Browse By Person: Clements, Adam
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Number of items: 33.
Clements, A.E., Hurn, A.S., & Li, Z. (2016) Forecasting day-ahead electricity load using a multiple equation time series approach. European Journal of Operational Research, 251(2), pp. 522-530.
Clements, A.E., Herrera, R., & Hurn, A.S. (2015) Modelling interregional links in electricity price spikes. Energy Economics, 51, pp. 383-393.
Clements, Adam, Scott, Ayesha, & Silvennoinen, Annastiina (2015) On the benefits of equicorrelation for portfolio allocation. Journal of Forecasting, 34(6), pp. 507-522.
Clements, Adam E., Hurn, A. Stan, & Volkov, Vladimir V. (2015) Volatility transmission in global financial markets. Journal of Empirical Finance, 32, pp. 3-18.
Clements, Adam E. & Todorova, Neda (2015) Information flow, trading activity and commodity futures volatility. The Journal of Futures Markets, 36(1), pp. 88-104.
Becker, Ralf, Clements, Adam, Doolan, Mark, & Hurn, Stan (2015) Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), pp. 849-861.
Basu, Anup K., Chen, En Te, & Clements, Adam (2014) Are lifecycle funds appropriate as default options in participant-directed retirement plans? Economics Letters, 124(1), pp. 51-54.
Clements, Adam, Fuller, Joanne, & Hurn, Stan (2013) Semi-parametric forecasting of spikes in electricity prices. Economic Record, 89(287), pp. 508-521.
Clements, Adam & Silvennoinen, Annastiina (2013) Volatility timing : how best to forecast portfolio exposures. Journal of Empirical Finance, 24, pp. 108-115.
Clements, Adam, Hurn, Stan, & Lindsay, Ken (2013) A closed-form approximation for pricing temperature-based weather derivatives. Applied Mathematics, 4(9), pp. 1347-1360.
Becker, Ralf, Clements, Adam E., & Zainudin, Wan Nur R. A. (2013) Modeling electricity price events as point processes. The Journal of Energy Markets, 6(2), pp. 99-140.
Becker, Ralf, Clements, Adam, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility. Studies in Nonlinear Dynamics and Econometrics, 15(3), pp. 1-21.
Becker, Ralf, Clements, Adam, & McClelland, Andrew (2009) The jump component of S&P 500 volatility and the VIX index. Journal of Banking and Finance, 33(6), pp. 1033-1038.
Clements, Adam, Drew, Michael, Krpan, Ivan, & Veeraraghavan, Madhu (2009) Can book-to-market and size be risk factors that predict economic growth in Asia's emerging economies? Finance India, 23(4), pp. 1213-1230.
Becker, Ralf & Clements, Adam (2008) Are combination forecasts of S&P 500 volatility statistically superior? International Journal of Forecasting, 24(1), pp. 122-133.
Clements, Adam & Collet, Jerome (2008) Do common volatility models capture cyclical behaviour in volatility? Applied Financial Economics, 18(7), pp. 599-604.
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, 31(8), pp. 2535-2549.
Chen, En Te & Clements, Adam (2007) S&P 500 Implied Volatility and Monetary Policy Announcements. Finance Research Letters, 4(4), pp. 227-232.
Clements, Adam E., Hurn, Stanley, & White, Scott I. (2006) Mixture distribution-based forecasting using stochastic volatility models. Applied Stochastic Models in Business and Industry, 22(5-6), 547 -557.
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, 17(2), pp. 139-153.
Clements, Adam E., Dale, Gemma, & Drew, Michael E. (2006) Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance. Accounting, Accountability and Performance, 12(2), pp. 1-32.
Clements, Adam & Drew, Michael (2005) Investor Expectations And Beta Risk. Journal Of The Securities Institute Of Australia And The Australian Institute Of Banking And Finance, 2005(3), pp. 8-13.
Clements, Adam & Drew, Michael (2004) Institutional homogeneity and choice in superannuation. Accounting Research Journal, 17(Special Issue), pp. 102-112.
Clements, Adam E., Hurn, Stanley, & Lindsay, Kenneth (2003) Mobius-like mappings and their use in kernel density estimation. Journal of the American Statistical Association, 98(464), pp. 993-1000.
Clements, Adam, Doolan, Mark, Hurn, Stan, & Becker, Ralf (2012) On the efficacy of techniques for evaluating multivariate volatility forecasts. In Ulubasoglu, Mehmet & Kidd, Michael (Eds.) Econometric Society Australasian Meeting (ESAM12), 3-6 July 2012, Langham Hotel, Melbourne, VIC.
Bianchi, Robert, Clements, Adam, & Drew, Michael (2008) HACking at non-linearity : evidence from stocks and bonds. In Robinson, T, Christensen, M, & Fletcher, A (Eds.) 16th Annual conference on Pacific Basin Finance Economics Accounting and Management 2008, 2-4 July 2008, Australia, Queensland, Brisbane.
Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Christensen, M, & Fletcher, A (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 2-4 July 2008, Australia, Queensland, Brisbane.
Clements, Adam, Drew, Michael, Reedman, Evan, & Veeraraghavan, Madhu (2006) The Death of the Overreaction Anomaly: Multi-factor Explanations for Contrarian Returns. In Merchant, S (Ed.) 5th Global Conference on Business and Economics, 6 - 8 July 2006, United Kingdom, England, Cambridge.
Clements, Adam, Dale, Gemma, & Drew, Michael (2005) Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance. In Griffiths, B, Dixon, R, & Freebairn, J (Eds.) Proceedings of the Australian Conference of Economists 2005 (ACE O5), 26 September - 28 September 2005, Australia, Victoria, Melbourne.
Clements, Adam & White, Scott (2005) Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model. In Zerger, A & Argent, R (Eds.) MODSIM 2005 International Congress on Modelling and Simulation, 12 December - 15 December 2005, Australia, Victoria, Melbourne.
Clements, Adam & Hurn, Stan (2001) Modelling Price Dynamics as the Outcome of Interaction Between Heterogenous Agents. In Canberra, A (Ed.) Proceedings of International Congress on Modelling and Simulation, 10-13 December 2001.
Clements, Adam (2002) The impact and measurement of the intensity of noise in stock returns. PhD thesis, Queensland University of Technology.
Clements, Adam E. & Drew, Michael E. (2003) Investor Expectations and Systematic Risk: Discussion Paper No. 129. [Working Paper]