Adam Clements : Citation Profile

Queensland University of Technology

17

H index

22

i10 index

837

Citations

RESEARCH PRODUCTION:

52

Articles

51

Papers

RESEARCH ACTIVITY:

   25 years (2001 - 2026). See details.
   Cites by year: 33
   Journals where Adam Clements has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 37 (4.23 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcl45
   Updated: 2026-06-27    RAS profile: 2026-06-18    
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Relations with other researchers

Works with:

Hurn, Stan (2)

Herrera, Rodrigo (2)

Volkov, Vladimir (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 (15)

GUPTA, RANGAN (14)

Otranto, Edoardo (11)

Caporale, Guglielmo Maria (9)

Cepni, Oguzhan (8)

Výrost, Tomáš (8)

Degiannakis, Stavros (8)

Herrera, Rodrigo (8)

Bauwens, Luc (8)

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)

Hurn, Stan (36)

Patton, Andrew (36)

Laurent, Sébastien (35)

Main data

Where Adam Clements has published?

Journals with more than one article published# docs
International Journal of Forecasting7
Energy Economics6
Journal of Banking & Finance4
Economic Modelling3
Journal of Forecasting3
Journal of Empirical Finance3
The North American Journal of Economics and Finance3
Economics Letters2
Empirical Economics2

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

Recent works citing Adam Clements (2026 and 2025)

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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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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2026Adaptive 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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2026CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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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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2026Volatility 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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2026Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets. (2026). Sircar, Ronnie ; Hubert, Emma ; Lolas, Dimitrios. In: Papers. RePEc:arx:papers:2601.05085.

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2026A Bipartite Graph Approach to U.S.-China Cross-Market Return Forecasting. (2026). Cucuringu, Mihai ; Dong, Xiaowen ; Grith, Maria ; Liu, Jing. In: Papers. RePEc:arx:papers:2603.10559.

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2026On options-driven realized volatility forecasting: Information gains via rough volatility model. (2026). Ye, Yifan ; Wang, Meng Melody ; Fan, Zheqi. In: Papers. RePEc:arx:papers:2604.02743.

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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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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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2025Oil price shocks and green investments: Upside risks, hedging, and safe-haven properties. (2025). Al-Fayoumi, Nedal ; Arfaoui, Nadia ; Bouri, Elie ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001421.

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2026Expected versus unexpected Inflation:The role of Trade Policy. (2026). YILMAZKUDAY, HAKAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:82:y:2026:i:c:s1062940825002189.

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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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2025Taking advantage of biased proxies for forecast evaluation. (2025). Ren, Roberto ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001228.

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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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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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2025Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks. (2025). Zhou, Yang ; Gong, Jue ; Wang, Gang-Jin ; Xie, Chi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000611.

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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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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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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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2025Financial ambiguity and the flow of public information. (2025). Ayoub, Mahmoud ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325008037.

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2025The value of cross market volatility in improving the forecast accuracy of risk in the gold, the dollar and the oil futures markets. (2025). Awartani, Basel ; Maghyereh, Aktham. In: Finance Research Letters. RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325009274.

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2025Asymmetric return–volatility relationship of uranium investments. (2025). Todorova, Neda. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325011444.

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2025On the efficiency contributions of analyst recommendations to financial markets. (2025). Lee, Suzanne S ; Choi, Youngmin. In: Journal of Financial Markets. RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000254.

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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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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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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025Disaggregating VIX. (2025). Degiannakis, Stavros ; Kafousaki, Eleftheria. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1559-1588.

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2026When to be discrete: The importance of time formulation in the modeling of extreme events in finance. (2026). Herrera, Rodrigo ; Bie-Barkowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:1:p:61-84.

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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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2025Extremal dependence in Australian electricity markets. (2025). Trck, Stefan ; Han, Lin ; Cribben, Ivor. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000200.

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2025Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach. (2025). Zaharieva, Martina Danielova ; Virbickait, Audron ; Santos, Andr Portela. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000406.

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2025Market share, plant ownership, and the merit-order effect of renewable resources: Evidence from Australia’s National Electricity Market. (2025). Lovell, Skylar ; Levitt, Clinton J. In: Utilities Policy. RePEc:eee:juipol:v:96:y:2025:i:c:s0957178725001055.

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2026Comparing peak electricity load forecasting models for an industrial and a residential building. (2026). Leva, Sonia ; Matrone, Silvana ; Wood, Michael ; Ogliari, Emanuele. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:240:y:2026:i:c:p:303-316.

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2025Jump imbalance and Chinese stock market returns. (2025). Chen, Yan ; Liu, Yakun ; Zhang, Lei ; Bouri, Elie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25002604.

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2026Strike prices for virtual power purchase agreements based on power demand and supply analysis: An empirical study in Japan. (2026). Kontani, Reo ; Tanaka, Kenji ; Ogimoto, Kazuhiko. In: Renewable Energy. RePEc:eee:renene:v:260:y:2026:i:c:s0960148125027946.

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2026“The impact of Covid-19 on the market volatility: A quantitative analysis of the Italian banking sector”. (2026). Forcellini, Marcello ; Vento, Gianfranco Antonio ; Gracikova, Eva. In: International Review of Economics & Finance. RePEc:eee:reveco:v:105:y:2026:i:c:s1059056025009773.

