Browse By Person: Clements, Adam

Wang, Ruolin, Basu, Anup, & Clements, Adam (2023) Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis. Global Finance Journal, 57, Article number: 100849.

Fuentes, Fernanda, Herrera, Rodrigo, & Clements, Adam (2023) Forecasting extreme financial risk: A score-driven approach. International Journal of Forecasting, 39(2), pp. 720-735.

18

5

2

Basu, Anup K., Wang, Ruolin, & Clements, Adam (2023) Are Credit Default Swaps Still a Sideshow? How Information Flow between Equity and CDS Markets Has Changed Since the Financial Crisis. Social Science Research Network (SSRN). [Preprint]

Li, Dan, Clements, Adam, & Drovandi, Christopher (2023) A Bayesian approach for more reliable tail risk forecasts. Journal of Financial Stability, 64, Article number: 101098.

18

Clements, Adam, Hurn, Stan, Lindsay, Kenneth, & Volkov, Vladimir (2023) Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes. Journal of Financial Econometrics, 21(5), Article number: nbac022 1759-1790.

Clements, Adam, Liao, Yin, & Tang, Yusui (2022) Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility. Journal of Forecasting, 41(1), pp. 86-99.

5

3

Clements, Adam & Preve, Daniel P.A. (2021) A Practical Guide to harnessing the HAR volatility model. Journal of Banking and Finance, 133, Article number: 106285.

16

2

Aromi, J. Daniel & Clements, Adam (2021) Facial expressions and the business cycle. Economic Modelling, 102, Article number: 105563.

1

Russell-Bennett, Rebekah, Kuch, Declan, Riedy, Chris, Gardner, John, Chong, Heap Yih, Niklas, Sarah, Clements, Adam, Flew, Terry, Mathmann, Frank, McAndrew, Ryan, Letheren, Kate, Minunno, Roberto, Amin, Ruhul, Goulding, Benjamin, Zimbatu, Alexandra, & Whittaker, Lucas (2021) E1 Theme: Trust-building for collaborative win-win customer solutions - Opportunity Assessment Roadmap Report. RACE 2030 (CRC for Renewable Affordable and Clean Energy), Haymarket, NSW.

Li, Dan, Clements, Adam, & Drovandi, Christopher (2021) Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. Econometrics and Statistics, 19, pp. 22-46.

60

5

1

Russell-Bennett, Rebekah, Reidy, Christopher, Gardner, John, Chong, Heap Yih, Kuch, Declan, Niklas, Sarah, Clements, Adam, Flew, Terry, Mathmann, Frank, McAndrew, Ryan, Letheren, Kate, Zimbatu, Alexandra, Whittaker, Lucas, Minunno, Roberto, Amin, Ruhul, & Goulding, Benjamin (2021) The Opportunity for building and measuring trust in the energy sector - RACE for 2030 Summary Report.

20

Russell-Bennett, Rebekah, Riedy, Chris, Gardner, John, Chong, Heap Yih (John), Kuch, Declan, Niklas, Sarah, Clements, Adam, Flew, Terry, Mathmann, Frank, McAndrew, Ryan, Letheren, Kate, Zimbatu, Alexandra, Whittaker, Lucas, Minunno, Roberto, Amin, Ruhul, & Goulding, Benjamin (2021) Trust building for collaborative win-win customer solutions in the energy sector: RACE 2030 Insights, Gaps and Opportunities Overview. Queensland University of Technology, Brisbane, Australia.

217

Case, Justin & Clements, Adam (2021) Modelling Investor Irrationality in Financial Markets using Artificial Neural Networks. In 3rd BEST Conference on Human Behaviour and Decision Making, 2021-02-11 - 2021-02-12, Brisbane, Australia, AUS. (Unpublished)

67

Case, Justin & Clements, Adam (2021) The Impact of Sentiment in the News Media on Daily and Monthly Stock Market Returns. In Xu, Yue, Wang, Rosalind, Lord, Anton, Boo, Yee Ling, Nayak, Richi, Zhao, Yanchang, et al. (Eds.) Data Mining: 19th Australasian Conference on Data Mining, AusDM 2021, Brisbane, QLD, Australia, December 14-15, 2021, Proceedings. Springer, Singapore, pp. 180-195.

