Adam Clements : Citation Profile


Are you Adam Clements?

Queensland University of Technology (50% share)
National Centre for Econometric Research (NCER) (50% share)

8

H index

6

i10 index

253

Citations

RESEARCH PRODUCTION:

24

Articles

45

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 14
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 24 (8.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2018-11-10    RAS profile: 2018-08-22    
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Relations with other researchers


Works with:

Hurn, Stan (10)

Herrera, Rodrigo (5)

Liao, Yin (4)

Silvennoinen, Annastiina (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Adam Clements.

Is cited by:

Caporin, Massimiliano (14)

McAleer, Michael (11)

Guillen, Montserrat (5)

Caporale, Guglielmo Maria (5)

Plastun, Alex (5)

Omori, Yasuhiro (4)

Kruse, Robinson (4)

Mignon, Valérie (4)

Baruník, Jozef (4)

Leschinski, Christian (4)

Gil-Alana, Luis (4)

Cites to:

Bollerslev, Tim (90)

Andersen, Torben (58)

Diebold, Francis (55)

Engle, Robert (37)

Hansen, Peter (35)

Lunde, Asger (31)

Hurn, Stan (30)

Nason, James (27)

Poon, Ser-Huang (22)

Shephard, Neil (20)

Granger, Clive (20)

Main data


Where Adam Clements has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Energy Economics3
International Journal of Forecasting3
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research33
School of Economics and Finance Discussion Papers and Working Papers Series / School of Economics and Finance, Queensland University of Technology7
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Adam Clements (2018 and 2017)


YearTitle of citing document
2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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2018Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2018). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Borradores de Economia. RePEc:bdr:borrec:1051.

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2017State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:815-836.

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2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market. (2017). Long, Ngo ; Dungey, Mardi ; van Long, Ngo ; Ghahremanlou, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6819.

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2018On the Frequency of Price Overreactions. (2018). Caporale, Guglielmo Maria ; Plastun, Alex. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7011.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Maria, Caporale Guglielmo ; Tripathy, Trilochan ; Gil-Alana, Luis A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Volatility Transmission in Overlapping Trading Zones. (2017). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:6717.

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2017Modeling and forecasting the oil volatility index. (2017). Veiga, Helena ; Mariti, Massimo B ; Gonalves, Joao Henrique ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25985.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2017Decarbonizing the electricity grid: The impact on urban energy systems, distribution grids and district heating potential. (2017). Morvaj, Boran ; Carmeliet, Jan ; Evins, Ralph . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:125-140.

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2017Forecasting electricity demand for Turkey: Modeling periodic variations and demand segregation. (2017). Yukseltan, Ergun ; Bilge, Ayse Humeyra ; Yucekaya, Ahmet . In: Applied Energy. RePEc:eee:appene:v:193:y:2017:i:c:p:287-296.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018Performance of an electrical distribution network with Soft Open Point during a grid side AC fault. (2018). Aithal, Avinash ; Yu, James ; Wu, Jianzhong ; Li, Gen. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:262-272.

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2018Herding, social network and volatility. (2018). Wang, Guocheng. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:74-81.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2018Why do consumers prefer static instead of dynamic pricing plans? An empirical study for a better understanding of the low preferences for time-variant pricing plans. (2018). Skiera, Bernd ; Schulz, Fabian ; Schlereth, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1165-1179.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2018Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903.

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2017Enhanced operational reserve as a tool for development of optimal energy mix. (2017). Wierzbowski, Michal ; Filipiak, Izabela . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:602-615.

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2018Energy policy regime change and advanced energy storage: A comparative analysis. (2018). Winfield, Mark ; Jones, Adam ; Shokrzadeh, Shahab . In: Energy Policy. RePEc:eee:enepol:v:115:y:2018:i:c:p:572-583.

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2018Model predictive control for a solar assisted ground source heat pump system. (2018). Weeratunge, Hansani ; Halgamuge, Saman ; Dunstall, Simon ; de Hoog, Julian ; Narsilio, Guillermo. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:974-984.

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2018A hybrid model based on selective ensemble for energy consumption forecasting in China. (2018). Xiao, Jin ; Huang, Jing ; Liu, Dunhu ; Xie, Ling. In: Energy. RePEc:eee:energy:v:159:y:2018:i:c:p:534-546.

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2018A deep learning model for short-term power load and probability density forecasting. (2018). Guo, Zhifeng ; Yang, Shanlin ; Zhang, Xiaoling ; Zhou, Kaile. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:1186-1200.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Brzeszczyski, Janusz ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Ji, Qiang ; Roubaud, David ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2017A comparative assessment of alternative ex ante measures of inflation uncertainty. (2017). Ulm, Maren ; Hartmann, Matthias ; Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:76-89.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A.. (2017). Gannon, Gerard L ; Thuraisamy, Kannan S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:328-350.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2017Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications. (2017). Polinori, Paolo ; Bollino, Carlo Andrea ; Bigerna, Simona ; Ciferri, Davide . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:68:y:2017:i:p1:p:199-211.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2017The Fuzzy Logic Method to Efficiently Optimize Electricity Consumption in Individual Housing. (2017). Bissey, Sebastien ; le Bunetel, Jean-Charles ; Jacques, Sebastien . In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1701-:d:116309.

