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Adam Clements

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Personal Details

First Name: Adam
Middle Name:
Last Name: Clements
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RePEc Short-ID: pcl45

Email: [This author has chosen not to make the email address public]
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Affiliation

(50%) School of Economics and Finance
Business School
Queensland University of Technology
Location: Brisbane, Australia
Homepage: http://www.bus.qut.edu.au/schools/economics/
Email:
Phone:
Fax:
Postal: GPO Box 2434, BRISBANE QLD 4001
Handle: RePEc:edi:sequtau (more details at EDIRC)
(50%) National Centre for Econometric Research (NCER)
Location: Brisbane/Sydney, Australia
Homepage: http://www.ncer.edu.au/
Email:
Phone: 07 3138 5066
Fax: 07 3138 1500
Postal:
Handle: RePEc:edi:ncerrau (more details at EDIRC)

Works

as in new window

Working papers

  1. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation," NCER Working Paper Series 99, National Centre for Econometric Research.
  2. Adam Clements & Yin Liao, 2013. "The dynamics of co-jumps, volatility and correlation," NCER Working Paper Series 91, National Centre for Econometric Research.
  3. Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
  4. Adam Clements & Joanne Fuller, 2012. "Forecasting increases in the VIX: A time-varying long volatility hedge for equities," NCER Working Paper Series 88, National Centre for Econometric Research.
  5. Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
  6. Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2012. "Selecting forecasting models for portfolio allocation," NCER Working Paper Series 85, National Centre for Econometric Research.
  7. Adam E Clements & Annastiina Silvennoinen, 2011. "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series 76, National Centre for Econometric Research.
  8. Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011. "Forecasting Equicorrelation," NCER Working Paper Series 72, National Centre for Econometric Research, revised 29 Aug 2011.
  9. Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series 149, Economics, The Univeristy of Manchester.
  10. Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," NCER Working Paper Series 66, National Centre for Econometric Research.
  11. Ralf Becker & Adam Clements, 2010. "Volatility and the role of order book structure," NCER Working Paper Series 64, National Centre for Econometric Research.
  12. Adam Clements & Annastiina Silvennoinen, 2010. "Portfolio allocation: Getting the most out of realised volatility," NCER Working Paper Series 54, National Centre for Econometric Research, revised 06 May 2010.
  13. Ralf Becker & Adam Clements & Christopher Coleman-Fenn, 2009. "Forecast performance of implied volatility and the impact of the volatility risk premium," NCER Working Paper Series 45, National Centre for Econometric Research.
  14. Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research.
  15. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
  16. Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2009. "Evaluating multivariate volatility forecasts," NCER Working Paper Series 41, National Centre for Econometric Research, revised 25 Nov 2009.
  17. Adam Clements & Annastiina Silvennoinen, 2009. "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series 44, National Centre for Econometric Research.
  18. Ralf Becker & Adam Clements & Andrew McClelland, 2008. "The Jump component of S&P 500 volatility and the VIX index," NCER Working Paper Series 24, National Centre for Econometric Research.
  19. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research.
  20. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research.
  21. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
  22. Adam Clements & Gemma Dale & Michael E. Drew, 2007. "Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance," School of Economics and Finance Discussion Papers and Working Papers Series 217, School of Economics and Finance, Queensland University of Technology.
  23. Adam Clements & Michael E. Drew, 2007. "Institutional Homogeneity and Choice in Superannuation," School of Economics and Finance Discussion Papers and Working Papers Series 218, School of Economics and Finance, Queensland University of Technology.
  24. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
  25. Adam Clements & Michael E. Drew & Evan M. Reedman, 2007. "The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns," School of Economics and Finance Discussion Papers and Working Papers Series 219, School of Economics and Finance, Queensland University of Technology.
  26. Ralf Becker & Adam Clements & James Curchin, 2007. "Does implied volatility reflect a wider information set than econometric forecasts?," NCER Working Paper Series 15, National Centre for Econometric Research.
  27. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  28. Adam Clements & Scott White, 2005. "Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage," School of Economics and Finance Discussion Papers and Working Papers Series 192, School of Economics and Finance, Queensland University of Technology.
  29. Adam Clements & Scott White, 2005. "Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model," School of Economics and Finance Discussion Papers and Working Papers Series 191, School of Economics and Finance, Queensland University of Technology.
  30. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
  31. Scott I White & Ralf Becker & Adam E Clements, 2004. "Forward looking information in S&P 500 options," Econometric Society 2004 Australasian Meetings 233, Econometric Society.
  32. Adam Clements & Michael E. Drew, 2003. "Investor Expectations and Systematic Risk," School of Economics and Finance Discussion Papers and Working Papers Series 129, School of Economics and Finance, Queensland University of Technology.

