Adam Clements : Citation Profile


Are you Adam Clements?

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

10

H index

10

i10 index

333

Citations

RESEARCH PRODUCTION:

33

Articles

48

Papers

RESEARCH ACTIVITY:

   19 years (2001 - 2020). See details.
   Cites by year: 17
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 26 (7.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2020-08-09    RAS profile: 2020-06-15    
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Relations with other researchers


Works with:

Hurn, Stan (11)

Herrera, Rodrigo (9)

Aromi, J. Daniel (2)

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)

Baruník, Jozef (5)

Guillen, Montserrat (5)

Hotta, Luiz (5)

Caporale, Guglielmo Maria (4)

Scharth, Marcel (4)

Bouri, Elie (4)

Mignon, Valérie (4)

Medeiros, Marcelo (4)

Fernandes, Marcelo (4)

Cites to:

Bollerslev, Tim (102)

Andersen, Torben (63)

Diebold, Francis (58)

Engle, Robert (44)

Hansen, Peter (40)

Lunde, Asger (36)

Nason, James (31)

Hurn, Stan (28)

Shephard, Neil (27)

Barndorff-Nielsen, Ole (22)

Poon, Ser-Huang (22)

Main data


Where Adam Clements has published?


Journals with more than one article published# docs
Energy Economics5
International Journal of Forecasting4
Journal of Banking & Finance3
The North American Journal of Economics and Finance2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research35
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Adam Clements (2020 and 2019)


YearTitle of citing document
2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019A Self-Exciting Modelling Framework for Forward Prices in Power Markets. (2019). Sgarra, Carlo ; Mazzoran, Andrea ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1910.13286.

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2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

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2019Big in Japan: Global Volatility Transmission between Assets and Trading Places. (2019). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:8119.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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2020Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?. (2020). Te, EN ; Basu, Anup K ; Wiafe, Osei K. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:65:y:2020:i:c:p:241-255.

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2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

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2019Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151.

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2019Spillovers and the determinants in Islamic equity markets. (2019). Balli, Faruk ; Hasan, Md Iftekhar ; de Bruin, Anne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305023.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Holidays, weekends and range-based volatility. (2020). Pardo, Angel ; Diaz-Mendoza, Ana-Carmen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303110.

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2020Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711.

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2019The influence of shock signals on the change in volatility term structure. (2019). CHOI, SUN-YONG . In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:29.

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2020Strategic offering of a flexible producer in day-ahead and intraday power markets. (2020). Siddiqui, Afzal S ; Rintamaki, Tuomas ; Salo, Ahti. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1136-1153.

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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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2019A branching process approach to power markets. (2019). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying ; Sgarra, Carlo. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:144-156.

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2019Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Truck, Stefan ; Maryniak, Pawe. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58.

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2019Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2020Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach. (2020). Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303275.

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2020U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578.

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2020Transmission costs and the value of wind generation for the CREZ project. (2020). Dorsey-Palmateer, Reid. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421520300100.

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2020The impact of probability of electricity price spike and outside temperature to define total expected cost for air conditioning. (2020). Marwan, Marwan. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301018.

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2019Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach. (2019). tissaoui, KAIS. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:232-249.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2019The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. (2019). lucey, brian ; Smales, L A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:19-38.

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2019Short term load forecasting and the effect of temperature at the low voltage level. (2019). Arora, Siddharth ; Ziel, Florian ; Giasemidis, Georgios ; Haben, Stephen. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1469-1484.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2020Spillovers, integration and causality in LME non-ferrous metal markets. (2020). lucey, brian ; Yarovaya, Larisa ; Ciner, Cetin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s240585131730243x.

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2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

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2019Herd behavior and idiosyncratic volatility in a frontier market. (2019). Anh, Dang Bao ; Vo, Xuan Vinh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:321-330.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2020Percolation analysis of urban air quality: A case in China. (2020). Dong, Gaogao ; Li, Jingjing ; Du, Ruijin ; Fang, Guochang ; Qing, Ting ; Tian, Lixin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318552.

