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

7

i10 index

280

Citations

RESEARCH PRODUCTION:

29

Articles

41

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 15
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 25 (8.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2019-10-21    RAS profile: 2019-07-29    
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Relations with other researchers


Works with:

Hurn, Stan (11)

Herrera, Rodrigo (8)

Liao, Yin (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)

Guillen, Montserrat (5)

Baruník, Jozef (5)

Menezes, Rui (4)

Fernandes, Marcelo (4)

Kruse, Robinson (4)

Omori, Yasuhiro (4)

Medeiros, Marcelo (4)

Scharth, Marcel (4)

Mignon, Valérie (4)

Cites to:

Bollerslev, Tim (89)

Andersen, Torben (60)

Diebold, Francis (57)

Engle, Robert (40)

Hansen, Peter (40)

Lunde, Asger (36)

Nason, James (31)

Hurn, Stan (27)

Shephard, Neil (25)

Poon, Ser-Huang (22)

Barndorff-Nielsen, Ole (22)

Main data


Where Adam Clements has published?


Journals with more than one article published# docs
International Journal of Forecasting4
Journal of Banking & Finance3
Energy Economics3
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 (2019 and 2018)


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

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

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . 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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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 ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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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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2018Weather forecasts for microgrid energy management: Review, discussion and recommendations. (2018). Aguera-Perez, Agustin ; Florencias-Oliveros, Olivia ; Gonzalez, Juan Jose ; Palomares-Salas, Jose Carlos . In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:265-278.

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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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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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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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2018Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18.

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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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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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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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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). Roubaud, David ; Ji, Qiang ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

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2018Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. (2018). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:65-79.

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2018Portfolio management with targeted constant market volatility. (2018). Doan, Bao ; Sherris, Michael ; Reeves, Jonathan J ; Papageorgiou, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:134-147.

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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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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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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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2018Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100.

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2018What drives the demand for information in the commodity market?. (2018). Aharon, David Y ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:532-543.

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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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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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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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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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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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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Zevallos, Mauricio ; Hotta, Luiz K ; Hallin, Marc ; 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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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). Trapin, Luca ; Bee, Marco. 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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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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2018The influence of renewables on electricity price forecasting: a robust approach. (2018). Grossi, Luigi ; Nan, Fany . In: Working Papers. RePEc:ieb:wpaper:doc2018-10.

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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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2018Information and transparency in wholesale electricity markets: evidence from Alberta. (2018). Brown, David ; Lin, James ; Eckert, Andrew. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:54:y:2018:i:3:d:10.1007_s11149-018-9372-z.

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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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2018A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index. (2018). Giouvris, Evangelos ; Alsheikhmubarak, Abdulilah Ibrahim. In: Multinational Finance Journal. RePEc:mfj:journl:v:22:y:2018:i:3-4:p:119-172.

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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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Works by Adam Clements:


YearTitleTypeCited
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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article2
2019Efficient 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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article8
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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article20
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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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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article6
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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article11
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article7
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
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article7
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
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article9
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
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article30
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
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article24
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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article3
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
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article0
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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article32
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
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article39
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: 39
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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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2016Common trends in global volatility In: Journal of International Money and Finance.
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2018The volatility-volume relationship in the LME futures market for industrial metals In: Resources Policy.
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article0
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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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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paper4
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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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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2006Mixture distribution‐based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry.
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