Adam Clements : Citation Profile


Are you Adam Clements?

Queensland University of Technology (75% share)

15

H index

20

i10 index

654

Citations

RESEARCH PRODUCTION:

42

Articles

50

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 28
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 35 (5.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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Relations with other researchers


Works with:

Herrera, Rodrigo (2)

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)

Zhang, Yaojie (12)

GUPTA, RANGAN (10)

Otranto, Edoardo (9)

Lyócsa, Štefan (9)

Caporale, Guglielmo Maria (8)

Trueck, Stefan (8)

Bauwens, Luc (8)

Gil-Alana, Luis (7)

Plastun, Alex (7)

Mignon, Valérie (6)

Cites to:

Bollerslev, Tim (137)

Andersen, Torben (84)

Diebold, Francis (81)

Engle, Robert (74)

Hansen, Peter (58)

Lunde, Asger (53)

Shephard, Neil (46)

Nason, James (45)

Hurn, Stan (35)

Laurent, Sébastien (31)

Patton, Andrew (30)

Main data


Where Adam Clements has published?


Journals with more than one article published# docs
International Journal of Forecasting6
Energy Economics5
Journal of Banking & Finance4
Economic Modelling3
The North American Journal of Economics and Finance2
Journal of Empirical Finance2
Journal of Forecasting2
Empirical Economics2

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
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2

Recent works citing Adam Clements (2024 and 2023)


YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023A Framework to Forecast Electricity Consumption of Meters using Automated Ranking and Data Preprocessing. (2023). Hekimoglu, Mustafa ; Yucekaya, Ahmet ; Oguz, Kamil Doruk ; Cenet, Mehmet Nabi ; Cinar, Hakan ; Guzel, Tulin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-22.

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2023Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. (2023). Roca, Eduardo ; Su, Jen-Je ; Akimov, Alexandr ; Conterius, Simeon. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:863-875.

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2023Psychological barriers and option pricing in a local volatility model. (2023). Xu, Guangli ; Liu, Lixin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001991.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191.

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2023Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245.

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2023Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147.

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2023The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x.

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2023Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x.

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2023A novel approach based on integration of convolutional neural networks and echo state network for daily electricity demand prediction. (2023). Nguyen-Huy, Thong ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Casillas-Perez, David ; Deo, Ravinesh C ; Al-Musaylh, Mohanad S. In: Energy. RePEc:eee:energy:v:275:y:2023:i:c:s0360544223008241.

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2023Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models. (2023). Zhang, Hongwei ; Wang, Chenlu ; Niu, Zibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002545.

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2023Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Predicting volatility in natural gas under a cloud of uncertainties. (2023). Xiao, Zuoping ; Chen, Juan ; Guo, Hongling ; Bai, Jiancheng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001447.

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2023Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467.

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2023New evidence of extreme risk transmission between financial stress and international crude oil markets. (2023). Zhang, Yaojie ; Wang, LU ; Li, Pan ; Hong, Yanran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002392.

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2023Peer effects in financial economics: A literature survey. (2023). Jarjir, Souad Lajili ; Boubaker, Sabri ; Ali-Rind, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002598.

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2023Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects. (2023). Piljak, Vanja ; Jiang, Junhua ; Cao, LI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000636.

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2023Edge-Based Short-Term Energy Demand Prediction. (2023). Papageorgiou, Elpiniki I ; Lekidis, Alexios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5435-:d:1196042.

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2023Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge. (2023). Bean, Richard. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1050-:d:1039403.

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2023Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891.

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2023.

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2023Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks. (2023). Abbes, Mouna Boujelbene ; Mezghani, Taicir. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09387-3.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets. (2023). Ortiz, Daniel Perico. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09608-5.

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2023An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. (2023). Frimpong, Ophelia ; Ntiamoah, Bernard O ; Aidoo, Eric N ; Ampofo, Richard T ; Sasu, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8.

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2023Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3.

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2023Do Dow Jones Islamic equity indices undergo speculative pressure? New insights from a nonlinear and asymmetric analysis. (2023). mongi, arfaoui ; Raggad, Bechir ; Arfaoui, Mongi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1582-1601.

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2023Do extreme shocks help forecast oil price volatility? The augmented GARCH?MIDAS approach. (2023). Lang, Qiaoqi ; Liu, Guoshan ; Ma, Feng ; Wang, LU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2056-2073.

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2023Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511.

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2023A new PM2.5 concentration forecasting system based on AdaBoost?ensemble system with deep learning approach. (2023). Wang, Shouyang ; Sun, Shaolong ; Gan, Kai ; Li, Zhongfei. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:154-175.

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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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article7
2020Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo In: Papers.
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paper5
2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo.(2021) In: Econometrics and Statistics.
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This paper has nother version. Agregated cites: 5
article
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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article13
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
2021Facial expressions and the business cycle In: Economic Modelling.
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article0
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
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article20
2020Firm-specific information and systemic risk In: Economic Modelling.
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article1
2006On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance.
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article29
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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article2
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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article32
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 32
paper
2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
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article8
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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article22
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article33
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
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article20
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
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article14
2019Which oil shocks really matter in equity markets? In: Energy Economics.
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article22
2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil In: Energy Economics.
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article20
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
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article58
2023A Bayesian approach for more reliable tail risk forecasts In: Journal of Financial Stability.
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article0
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
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article44
2007Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series.
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paper
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
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article21
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
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article22
2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile In: International Journal of Forecasting.
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article6
2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile.(2017) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 6
paper
2023Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting.
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article0
2024Outlier-robust methods for forecasting realized covariance matrices In: International Journal of Forecasting.
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article0
2021A Practical Guide to harnessing the HAR volatility model In: Journal of Banking & Finance.
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article8
2019A Practical Guide to Harnessing the HAR Volatility Model.(2019) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 8
paper
2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
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article52
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
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article68
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 nother version. Agregated cites: 68
paper
2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
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article13
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 13
paper
2016Common trends in global volatility In: Journal of International Money and Finance.
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article2
2018The volatility-volume relationship in the LME futures market for industrial metals In: Resources Policy.
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article6
2018Modeling extreme risks in commodities and commodity currencies In: Pacific-Basin Finance Journal.
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article1
2016Modelling Extreme Risks in Commodities and Commodity Currencies.(2016) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 1
paper
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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paper4
2010A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series.
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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.
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paper0
2010A Kernel Technique for Forecasting the Variance-Covariance Matrix.(2010) In: NCER Working Paper Series.
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paper
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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paper1
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
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paper3
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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paper27
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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paper0
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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paper0
2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
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paper0
2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
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paper0
2012Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series.
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paper5
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
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paper8
2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
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paper1
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
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paper1
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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paper0
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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