Adam Clements : Citation Profile

Queensland University of Technology

17

H index

22

i10 index

792

Citations

RESEARCH PRODUCTION:

48

Articles

51

Papers

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 33
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 37 (4.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2025-12-13    RAS profile: 2025-06-09    
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Relations with other researchers

Works with:

Herrera, Rodrigo (3)

Volkov, Vladimir (2)

Hurn, Stan (2)

Vasnev, Andrey (2)

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

Is cited by:

Zhang, Yaojie (18)

Caporin, Massimiliano (16)

Lyócsa, Štefan (14)

GUPTA, RANGAN (14)

Caporale, Guglielmo Maria (9)

Otranto, Edoardo (9)

Trueck, Stefan (8)

Výrost, Tomáš (8)

Bauwens, Luc (8)

Cepni, Oguzhan (8)

Nepal, Rabindra (7)

Cites to:

Bollerslev, Tim (143)

Diebold, Francis (87)

Andersen, Torben (85)

Engle, Robert (77)

Hansen, Peter (65)

Lunde, Asger (59)

Shephard, Neil (51)

Nason, James (50)

Patton, Andrew (36)

Hurn, Stan (35)

Laurent, Sébastien (34)

Main data

Where Adam Clements has published?

Journals with more than one article published# docs
Energy Economics6
International Journal of Forecasting6
Journal of Banking & Finance4
Journal of Empirical Finance3
Economic Modelling3
Economics Letters2
Journal of Forecasting2
Empirical Economics2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research35
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2
Working Papers / University of Sydney Business School, Discipline of Business Analytics2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Adam Clements (2025 and 2024)

YearTitle of citing document
2024Synthetic surveys of monetary policymakers: perceptions, narratives and transparency. (2024). Aromi, J. Daniel ; Daniel, Heymann. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4707.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025Gasoline Price Expectations as a Transmission Channel for Gasoline Price Shocks. (2025). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11924.

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2025Oil shocks greasing the wheels of Islamic stocks: An explorative forecasting analysis. (2025). Raheem, Ibrahim D ; Akinkugbe, Oluyele ; Vo, Xuan Vinh. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:546-557.

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2024Detecting statistically significant changes in connectedness: A bootstrap-based technique. (2024). Nguyen, Viet Hoang ; Kočenda, Evžen ; Greenwood-Nimmo, Matthew ; Koenda, Even. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002001.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

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2024Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis. (2024). Vo, Xuan Vinh ; Ghardallou, Wafa ; Zeitun, Rami ; Nautiyal, Neeraj ; Ur, Mobeen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000470.

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2024Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets. (2024). Lau, Wee Yeap ; Go, You-How. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001037.

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2024Oil price volatility and changes in corporate debt: An empirical study in the Indian landscape. (2024). Tiwari, Aviral ; Hammoudeh, Shawkat ; Tripathi, Nitya Nand ; Raj, Asha Binu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001128.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2025Indirect and direct forecasting of volatility-timing portfolios. (2025). Xie, Xiaodu. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006268.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Emission intensities in the Australian National Electricity Market – An econometric analysis. (2024). , Weiming ; Truck, Stefan ; Nazifi, Fatemeh. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006825.

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2024How do changes in settlement periods affect wholesale market prices? Evidence from Australias National Electricity Market. (2024). Khezr, Peyman ; Csereklyei, Zsuzsanna. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001336.

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2024Quantifying the short-term asymmetric effects of renewable energy on the electricity merit-order curve. (2024). Tselika, Maria ; Demetriades, Elias. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001798.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty. (2024). Hsu, Yuan-Teng ; Vigne, Samuel A ; Wang, Jying-Nan ; Liu, Hung-Chun. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553.

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2024Oil price shocks and bond risk premia: Evidence from a panel of 15 countries. (2024). Lyrio, Marco ; Nersisyan, Liana ; Iania, Leonardo. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006480.

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2024What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

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2025Revisiting the crisis: An empirical analysis of the NEM suspension. (2025). Svec, Jiri ; Rangarajan, Arvind ; Trck, Stefan ; Foley, Sean. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324006911.