4

1

Clements, Adam, Herrera, Rodrigo, & Hurn, Stan (2020) Network analysis: A novel approach to identify PM2.5 hotspots and their spatio-temporal impact on air quality in Santiago de Chile. Air Quality, Atmosphere and Health, 13(9), pp. 1075-1082.

70

5

Clements, A. E. & Liao, Yin (2020) Firm-specific information and systemic risk. Economic Modelling, 90, pp. 480-493.

4

1

Clements, Adam & Doolan, Mark (2020) Combining multivariate volatility forecasts using weighted losses. Journal of Forecasting, 39(4), pp. 628-641.

50

Herrera, Rodrigo & Clements, Adam (2020) A marked point process model for intraday financial returns: modeling extreme risk. Empirical Economics, 58(4), pp. 1575-1601.

3

Clements, Adam & Herrera, Rodrigo (2019) Moderate and Extreme Volatility: Do the Magnitude of Returns Matter for Forecasting? [Working Paper] (Unpublished)

127

Clements, Adam, Scott, Ayesha, & Silvennoinen, Annastiina (2019) Volatility-dependent correlations: further evidence of when, where and how. Empirical Economics, 57(2), pp. 505-540.

156

5

4

Clements, Adam, Shield, Cody, & Thiele, Stephen (2019) Which oil shocks really matter in equity markets? Energy Economics, 81, pp. 134-141.

158

34

23

Clements, Adam & Preve, Daniel P. A. (2019) A Practical Guide to Harnessing the HAR Volatility Model. Social Science Research Network (SSRN). [Working Paper]

Aromi, Daniel & Clements, Adam (2019) Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil. Energy Economics, 81, pp. 187-196.

160

32

22

Russell-Bennett, Rebekah, Letheren, Kate, Glavas, Charmaine, McAndrew, Ryan, Clements, Adam, Walker, Geoff, Mulcahy, Rory, Hudson, Rob, & Ossington, Reid (2019) Summary Project Report 2019: Summer saver research program: Qualitative and quantitative phase. Queensland University of Technology, Australia.

100

Fuentes, Fernanda, Herrera, Rodrigo, & Clements, Adam (2018) Modeling extreme risks in commodities and commodity currencies. Pacific-Basin Finance Journal, 51, pp. 108-120.

108

8

4

Herrera, Rodrigo, Gonzalez, Sergio, & Clements, Adam (2018) Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. The North American Journal of Economics and Finance, 46, pp. 70-88.

96

2

Herrera, Rodrigo & Clements, Adam (2018) Point process models for extreme returns: Harnessing implied volatility. Journal of Banking and Finance, 88, pp. 161-175.

91

21

17

Moisan, Stella, Herrera, Rodrigo, & Clements, Adam (2018) A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile. International Journal of Forecasting, 34(4), pp. 566-581.

129

50

39

Becker, Ralf, Clements, Adam, & O'Neill, Robert (2018) A multivariate kernel approach to forecasting the variance covariance of stock market returns. Econometrics, 6(1), Article number: 7 1-27.

204

1

Todorova, Neda & Clements, Adam (2018) The volatility-volume relationship in the LME futures market for industrial metals. Resources Policy, 58, pp. 111-124.

150

13

8

Li, Zili, Hurn, Stan, & Clements, Adam (2017) Forecasting quantiles of day-ahead electricity load. Energy Economics, 67, pp. 60-71.

256

26

19

Clements, Adam & Liao, Yin (2017) Forecasting the variance of stock index returns using jumps and cojumps. International Journal of Forecasting, 33(3), pp. 729-742.

231

40

30

Clements, Adam, Hurn, Stan, & Li, Zili (2017) The effect of transmission constraints on electricity prices. Energy Journal, 38(4), pp. 145-163.

