Adam Clements : Citation Profile


Are you Adam Clements?

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

8

H index

6

i10 index

240

Citations

RESEARCH PRODUCTION:

24

Articles

45

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 14
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 24 (9.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2018-09-15    RAS profile: 2018-08-22    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Hurn, Stan (10)

Herrera, Rodrigo (5)

Liao, Yin (4)

Silvennoinen, Annastiina (3)

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

Is cited by:

Caporin, Massimiliano (14)

McAleer, Michael (11)

Plastun, Alex (5)

Guillen, Montserrat (5)

Caporale, Guglielmo Maria (5)

Omori, Yasuhiro (4)

Kruse, Robinson (4)

Gil-Alana, Luis (4)

Fernandes, Marcelo (4)

Mignon, Valérie (4)

Scharth, Marcel (4)

Cites to:

Bollerslev, Tim (90)

Andersen, Torben (58)

Diebold, Francis (55)

Engle, Robert (37)

Hansen, Peter (35)

Lunde, Asger (31)

Hurn, Stan (30)

Nason, James (27)

Poon, Ser-Huang (22)

Granger, Clive (20)

Shephard, Neil (20)

Main data


Where Adam Clements has published?


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

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

Recent works citing Adam Clements (2018 and 2017)


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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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 ; Schlereth, Christian ; Schulz, Fabian. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1165-1179.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

Works by Adam Clements:


YearTitleTypeCited
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
[Full Text][Citation analysis]
article0
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]
article6
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
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]
article2
2006On the informational efficiency of S&P500 implied volatility In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article16
2014Are lifecycle funds appropriate as default options in participant-directed retirement plans? 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]
article5
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 another version. Agregated cites: 5
paper
2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article4
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article9
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]
article6
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]
article4
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
[Full Text][Citation analysis]
article4
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
[Full Text][Citation analysis]
article24
2008Are combination forecasts of S&P 500 volatility statistically superior? In: International Journal of Forecasting.
[Full Text][Citation analysis]
article22
2007Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1
2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article29
2009The jump component of S&P 500 volatility and the VIX index In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article34
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 another version. Agregated cites: 34
paper
2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article1
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Common trends in global volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article0
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]
paper0
2010A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
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 another version. Agregated cites: 0
paper
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]
paper0
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper1
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]
paper21
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]
paper4
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper7
2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
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
2016Modelling Extreme Risks in Commodities and Commodity Currencies In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile 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
2003Investor Expectations and Systematic Risk In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper0
2005Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper0
2005Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper0
2007Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper0
2007Institutional Homogeneity and Choice in Superannuation In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper0
2007The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns In: School of Economics and Finance Discussion Papers and Working Papers Series.
[Full Text][Citation analysis]
paper8
2009HACking at Non-linearity: Evidence from Stocks and Bonds In: School of Economics and Finance Discussion Papers and Working Papers Series.
[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
2016Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]
article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 2th 2018. Contact: CitEc Team