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2025Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events. (2025). Nepal, Rabindra ; Jamasb, Tooraj ; Pham, Son Duy ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008326.

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2025Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement. (2025). Wojewodzki, Michal ; Lau, Chi Keung ; Dai, Xingyu ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000659.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2025Uncertainty characterization for generation adequacy assessments – Including an application to the recent European energy crisis. (2025). Weber, Christoph ; Schneider, Dennis ; Spilger, Maike. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001276.

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2025Evaluating the role of information disclosure on bidding behavior in wholesale electricity markets. (2025). Silveira, Douglas ; Brown, David ; Cajueiro, Daniel O ; Eckert, Andrew. In: Energy Economics. RePEc:eee:eneeco:v:146:y:2025:i:c:s0140988325003299.

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2024From 30- to 5-minute settlement rule in the NEM: An early evaluation. (2024). Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Energy Policy. RePEc:eee:enepol:v:194:y:2024:i:c:s0301421524003252.

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2025Energy shocks and stock market returns under COVID-19: New insights from the United States. (2025). Ulazeez, Abd. In: Energy. RePEc:eee:energy:v:316:y:2025:i:c:s0360544225001884.

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2025Asymmetric impacts of energy market-related uncertainty on clean energy stock volatility: The role of extreme shocks. (2025). Chen, Gengxuan ; Li, Sitong ; Yi, Siyu ; Liu, Yanchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002935.

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2024Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. (2024). Westgaard, Sjur ; Risstad, Morten ; Isern, Hkon Ramon ; Gunnarsson, Elias Sovik ; Vigdel, Benjamin ; Kaloudis, Aristidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001534.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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2024Spillover relationships between international crude oil markets and global energy stock markets under the influence of geopolitical risks: New evidence. (2024). Liang, Chao ; Luo, Keyu ; Yang, Shuangpeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924004794.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2024Dynamic linkages among bitcoin, equity, gold and oil: An implied volatility perspective. (2024). Choudhary, Sangita ; Biswal, Pratap Chandra ; Jain, Anshul. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002502.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024The impact of COVID-19 on sovereign contagion. (2024). Moratis, Georgios ; Drakos, Anastasios. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300089x.

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2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

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2024Predicting recessions using VIX–yield curve cycles. (2024). Hansen, Anne Lundgaard. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:409-422.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2024More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?. (2024). Wang, LU ; Duong, Duy ; Liang, Chao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:218:y:2024:i:c:p:1-19.

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2024Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. (2024). Luo, Tao ; Zhang, Lixia ; Bai, Jiancheng ; Sun, Huaping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:597-611.

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2024Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market. (2024). Ma, Xuekun ; Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:415-437.

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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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2025Information loss from perception alignment. (2025). Dalko, Viktoria ; Ardakani, Omid M ; Shim, Hyeeun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008220.

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2025Revisiting the currency-commodity nexus: New insights into the R2 decomposed connectedness and the role of global shocks. (2025). Xia, Xiaohua ; An, Chaofan ; Liu, Mengai ; Chen, Baifan ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000152.

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2024Herding in international REITs markets around the COVID-19 pandemic. (2024). GUPTA, RANGAN ; Lesame, Keagile ; Ngene, Geoffrey ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002738.

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2024Could the Russia-Ukraine war stir up the persistent memory of interconnectivity among Islamic equity markets, energy commodities, and environmental factors?. (2024). ben Jabeur, Sami ; Asl, Mahdi Ghaemi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000527.

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2024Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000709.

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2024The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability. (2024). Wang, LU ; Duan, Huayou ; Liu, Guangqiang ; Zhao, Chenchen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002307.

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2024IFCI-SA: International financial conditions index for South American economies. (2024). Garcia-Hiernaux, Alfredo ; Fried-Gindel, Alejandro ; Brum-Civelli, Conrado. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003003.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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2025Prediction of Chinese stock volatility: Harnessing higher-order moments information of stock and futures markets. (2025). Wang, Yunrun ; Qiao, Gaoxiu ; Liu, Wenwen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001199.

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2024Economic extremes steering renewable energy trajectories: A time-frequency dissection of global shocks. (2024). Lai, Xiaodong ; Wang, LU ; Ruan, Hang ; Li, Dongxin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:202:y:2024:i:c:s0040162524001136.