670

8

7

Clements, Adam, Hurn, Stan, & Shi, Shuping (2017) An empirical investigation of herding in the U.S. stock market. Economic Modelling, 67, pp. 184-192.

361

40

26

Clements, Adam, Hurn, Stan, & Volkov, Vladimir (2016) Common trends in global volatility. Journal of International Money and Finance, 67, pp. 194-214.

3

Clements, Adam, Hurn, Aubrey, & Li, Zili (2016) Forecasting day-ahead electricity load using a multiple equation time series approach. European Journal of Operational Research, 251(2), pp. 522-530.

113

97

63

Clements, Adam & Todorova, Neda (2016) Information flow, trading activity and commodity futures volatility. Journal of Futures Markets, 36(1), pp. 88-104.

288

20

17

Clements, Adam, Hurn, Stan, & Li, Zili (2016) Strategic bidding and rebidding in electricity markets. Energy Economics, 59, pp. 24-36.

118

22

17

Zainudin, Wan Nur Rahini Aznie, Becker, Ralf, & Clements, Adam (2015) The Australian electricity market's pre-dispatch process: Some observations on its efficiency using ordered probit model. In Ahmad, Nazihah, Zulkepli, Jafri, Ibrahim, Adyda, Aziz, Nazrina, & Abdul-Rahman, Syariza (Eds.) Innovation and Analytics Conference and Exhibition, IACE 2015: Proceedings of the 2nd Innovation and Analytics Conference and Exhibition. AIP Publishing, United States of America, pp. 1-8.

Clements, Adam, Herrera, Rodrigo, & Hurn, Aubrey (2015) Modelling interregional links in electricity price spikes. Energy Economics, 51, pp. 383-393.

42

31

Clements, Adam, Scott, Ayesha, & Silvennoinen, Annastiina (2015) On the benefits of equicorrelation for portfolio allocation. Journal of Forecasting, 34(6), pp. 507-522.

12

Becker, Ralf, Clements, Adam, Doolan, Mark, & Hurn, Aubrey (2015) Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), pp. 849-861.

309

33

27

Clements, Adam, Hurn, Aubrey, & Volkov, Vladimir (2015) Volatility transmission in global financial markets. Journal of Empirical Finance, 32, pp. 3-18.

32

30

Basu, Anup, Chen, John, & Clements, Adam (2014) Are lifecycle funds appropriate as default options in participant-directed retirement plans? Economics Letters, 124(1), pp. 51-54.

182

2

1

Becker, Ralf, Clements, Adam, & Zainudin, Wan Nur (2013) Modeling electricity price events as point processes. Journal of Energy Markets, 6(2), pp. 99-140.

8

7

Clements, Adam, Fuller, Joanne, & Hurn, Aubrey (2013) Semi-parametric forecasting of spikes in electricity prices. The Economic Record, 89(287), pp. 508-521.

74

11

10

Clements, Adam & Silvennoinen, Annastiina (2013) Volatility timing: How best to forecast portfolio exposures. Journal of Empirical Finance, 24, pp. 108-115.

118

11

10

Clements, Adam, Hurn, Aubrey, & Lindsay, Kenneth (2013) A closed-form approximation for pricing temperature-based weather derivatives. Applied Mathematics, 4(9), pp. 1347-1360.

57

Clements, Adam, Doolan, Mark, Hurn, Aubrey, & Becker, Ralf (2012) On the efficacy of techniques for evaluating multivariate volatility forecasts. In Kidd, M & Ulubasoglu, M (Eds.) Proceedings of the 2012 Econometric Society Australasian Meeting. Econometric Society, Australia, pp. 1-23.

Becker, Ralf, Clements, Adam, & Hurn, Aubrey (2011) Semi-parametric forecasting of realized volatility. Studies in Nonlinear Dynamics and Econometrics, 15(3), pp. 1-21.

554

4

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.

Clements, Adam, Drew, Michael E., Reedman, Evan M., & Veeraraghavan, Madhu (2009) The death of the overreaction anomaly? A multifactor explanation of contrarian returns. Investment Management and Financial Innovations, 6(1), pp. 76-85.