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2019Blockchain technology in the energy sector: A systematic review of challenges and opportunities. (2019). Andoni, Merlinda ; Peacock, Andrew ; McCallum, Peter ; Jenkins, David ; Geach, Dale ; Abram, Simone ; Flynn, David ; Robu, Valentin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:100:y:2019:i:c:p:143-174.

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2019Short-term electricity trading for system balancing: An empirical analysis of the role of intraday trading in balancing Germanys electricity system. (2019). Hirth, Lion ; Koch, Christopher. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:113:y:2019:i:c:9.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Investors’ risk perceptions in the US and global stock market integration. (2020). Marfatia, Hardik A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301266.

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2019The High Holidays: Psychological mechanisms of honesty in real-life financial decisions. (2019). Qadan, Mahmoud ; Kliger, Doron. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:78:y:2019:i:c:p:121-137.

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2019Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2019Research and Application of a Novel Hybrid Model Based on a Deep Neural Network for Electricity Load Forecasting: A Case Study in Australia. (2019). Wei, Danxiang ; Tang, Guangyu ; Wang, Jianzhou ; Ni, Kailai. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2467-:d:243188.

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2019Voltage Security-Constrained Optimal Generation Rescheduling for Available Transfer Capacity Enhancement in Deregulated Electricity Markets. (2019). Mandal, Paras ; Olowu, Temitayo Olayemi ; Senjyu, Tomonobu ; Olaniyi, Isaiah Opeyemi ; Ahmadi, Mikaeel ; Adewuyi, Oludamilare Bode. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:22:p:4371-:d:287856.

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2019Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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2019The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters. (2019). Bouri, Elie. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:118-:d:293243.

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2019Machine Learning Techniques for Predicting the Energy Consumption/Production and Its Uncertainties Driven by Meteorological Observations and Forecasts. (2019). Zappa, Massimiliano ; Pappenberger, Florian ; Bogner, Konrad. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3328-:d:240286.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2019On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index. (2019). Shaikh, Imlak. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:6:p:1628-:d:214829.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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2019Functional Limit Theorems for Marked Hawkes Point Measures *. (2019). Xu, Wei ; Horst, Ulrich. In: Working Papers. RePEc:hal:wpaper:hal-02443841.

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2019Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment. (2019). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Raza, Naveed. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:3:d:10.1007_s11156-018-0730-9.

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2019On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria. (2019). Yola, Abdul-Nasir T. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:5:y:2019:i:2:p:94-98.

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2020Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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2019Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran. In: PhD Thesis. RePEc:uts:finphd:5-2019.

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2020The time‐to‐maturity pattern of futures price sensitivity to news. (2020). Phan, Hoanglong ; Zurbruegg, Ralf. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:126-144.

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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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article3
2020Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo In: Papers.
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paper0
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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article10
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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article4
2006On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance.
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article22
2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach In: The North American Journal of Economics and Finance.
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article0
2014Are lifecycle funds appropriate as default options in participant-directed retirement plans? In: Economics Letters.
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article1
2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
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article8
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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article6
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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article14
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article10
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
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article9
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
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article11
2019Which oil shocks really matter in equity markets? In: Energy Economics.
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article1
2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil In: Energy Economics.
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article1
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
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article32
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
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article29
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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article8
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
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article7
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
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article1
2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile.(2017) In: NCER Working Paper Series.
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2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
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article40
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
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article42
2008The Jump component of S&P 500 volatility and the VIX index.(2008) In: NCER Working Paper Series.
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2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
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article3
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
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2016Common trends in global volatility In: Journal of International Money and Finance.
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article0
2018The volatility-volume relationship in the LME futures market for industrial metals In: Resources Policy.
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article1
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
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article0
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
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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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paper22
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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2012Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series.
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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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2018Media attention and crude oil volatility: Is there any new news in the newspaper? In: NCER Working Paper Series.
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2018Combining Multivariate Volatility Forecasts using Weighted Losses In: NCER Working Paper Series.
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2019A Practical Guide to Harnessing the HAR Volatility Model In: NCER Working Paper Series.
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2020A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics.
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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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2006Mixture distribution‐based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry.
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2020Combining multivariate volatility forecasts using weighted losses In: Journal of Forecasting.
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2016Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets.
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