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2024Drivers of S&P 500’s Profitability: Implications for Investment Strategy and Risk Management. (2024). Nagy, Marek ; Macura, Marcel ; Valaskova, Katarina ; Kovalova, Erika. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:4:p:77-:d:1365830.

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2025Modeling the Duration of Electricity Price Spikes Using Survival Analysis. (2025). Lpez, Manuel Zamudio ; Zareipour, Hamidreza. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:19:p:5255-:d:1764374.

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2024Forecasting the Occurrence of Electricity Price Spikes: A Statistical-Economic Investigation Study. (2024). Quashie, Mike ; Lopez, Manuel Zamudio ; Zareipour, Hamidreza. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:1:p:7-137:d:1331777.

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2025A Review on PM 2.5 Sources, Mass Prediction, and Association Analysis: Research Opportunities and Challenges. (2025). Yin, Peng-Yeng. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:3:p:1101-:d:1579846.

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2024Forecasting price spikes in day-ahead electricity markets: techniques, challenges, and the road ahead. (2024). Sheybanivaziri, Samaneh ; le Dreau, Jerome ; Kazmi, Hussain. In: Discussion Papers. RePEc:hhs:nhhfms:2024_001.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2024Google Trends and Bitcoin volatility forecast. (2024). Peresetsky, Anatoly ; Teterin, M. In: Journal of the New Economic Association. RePEc:nea:journl:y:2024:i:64:p:118-135.

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2024VIX constant maturity futures trading strategy: A walk-forward machine learning study. (2024). Li, Keran ; Wang, Sangyuan ; Chen, Yijun ; Liu, Yaling ; Tang, Xianbo. In: PLOS ONE. RePEc:plo:pone00:0302289.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025Do Global Disruptive Events Induce Herding Behaviour during Upward and Downward Market Movements? The Evidence from Nordic and Baltic Stock Markets. (2025). Leck, Gintar ; Legenzova, Renata ; Jukneviit, Just. In: Central European Business Review. RePEc:prg:jnlcbr:v:2025:y:2025:i:1:id:375:p:57-73.

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2025Can Ethereum predict Bitcoin’s volatility?. (2025). Peresetsky, Anatoly ; Teterin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:0516.

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2025Short-term interval-valued load forecasting with a combined strategy of iHW and multioutput machine learning. (2025). Shao, Xueyan ; Song, Jie ; Gao, Feng. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:3:d:10.1007_s10479-024-06446-y.

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2025Climate risk and the nexus of clean energy and technology stocks. (2025). Rognone, Lavinia ; Walther, Thomas ; Bouri, Elie ; Dudda, Tom L. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05487-z.

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2025Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2024Does the U.S. extreme indicator matter in stock markets? International evidence. (2024). Jing, Xiaozhen ; Singh, Tarlok ; Xu, Dezhong ; Li, Bin. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00610-w.

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2024COVID-19 pandemic, oil prices and Saudi stock market: empirical evidence from ARDL modeling and Bayer–Hanck cointegration approach. (2024). Boukhatem, Jamel ; Alhazmi, Ali M. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00338-0.

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2024Better ways to test for herding. (2024). Hudson, Robert ; Wang, Junkai. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:790-818.

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2025The Memory in Return Volatility: An Analysis of Mutual Fund Returns. (2025). Duan, Kun ; Yao, Kai ; Chevapatrakul, Thanaset ; Huang, Rong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2930-2945.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps. (2024). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2378-2398.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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2025Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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2025Trading VIX on Volatility Forecasts: Another Volatility Puzzle?. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis ; Giannopoulos, George. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1602-1618.

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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2024The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns. (2024). Zhang, Yaojie ; Wang, Yudong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:557-584.

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2024The time‐varying volatility spillover effects between Chinas coal and metal market. (2024). Lin, Boqiang ; Lan, Tianxu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:699-719.

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2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

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2025Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework. (2025). Zhu, Min ; Xu, Mingdong ; Zheng, Siyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1182-1201.