85

10

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.

1,744

96

86

Becker, Ralf & Clements, Adam (2008) Are combination forecasts of S&P 500 volatility statistically superior? International Journal of Forecasting, 24(1), pp. 122-133.

64

49

Clements, Adam & Collet, Jerome (2008) Do common volatility models capture cyclical behaviour in volatility? Applied Economics, 18(7), pp. 599-604.

2

Bianchi, Robert, Clements, Adam, & Drew, Michael (2008) HACking at Non-linearity: Evidence from Stocks and Bonds. In Robinson, T, Fletcher, A, & Christensen, M (Eds.) 16th Annual conference on Pacific Basin Finance Economics Accounting and Management 2008. Queensland University of Technology, Australia, pp. 1-39.

Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Fletcher, A, & Christensen, M (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management. Faculty of Business, Queensland University of Technology, Australia, pp. 1-15.

94

Becker, Ralf, Clements, Adam, & White, Scott (2007) Does Implied Volatility Provide Any Information Beyond that Captured in Model-based Volatility Forecasts? Journal of Banking and Finance, 31(8), pp. 2535-2549.

1,032

75

67

Chen, En Te & Clements, Adam (2007) S&P 500 Implied Volatility and Monetary Policy Announcements. Finance Research Letters, 4(4), pp. 227-232.

65

Clements, Adam, Dale, Gemma, & Drew, Michael (2006) Australia's retail superannuation fund industry: structure, conduct and performance. Accounting, Accountability and Performance, 12(2), pp. 1-32.

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. Global Conference on Business and Economics, United Kingdom, pp. 1-18.

1,066

Clements, Adam, Hurn, Aubrey, & White, Scott (2006) Mixture Distribution-based Forecasting using Stochastic Volatility Models. Applied Stochastic Models in Business and Industry, 22(5-6), pp. 547-557.

4

Becker, Ralf, Clements, Adam, & White, Scott (2006) On the Informational Efficiency of S&P500 Implied Volatility. The North American Journal of Economics and Finance, 17(2), pp. 139-153.

49

Clements, Adam, Dale, Gemma, & Drew, Michael (2005) Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance. In Dixon, R, Griffiths, B, & Freebairn, J (Eds.) Proceedings of the Australian Conference of Economists 2005 (ACE O5). University of Melbourne, Australia, pp. 1-29.

Clements, Adam & Drew, Michael (2005) Investor Expectations And Beta Risk. JASSA, 2005(3), pp. 8-13.

Clements, Adam & White, Scott (2005) Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model. In Zerger, A & Argent, R M (Eds.) MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ), Australia, pp. 807-813.

Drew, Michael & Clements, Adam (2004) Institutional Homogeneity and Choice in Superannuation. In 12th Australian Colloquium of Superannuation Researchers - Shortchanged? Pension Fund Governance and Retirement Provision. University of New South Wales, Sydney, pp. 1-26.

Clements, Adam & Drew, Michael (2004) Institutional Homogeneity and Choice in Superannuation. Accounting Research Journal, 17(Special Issue), pp. 102-112.

Clements, Adam E. & Drew, Michael E. (2003) Investor Expectations and Systematic Risk: Discussion Paper No. 129. [Working Paper]

808

Clements, Adam, Hurn, Stan, & Lindsay, Kenneth (2003) Mobius-Like Mappings and their use in Kernel Density Estimation. Journal of the American Statistical Association, 98(464), pp. 993-1000.

23

19

Clements, Adam (2002) The impact and measurement of the intensity of noise in stock returns. PhD thesis, Queensland University of Technology.

Clements, Adam & Hurn, Stan (2001) Modelling Price Dynamics as the Outcome of Interaction Between Heterogenous Agents. In Proceedings of International Congress on Modelling and Simulation. Modelling & Simulation Society of Aust & NZ, Canberra, ACT, pp. 1323-1328.

Export as	Atom RSS 1.0 RSS 2.0