15
H index
20
i10 index
654
Citations
Queensland University of Technology (75% share) | 15 H index 20 i10 index 654 Citations RESEARCH PRODUCTION: 42 Articles 50 Papers RESEARCH ACTIVITY: 23 years (2001 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pcl45 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Adam Clements. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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International Journal of Forecasting | 6 |
Energy Economics | 5 |
Journal of Banking & Finance | 4 |
Economic Modelling | 3 |
The North American Journal of Economics and Finance | 2 |
Journal of Empirical Finance | 2 |
Journal of Forecasting | 2 |
Empirical Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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NCER Working Paper Series / National Centre for Econometric Research | 35 |
Econometric Society 2004 Australasian Meetings / Econometric Society | 2 |
Working Papers / University of Tasmania, Tasmanian School of Business and Economics | 2 |
Year | Title of citing document |
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2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | A Framework to Forecast Electricity Consumption of Meters using Automated Ranking and Data Preprocessing. (2023). Hekimoglu, Mustafa ; Yucekaya, Ahmet ; Oguz, Kamil Doruk ; Cenet, Mehmet Nabi ; Cinar, Hakan ; Guzel, Tulin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-22. Full description at Econpapers || Download paper |
2023 | Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. (2023). Roca, Eduardo ; Su, Jen-Je ; Akimov, Alexandr ; Conterius, Simeon. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:863-875. Full description at Econpapers || Download paper |
2023 | Psychological barriers and option pricing in a local volatility model. (2023). Xu, Guangli ; Liu, Lixin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001991. Full description at Econpapers || Download paper |
2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper |
2023 | Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198. Full description at Econpapers || Download paper |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper |
2023 | Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191. Full description at Econpapers || Download paper |
2023 | Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245. Full description at Econpapers || Download paper |
2023 | Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147. Full description at Econpapers || Download paper |
2023 | The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x. Full description at Econpapers || Download paper |
2023 | Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328. Full description at Econpapers || Download paper |
2023 | Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729. Full description at Econpapers || Download paper |
2023 | Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x. Full description at Econpapers || Download paper |
2023 | Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x. Full description at Econpapers || Download paper |
2023 | A novel approach based on integration of convolutional neural networks and echo state network for daily electricity demand prediction. (2023). Nguyen-Huy, Thong ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Casillas-Perez, David ; Deo, Ravinesh C ; Al-Musaylh, Mohanad S. In: Energy. RePEc:eee:energy:v:275:y:2023:i:c:s0360544223008241. Full description at Econpapers || Download paper |
2023 | Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models. (2023). Zhang, Hongwei ; Wang, Chenlu ; Niu, Zibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002545. Full description at Econpapers || Download paper |
2023 | Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626. Full description at Econpapers || Download paper |
2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper |
2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
2023 | Predicting volatility in natural gas under a cloud of uncertainties. (2023). Xiao, Zuoping ; Chen, Juan ; Guo, Hongling ; Bai, Jiancheng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001447. Full description at Econpapers || Download paper |
2023 | Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467. Full description at Econpapers || Download paper |
2023 | New evidence of extreme risk transmission between financial stress and international crude oil markets. (2023). Zhang, Yaojie ; Wang, LU ; Li, Pan ; Hong, Yanran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002392. Full description at Econpapers || Download paper |
2023 | Peer effects in financial economics: A literature survey. (2023). Jarjir, Souad Lajili ; Boubaker, Sabri ; Ali-Rind, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002598. Full description at Econpapers || Download paper |
2023 | Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects. (2023). Piljak, Vanja ; Jiang, Junhua ; Cao, LI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000636. Full description at Econpapers || Download paper |
2023 | Edge-Based Short-Term Energy Demand Prediction. (2023). Papageorgiou, Elpiniki I ; Lekidis, Alexios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5435-:d:1196042. Full description at Econpapers || Download paper |
2023 | Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge. (2023). Bean, Richard. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1050-:d:1039403. Full description at Econpapers || Download paper |
2023 | Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks. (2023). Abbes, Mouna Boujelbene ; Mezghani, Taicir. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09387-3. Full description at Econpapers || Download paper |
2023 | Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459. Full description at Econpapers || Download paper |
2023 | Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers || Download paper |
2023 | Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets. (2023). Ortiz, Daniel Perico. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09608-5. Full description at Econpapers || Download paper |
2023 | An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. (2023). Frimpong, Ophelia ; Ntiamoah, Bernard O ; Aidoo, Eric N ; Ampofo, Richard T ; Sasu, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8. Full description at Econpapers || Download paper |
2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
2023 | Do Dow Jones Islamic equity indices undergo speculative pressure? New insights from a nonlinear and asymmetric analysis. (2023). mongi, arfaoui ; Raggad, Bechir ; Arfaoui, Mongi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1582-1601. Full description at Econpapers || Download paper |
2023 | Do extreme shocks help forecast oil price volatility? The augmented GARCH?MIDAS approach. (2023). Lang, Qiaoqi ; Liu, Guoshan ; Ma, Feng ; Wang, LU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2056-2073. Full description at Econpapers || Download paper |
2023 | Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511. Full description at Econpapers || Download paper |
2023 | A new PM2.5 concentration forecasting system based on AdaBoost?ensemble system with deep learning approach. (2023). Wang, Shouyang ; Sun, Shaolong ; Gan, Kai ; Li, Zhongfei. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:154-175. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal. [Full Text][Citation analysis] | article | 7 |
2020 | Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo In: Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo.(2021) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2003 | Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 7 |