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Works by Adam Clements:

YearTitleTypeCited
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
[Full Text][Citation analysis]		article7
2017The Effect of Transmission Constraints on Electricity Prices.(2017) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2020Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo In: Papers.
[Full Text][Citation analysis]		paper7
2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo.(2021) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2003Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
2013Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record.
[Full Text][Citation analysis]		article14
2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2004Forward looking information in S&P 500 options In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper0
2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper2
2021Facial expressions and the business cycle In: Economic Modelling.
[Full Text][Citation analysis]		article1
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]		article27
2020Firm-specific information and systemic risk In: Economic Modelling.
[Full Text][Citation analysis]		article1
2006On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article30
2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article2
2014Are lifecycle funds appropriate as default options in participant-directed retirement plans? In: Economics Letters.
[Full Text][Citation analysis]		article1
2025Forecasting retail fuel prices with spatial interdependencies In: Economics Letters.
[Full Text][Citation analysis]		article0
2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
[Full Text][Citation analysis]		article36
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article11
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article24
2025Tail risk dynamics of banks with score-driven extreme value models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
2025Gasoline prices, gasoline price expectations, and inflation expectations in the United States In: Energy Economics.
[Full Text][Citation analysis]		article1
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]		article43
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]		article24
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
[Full Text][Citation analysis]		article15
2019Which oil shocks really matter in equity markets? In: Energy Economics.
[Full Text][Citation analysis]		article29
2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil In: Energy Economics.
[Full Text][Citation analysis]		article27
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
[Full Text][Citation analysis]		article61
2023A Bayesian approach for more reliable tail risk forecasts In: Journal of Financial Stability.
[Full Text][Citation analysis]		article1
2023Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis In: Global Finance Journal.
[Full Text][Citation analysis]		article0
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article50
2007Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article26
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
[Full Text][Citation analysis]		article33
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile.(2017) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2023Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2024Outlier-robust methods for forecasting realized covariance matrices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2021A Practical Guide to harnessing the HAR volatility model In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article29
2019A Practical Guide to Harnessing the HAR Volatility Model.(2019) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article58
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article70
2008The Jump component of S&P 500 volatility and the VIX index.(2008) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 70		paper
2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2016Common trends in global volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2018The volatility-volume relationship in the LME futures market for industrial metals In: Resources Policy.
[Full Text][Citation analysis]		article7
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article7
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns In: Econometrics.
[Full Text][Citation analysis]		article0
2010A Cholesky-MIDAS model for predicting stock portfolio volatility In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper4
2010A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2010A Kernel Technique for Forecasting the Variance-Covariance Matrix In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2010A Kernel Technique for Forecasting the Variance-Covariance Matrix.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2006Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper2
2007Does implied volatility reflect a wider information set than econometric forecasts? In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2007Forecasting stock market volatility conditional on macroeconomic conditions. In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper3
2008Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2009Evaluating multivariate volatility forecasts In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper29
2009A nonparametric approach to forecasting realized volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2009Forecast performance of implied volatility and the impact of the volatility risk premium In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Volatility and the role of order book structure In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2011Forecasting Equicorrelation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper4
2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper7
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper8
2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2014The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2014The impact of information flow and trading activity on gold and oil futures volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Public news flow in intraday component models for trading activity and volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2001News and network structures in equity market volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Media attention and crude oil volatility: Is there any new news in the newspaper? In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Combining Multivariate Volatility Forecasts using Weighted Losses In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Combining multivariate volatility forecasts using weighted losses.(2020) In: Journal of Forecasting.
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2019Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics.
[Full Text][Citation analysis]		article6
2020A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics.
[Full Text][Citation analysis]		article3
2021Forecast combination puzzle in the HAR model In: Working Papers.
[Full Text][Citation analysis]		paper1
2023Combining simple multivariate HAR-like models for portfolio construction In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Do common volatility models capture cyclical behaviour in volatility? In: Applied Financial Economics.
[Full Text][Citation analysis]		article2
2017A semi-parametric point process model of the interactions between equity markets In: Working Papers.
[Full Text][Citation analysis]		paper0
2021A simple linear alternative to multiplicative error models with an application to trading volume In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Mixture distribution‐based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article1
2022Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility In: Journal of Forecasting.
[Full Text][Citation analysis]		article5
2016Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article12

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team