portfolio allocation, VIX, VSTOXX

A Kernel Technique for Forecasting the Variance-Covariance Matrix,
Ralf Becker, Adam Clements and Robert O'Neill, from Economics, The University of Manchester (2010)

A Cholesky-MIDAS model for predicting stock portfolio volatility,
Ralf Becker, Adam Clements and Robert O'Neill, from Economics, The University of Manchester (2010)

A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns,
Ralf Becker, Adam Clements and Robert O'Neill, in Econometrics (2018)
Keywords: volatility forecasting; kernel density estimation; similarity forecasting

A simple linear alternative to multiplicative error models with an application to trading volume,
Adam Clements, Stan Hurn and Vladimir Volkov, from University of Tasmania, Tasmanian School of Business and Economics (2021)
Keywords: Volume, forecasting, high-frequency data, CMEM, diurnal

Media attention and crude oil volatility: Is there any 'new' news in the newspaper?,
J. Daniel Aromi and Adam Clements, from National Centre for Econometric Research (2018)
Keywords: News, media, linguistic analysis, volatility, crude oil

A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile,
Stella Moisan, Rodrigo Herrera and Adam Clements, from National Centre for Econometric Research (2017)
Keywords: Air quality, Particulate matter, Dynamic multiple equations

Modelling Extreme Risks in Commodities and Commodity Currencies,
Fernanda Fuentes, Rodrigo Herrera and Adam Clements, from National Centre for Econometric Research (2016)
Keywords: Extreme risk, Co-movements, Multivariate Hawkes-POT, Point process, Value at Risk

Volatility Dependent Dynamic Equicorrelation,
Adam Clements, Ayesha Scott and Annastiina Silvennoinen, from National Centre for Econometric Research (2016)
Keywords: Volatility, multivariate GARCH, equicorrelation, portfolio allocation

Public news flow in intraday component models for trading activity and volatility,
Adam Clements, Joanne Fuller and Vasilios Papalexiou, from National Centre for Econometric Research (2015)
Keywords: Volatility; Order flow; News; Dynamic conditional score; forecasting

Forecasting day-ahead electricity load using a multiple equation time series approach,
Adam Clements, Stan Hurn and Zili Li, from National Centre for Econometric Research (2015)
Keywords: Short-term load forecasting, seasonality, intra-day correlation, recursive equation system

On the Benefits of Equicorrelation for Portfolio Allocation,
Adam Clements, Ayesha Scott and Annastiina Silvennoinen, from National Centre for Econometric Research (2013)
Keywords: Volatility, multivariate GARCH, portfolio allocation

Forecasting multivariate volatility in larger dimensions: some practical issues,
Adam Clements, Ayesha Scott and Annastiina Silvennoinen, from National Centre for Econometric Research (2012)
Keywords: Volatility, multivariate GARCH, portfolio allocation

A Kernel Technique for Forecasting the Variance-Covariance Matrix,
Ralf Becker, Adam Clements and Robert O'Neill, from National Centre for Econometric Research (2010)
Keywords: Nonparametric, variance-covariance matrix, volatility forecasting, multivariate

A Cholesky-MIDAS model for predicting stock portfolio volatility,
Ralf Becker, Adam Clements and Robert O'Neill, from National Centre for Econometric Research (2010)
Keywords: Cholesky, Midas, volatility forecasts

The Jump component of S&P 500 volatility and the VIX index,
Ralf Becker, Adam Clements and Andrew McClelland, from National Centre for Econometric Research (2008)
Keywords: Implied volatility, VIX, volatility forecasts, informational efficiency, jumps

Does implied volatility reflect a wider information set than econometric forecasts?,
Ralf Becker, Adam Clements and James Curchin, from National Centre for Econometric Research (2007)
Keywords: Implied volatility, VIX, volatility forecasts, informational efficiency

Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3,
Adam Clements, Stan Hurn and Scott White, from National Centre for Econometric Research (2006)
Keywords: non-linear filtering, stochastic volatility, state-space models, asymmetries, latent factors, two factor volatility models

Mixture distribution‐based forecasting using stochastic volatility models,
Adam Clements, Stan Hurn and S. I. White, in Applied Stochastic Models in Business and Industry (2006)

The Effect of Transmission Constraints on Electricity Prices,
Adam Clements, A. Stan Hurn and Zili Li, in The Energy Journal (2017)
Keywords: Regional electricity prices; Price spikes; Transmission constraints

Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility,
Scott I. White, Adam Clements and Stan Hurn, from Econometric Society (2004)
Keywords: Non-linear filtering, latent variable models, stochastic volatility, volatilitry forecasting

Forward looking information in S&P 500 options,
Scott I White, Ralf Becker and Adam Clements, from Econometric Society (2004)
Keywords: Implied volatility, information, volatility forecasts, volatility models, realized volatility

On the informational efficiency of S&P500 implied volatility,
Ralf Becker, Adam Clements and Scott I. White, in The North American Journal of Economics and Finance (2006)

Are lifecycle funds appropriate as default options in participant-directed retirement plans?,
Anup Basu, En Te Chen and Adam Clements, in Economics Letters (2014)
Keywords: Default option; Lifecycle funds; Retirement wealth; Asset allocation; Prospect theory;

Does implied volatility provide any information beyond that captured in model-based volatility forecasts?,
Ralf Becker, Adam Clements and Scott I. White, in Journal of Banking & Finance (2007)

Selecting volatility forecasting models for portfolio allocation purposes,
R. Becker, Adam Clements, M.B. Doolan and Stan Hurn, in International Journal of Forecasting (2015)
Keywords: Multivariate time series; Loss functions; Evaluating forecasts; Covariance matrix; GARCH models; Model confidence set;

A semi-parametric point process model of the interactions between equity markets,
Adam Clements, Stan Hurn, K.A. Lindsay and V.v Volkov, from University of Tasmania, Tasmanian School of Business and Economics (2017)
Keywords: point processes, high-frequency data, conditional intensity

Selecting forecasting models for portfolio allocation,
Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker, from National Centre for Econometric Research (2012)
Keywords: Multivariate volatility, portfolio allocation, forecast evaluation, model selection, model confidence set

Forecasting Equicorrelation,
Adam Clements, Christopher Coleman-Fenn and Daniel Smith, from National Centre for Econometric Research (2011)
Keywords: Equicorrelation, Implied Correlation, Multivariate GARCH, DCC

Forecast performance of implied volatility and the impact of the volatility risk premium,
Ralf Becker, Adam Clements and Christopher Coleman-Fenn, from National Centre for Econometric Research (2009)
Keywords: Implied volatility, volatility forecasts, volatility models, volatility risk premium, model confidence sets

Evaluating multivariate volatility forecasts,
Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker, from National Centre for Econometric Research (2009)
Keywords: Multivariate volatility, forecasts, forecast evaluation, Model confidence set

Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives,
Adam Clements, Stan Hurn and K A Lindsay, from National Centre for Econometric Research (2008)
Keywords: Weather Derivatives, Temperature Models, Cooling Degree Days, Maximum Likelihood Estimation, Distribution for Correlated Variables

Estimating the Payoffs of Temperature-based Weather Derivatives,
Adam Clements, Stan Hurn and K A Lindsay, from National Centre for Econometric Research (2008)
Keywords: Temperature, Weather Derivatives, Cooling Degree Days, Time-series Models.

Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*,
Adam Clements, A S Hurn, K A Lindsay and V Volkov, in Journal of Financial Econometrics (2023)
Keywords: conditional intensity, high-frequency data, point processes

Authors reply to questionable publicity,
Patrick T. Brown, Craig B. Clements, Adam K. Kochanski, Steven J. Davis, Holt Hanley and Scott J. Strenfel, in Nature (2023)
Keywords: Authorship, Climate change

Economic review,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1987)

Reserve Bank of New Zealand survey of expectations,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1987)

Reserve Bank of New Zealand Survey of Expectations,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1988)

Reserve Bank of New Zealand Survey of Expectations,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1988)

Reserve Bank of New Zealand Survey of Expectations,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1988)

Supplementary report: Expectations of inflation,
Robin Clements, in Reserve Bank of New Zealand Bulletin (1989)

Forward,
R.J. Clements, from Crawford Fund (2004)
Keywords: Food Security and Poverty, Resource /Energy Economics and Policy

A Comparison of Simultaneous Confidence Intervals to Identify Handwritten Digits,
Nicolle Clements, in International Journal of Business Intelligence Research (IJBIR) (2014)

The Mysteries of Development: Studies Using Political Elasticity Theory. By Herbert H. Werlin. Lanham, MD: University Press of America, 1998. 409p. $68.00 cloth, $25.00 paper,
Paul Clements, in American Political Science Review (2001)