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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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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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2026Bitcoin wild moves: Evidence from order flow toxicity and price jumps. (2026). Likitapiwat, Tanakorn ; Treepongkaruna, Sirimon ; Kyaw, Khine ; Kitvanitphasu, Atiwat. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004192.

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2026Attention to renewable energy: A risk-factor for stocks in the renewable energy sector. (2026). Lyócsa, Štefan ; Lycsa, Tefan ; Tabaek, Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s027553192500460x.

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2025Dynamic testing of volatility models’ calibration using E-values. (2025). di Leonforte, Davide Carmelo ; Deliu, Nina. In: Statistics & Probability Letters. RePEc:eee:stapro:v:226:y:2025:i:c:s0167715225001609.

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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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2025Research on Load Forecasting of County Power Grid Planning Based on Dual-Period Evaluation Function. (2025). Chen, XU ; Feng, Jingchun ; Xue, Song. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:20:p:9141-:d:1772036.

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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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2026The impact of supply and demand driven oil price uncertainty on the cost of bank loans. (2026). Triantafyllou, A ; Bermpei, T. In: Post-Print. RePEc:hal:journl:hal-05535567.

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2025Impact of Face Masks on Smile Recognition and Emotional Contagion in Adults and Children. (2025). Muramatsu, Yoko ; Iwasaki, Keiko. In: Journal of Behavioral Economics and Finance. RePEc:jbe:jbefjr:v:18:y:2025:i:0:p:114-130.

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2025Exploring Herding Instincts Through the Lens of Adaptive Market Hypothesis: Insights from a Frontier Market. (2025). Charith, Krishnamoorthy ; Azeez, A A. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:4:d:10.1007_s10690-024-09486-3.

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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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2025Combining realized volatility estimators based on economic performance. (2025). Skintzi, Vasiliki ; Fameliti, Stavroula P. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:7:d:10.1057_s41260-025-00415-1.

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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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2025Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model. (2025). Li, Xiafei ; Ma, Feng ; Liang, Chao. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-04716-1.

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2025Hegemony of behavioral biases dislodging financial well-being: evidence from India, USA and UK. (2025). Kanojia, Sunaina ; Malhotra, Deepali. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00651-2.

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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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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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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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2025Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data. (2025). Zhang, Rongkun ; Lee, Chienchiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:11:p:2034-2065.

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2025What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets. (2025). Hu, Zhepeng ; He, Xinyue ; Li, Ziran. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:12:p:2332-2354.

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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
2020Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo In: Papers.
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2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo.(2021) In: Econometrics and Statistics.
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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]		article15
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]		article2
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]		article30
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
2026Forecasting realized volatility using HAR models and wavelet decomposition: A volatility-timing perspective In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
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]		article37
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
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2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
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2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article27
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]		article2
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]		article27
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
[Full Text][Citation analysis]		article16
2019Which oil shocks really matter in equity markets? In: Energy Economics.
[Full Text][Citation analysis]		article32
2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil In: Energy Economics.
[Full Text][Citation analysis]		article30
2007S&P 500 implied volatility and monetary policy announcements In: Finance Research Letters.
[Full Text][Citation analysis]		article63
2023A Bayesian approach for more reliable tail risk forecasts In: Journal of Financial Stability.
[Full Text][Citation analysis]		article2
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]		article52
2007Are combination forecasts of S&P 500 volatility statistically superior?.(2007) In: NCER Working Paper Series.
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2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
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2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
[Full Text][Citation analysis]		article35
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.
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2023Forecasting extreme financial risk: A score-driven approach In: International Journal of Forecasting.
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2024Outlier-robust methods for forecasting realized covariance matrices In: International Journal of Forecasting.
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2026Modeling and forecasting intraday spot volatility In: International Journal of Forecasting.
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2021A Practical Guide to harnessing the HAR volatility model In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article38
2019A Practical Guide to Harnessing the HAR Volatility Model.(2019) In: NCER Working Paper Series.
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2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts? In: Journal of Banking & Finance.
[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]
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2018Point process models for extreme returns: Harnessing implied volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2015Point process models for extreme returns: Harnessing implied volatility.(2015) In: NCER Working Paper Series.
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2016Common trends in global volatility In: Journal of International Money and Finance.
[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.
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2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns In: Econometrics.
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2010A Cholesky-MIDAS model for predicting stock portfolio volatility In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010A Cholesky-MIDAS model for predicting stock portfolio volatility.(2010) In: NCER Working Paper Series.
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2010A Kernel Technique for Forecasting the Variance-Covariance Matrix In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010A Kernel Technique for Forecasting the Variance-Covariance Matrix.(2010) In: NCER Working Paper Series.
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2023Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* In: Journal of Financial Econometrics.
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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.
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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.
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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.
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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.
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2012Forecasting increases in the VIX: A time-varying long volatility hedge for equities In: NCER Working Paper Series.
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2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
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2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
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2014The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
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.
[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.
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2020Combining multivariate volatility forecasts using weighted losses.(2020) In: Journal of Forecasting.
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2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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2019Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics.
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2020A marked point process model for intraday financial returns: modeling extreme risk In: Empirical Economics.
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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
2026Predicting directional volatility: HAR model with machine learning integration In: Applied Economics Letters.
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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.
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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.
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2026Enhancing Volatility Prediction: A Wavelet‐Based Hierarchical Forecast Reconciliation Approach In: Journal of Forecasting.
[Full Text][Citation analysis]		article0
2016Information Flow, Trading Activity and Commodity Futures Volatility In: Journal of Futures Markets.
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