2013 | Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record. [Full Text][Citation analysis] | article | 13 |
2011 | Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
2004 | Forward looking information in S&P 500 options In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 0 |
2004 | Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 2 |
2021 | Facial expressions and the business cycle In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2017 | An empirical investigation of herding in the U.S. stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 20 |
2020 | Firm-specific information and systemic risk In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
2006 | On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 29 |
2018 | Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2014 | Are lifecycle funds appropriate as default options in participant-directed retirement plans? In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2016 | Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 32 |
2015 | Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2013 | Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
2015 | Volatility transmission in global financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 22 |
2015 | Modelling interregional links in electricity price spikes In: Energy Economics. [Full Text][Citation analysis] | article | 33 |
2016 | Strategic bidding and rebidding in electricity markets In: Energy Economics. [Full Text][Citation analysis] | article | 20 |
2017 | Forecasting quantiles of day-ahead electricity load In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
2019 | Which oil shocks really matter in equity markets? In: Energy Economics. [Full Text][Citation analysis] | article | 22 |
2019 | Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil In: Energy Economics. [Full Text][Citation analysis] | article | 20 |
2007 | S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters. [Full Text][Citation analysis] | article | 58 |
2023 | A Bayesian approach for more reliable tail risk forecasts In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 0 |
2008 | Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 44 |
2007 | Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2015 | Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 21 |
2017 | Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 22 |
2018 | A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2017 | A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile.(2017) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2023 | Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2024 | Outlier-robust methods for forecasting realized covariance matrices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2021 | A Practical Guide to harnessing the HAR volatility model In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2019 | A Practical Guide to Harnessing the HAR Volatility Model.(2019) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2007 | Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 52 |
2009 | The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 68 |
2008 | The Jump component of S&P 500 volatility and the VIX index.(2008) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2018 | Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2015 | Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2016 | Common trends in global volatility In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2018 | The volatility-volume relationship in the LME futures market for industrial metals In: Resources Policy. [Full Text][Citation analysis] | article | 6 |
2018 | Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
2016 | Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2018 | A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2010 | A Cholesky-MIDAS model for predicting stock portfolio volatility In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 4 |
2010 | A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2010 | A Kernel Technique for Forecasting the Variance-Covariance Matrix In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | A Kernel Technique for Forecasting the Variance-Covariance Matrix.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2006 | Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2007 | Does implied volatility reflect a wider information set than econometric forecasts? In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2007 | Forecasting stock market volatility conditional on macroeconomic conditions. In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2008 | Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2008 | Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Evaluating multivariate volatility forecasts In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 27 |
2009 | A nonparametric approach to forecasting realized volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2009 | On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Forecast performance of implied volatility and the impact of the volatility risk premium In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2010 | Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Volatility and the role of order book structure In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Forecasting Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
2011 | Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Selecting forecasting models for portfolio allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
2013 | The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2013 | Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2014 | The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | The impact of information flow and trading activity on gold and oil futures volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Public news flow in intraday component models for trading activity and volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2001 | News and network structures in equity market volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Media attention and crude oil volatility: Is there any new news in the newspaper? In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Combining Multivariate Volatility Forecasts using Weighted Losses In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Combining multivariate volatility forecasts using weighted losses.(2020) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
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2019 | Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics. [Full Text][Citation analysis] | article | 5 |
2020 | A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics. [Full Text][Citation analysis] | article | 3 |
2021 | Forecast combination puzzle in the HAR model In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Do common volatility models capture cyclical behaviour in volatility? In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
2017 | A semi-parametric point process model of the interactions between equity markets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | A simple linear alternative to multiplicative error models with an application to trading volume In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Mixture distribution?based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
2022 | Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2016 | Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 10 |
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