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2017Applications of Hybrid EMD with PSO and GA for an SVR-Based Load Forecasting Model. (2017). Hong, Wei-Chiang ; Fan, Guo-Feng ; Zhao, Xiangjun ; Peng, Li-Ling. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1713-:d:116523.

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2017Prediction in Photovoltaic Power by Neural Networks. (2017). Rosato, Antonello ; Panella, Massimo ; Araneo, Rodolfo ; Altilio, Rosa. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:7:p:1003-:d:104790.

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2018Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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2018Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. (2018). Bee, Marco ; Trapin, Luca. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:45-:d:142858.

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2018Electricity Market Creation in China: Policy Options from Political Economics Perspective. (2018). Lei, NI ; Tao, Yuan ; Sun, Chuanwang ; Chen, Lanyun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1481-:d:145232.

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2018Short-Term Price Overreactions: Identification, Testing, Exploitation. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9651-2.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies. (2017). Chittineni, Jyothi. In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:13:y:2017:i:5:p:666-675.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:201739.

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2017Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum. (2017). Darby, Julia ; Roy, Graeme. In: Working Papers. RePEc:str:wpaper:1706.

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2018A multivariate volatility vine copula model. (2018). Brechmann, E C ; Okhrin, Y ; Heiden, M. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:4:p:281-308.

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2017Forecasting electricity prices through robust nonlinear models. (2017). Nan, Fany ; Grossi, Luigi. In: Working Papers. RePEc:ver:wpaper:06/2017.

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2017LONG MEMORY IN TURKISH STOCK MARKET AND EFFECTS OF CENTRAL BANKS’ ANNOUNCEMENTS. (2017). Erer, Elif. In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:21:y:2017:i:3:p:6-18.

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2017When does information on forecast variance improve the performance of a combined forecast?. (2017). Conrad, Christian. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168200.

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Works by Adam Clements:


YearTitleTypeCited
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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article1
2003Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association.
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article7
2013Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record.
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article6
2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2004Forward looking information in S&P 500 options In: Econometric Society 2004 Australasian Meetings.
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paper0
2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
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paper2
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
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article3
2006On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance.
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article18
2014Are lifecycle funds appropriate as default options in participant-directed retirement plans? In: Economics Letters.
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article0
2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
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article7
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
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2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
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article4
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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article9
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article6
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
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article5
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
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article5
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
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article25
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
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article23
2007Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series.
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2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
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article5
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
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article1
2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
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article29
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
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article37
2008The Jump component of S&P 500 volatility and the VIX index.(2008) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 37
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2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
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article1
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 1
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2016Common trends in global volatility In: Journal of International Money and Finance.
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article0
2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns In: Econometrics.
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article0
2010A Cholesky-MIDAS model for predicting stock portfolio volatility In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series.
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2010A Kernel Technique for Forecasting the Variance-Covariance Matrix In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010A Kernel Technique for Forecasting the Variance-Covariance Matrix.(2010) In: NCER Working Paper Series.
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2006Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series.
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paper2
2007Does implied volatility reflect a wider information set than econometric forecasts? In: NCER Working Paper Series.
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paper1
2007Forecasting stock market volatility conditional on macroeconomic conditions. In: NCER Working Paper Series.
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2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
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paper1
2008Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series.
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2009Evaluating multivariate volatility forecasts In: NCER Working Paper Series.
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paper21
2009A nonparametric approach to forecasting realized volatility In: NCER Working Paper Series.
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paper1
2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
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2009Forecast performance of implied volatility and the impact of the volatility risk premium In: NCER Working Paper Series.
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paper1
2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
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2010Volatility and the role of order book structure In: NCER Working Paper Series.
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2011Forecasting Equicorrelation In: NCER Working Paper Series.
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2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
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2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
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2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
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paper0
2012Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series.
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paper4
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
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2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
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2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
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2014The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series.
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2014The impact of information flow and trading activity on gold and oil futures volatility In: NCER Working Paper Series.
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2015Public news flow in intraday component models for trading activity and volatility In: NCER Working Paper Series.
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2001News and network structures in equity market volatility In: NCER Working Paper Series.
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2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
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2016Modelling Extreme Risks in Commodities and Commodity Currencies In: NCER Working Paper Series.
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2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile In: NCER Working Paper Series.
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2018Media attention and crude oil volatility: Is there any new news in the newspaper? In: NCER Working Paper Series.
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2003Investor Expectations and Systematic Risk In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2005Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2005Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007Institutional Homogeneity and Choice in Superannuation In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2009HACking at Non-linearity: Evidence from Stocks and Bonds In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2008Do common volatility models capture cyclical behaviour in volatility? In: Applied Financial Economics.
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2017A semi-parametric point process model of the interactions between equity markets In: Working Papers.
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2016Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets.
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