Articles

  1. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
  2. Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
  3. Becker Ralf & Clements Adam E & Hurn Stan, 2011. "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-23, May.
  4. Becker, Ralf & Clements, Adam E. & McClelland, Andrew, 2009. "The jump component of S&P 500 volatility and the VIX index," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1033-1038, June.
  5. Adam Clements & Jerome Collet, 2008. "Do common volatility models capture cyclical behaviour in volatility?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 599-604.
  6. Becker, Ralf & Clements, Adam E., 2008. "Are combination forecasts of S&P 500 volatility statistically superior?," International Journal of Forecasting, Elsevier, vol. 24(1), pages 122-133.
  7. Becker, Ralf & Clements, Adam E. & White, Scott I., 2007. "Does implied volatility provide any information beyond that captured in model-based volatility forecasts?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2535-2549, August.
  8. Chen, En-Te (John) & Clements, Adam, 2007. "S&P 500 implied volatility and monetary policy announcements," Finance Research Letters, Elsevier, vol. 4(4), pages 227-232, December.
  9. Becker, Ralf & Clements, Adam E. & White, Scott I., 2006. "On the informational efficiency of S&P500 implied volatility," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 139-153, August.
  10. Clements A. & Hurn S. & Lindsay K., 2003. "Mobius-Like Mappings and Their Use in Kernel Density Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 993-1000, January.

NEP Fields

30 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2004-10-30 2008-08-21
  2. NEP-ECM: Econometrics (16) 2004-10-30 2007-01-28 2007-02-17 2007-02-17 2007-06-02 2007-06-23 2007-06-23 2009-03-22 2009-07-03 2009-09-26 2010-03-28 2010-09-18 2010-11-13 2012-02-20 2012-02-20 2012-08-23. Author is listed
  3. NEP-ETS: Econometric Time Series (17) 2004-10-30 2004-10-30 2007-01-28 2007-02-17 2007-02-17 2007-06-02 2007-06-23 2007-06-23 2009-03-22 2009-07-03 2009-09-26 2010-09-18 2010-11-20 2010-11-20 2011-05-24 2012-02-20 2013-09-28. Author is listed
  4. NEP-FIN: Finance (2) 2004-10-30 2004-10-30
  5. NEP-FMK: Financial Markets (3) 2008-08-21 2009-07-03 2010-09-18
  6. NEP-FOR: Forecasting (17) 2007-06-02 2007-06-23 2007-06-23 2008-08-21 2009-03-22 2009-07-03 2009-09-26 2010-03-28 2010-09-18 2010-11-13 2010-11-20 2010-11-20 2011-05-24 2012-02-20 2012-02-20 2012-08-23 2013-12-15. Author is listed
  7. NEP-MAC: Macroeconomics (1) 2007-06-23
  8. NEP-MST: Market Microstructure (1) 2010-11-20
  9. NEP-ORE: Operations Research (2) 2010-11-20 2013-09-28
  10. NEP-RMG: Risk Management (6) 2004-10-30 2007-06-11 2007-06-23 2008-08-21 2010-09-18 2012-02-20. Author is listed
  11. NEP-UPT: Utility Models & Prospect Theory (2) 2009-09-26 2010-03-28

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