← All authors Adam Clements Queensland University of Technology (from arXiv:1906.03828, 2019) · ORCID · OpenAlex
54 papers in scope · 54 published · 1 on the econ.EM arXiv · 1,370 citations · h-index 19 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Minh-Ngoc Tran Robert Kohn Tra Ngoc Vy Nguyen Chen Liu Chao Wang Christopher Drovandi Dan Li Haoyuan Wang Martin Magris Alexandros Iosifidis Richard Gerlach Slawek Smyl Kasun Bandara Yasin Şimşek Ruy M. Ribeiro Rafael Alves Diego S. de Brito Andrew J. Patton Darjus Hosszejni Trong Nghia-Nguyen Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 54)
Modeling and forecasting intraday spot volatility
published 2025 · International Journal of Forecasting · first circulated 2024
Gasoline prices, gasoline price expectations, and inflation expectations in the United States
published 2025 · Energy Economics · 4 citations
with Puneet Vatsa, Gabriel Pino
Tail risk dynamics of banks with score-driven extreme value models
published 2025 · Journal of Empirical Finance · 1 citations
with Fernanda Fuentes, Rodrigo Herrera
Forecasting retail fuel prices with spatial interdependencies
published 2024 · Economics Letters
with Jesús Otero
Predicting directional volatility: HAR model with machine learning integration
published 2024 · Applied Economics Letters
with Xiaodu Xie
Forecast combination puzzle in the HAR model
published 2023 · Journal of Forecasting · 7 citations · first circulated 2021
Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis
published 2023 · Global Finance Journal · 2 citations
with Ruolin Wang, Anup K. Basu
Outlier-robust methods for forecasting realized covariance matrices
published 2023 · International Journal of Forecasting · 1 citations
A Bayesian approach for more reliable tail risk forecasts
published 2022 · Journal of Financial Stability · 9 citations
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes
published 2022 · Journal of Financial Econometrics · 1 citations
with Stan Hurn, K. A. Lindsay, Vladimir Volkov
Forecasting extreme financial risk: A score-driven approach
published 2022 · International Journal of Forecasting · 17 citations
with Fernanda Fuentes, Rodrigo Herrera
Facial expressions and the business cycle
published 2021 · Economic Modelling · 3 citations
with J. Daniel Aromí
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility
published 2021 · Journal of Forecasting · 7 citations
with Yin Liao, Yusui Tang
published 2020 · Econometrics and Statistics · 12 citations · first circulated 2019
Combining multivariate volatility forecasts using weighted losses
published 2020 · Journal of Forecasting · 2 citations · first circulated 2018
with Mark Doolan
Firm-specific information and systemic risk
published 2019 · Economic Modelling · 7 citations
with Yin Liao
Which oil shocks really matter in equity markets?
published 2019 · Energy Economics · 52 citations
with Cody Shield, Stephen Thiele
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil
published 2019 · Energy Economics · 47 citations
with J. Daniel Aromí
A Practical Guide to Harnessing the HAR Volatility Model
published 2019 · Journal of Banking & Finance · 25 citations
A marked point process model for intraday financial returns: modeling extreme risk
published 2018 · Empirical Economics · 6 citations
with Rodrigo Herrera
Modeling extreme risks in commodities and commodity currencies
published 2018 · Pacific-Basin Finance Journal · 14 citations · first circulated 2016
with Fernanda Fuentes, Rodrigo Herrera
A dynamic multiple equation approach for forecasting PM 2 . 5 pollution in Santiago, Chile
published 2018 · International Journal of Forecasting · 64 citations
with Stella Moisan, Rodrigo Herrera
Volatility-dependent correlations: further evidence of when, where and how
published 2018 · Empirical Economics · 6 citations
with Ayesha Scott, Annastiina Silvennoinen
The volatility-volume relationship in the LME futures market for industrial metals
published 2018 · Resources Policy · 14 citations
with Neda Todorova
Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach
published 2018 · The North American Journal of Economics and Finance · 2 citations
with Rodrigo Herrera, Sergio González
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns
published 2018 · Econometrics · 1 citations
with Ralf Becker, Robert O’Neill
Point process models for extreme returns: Harnessing implied volatility
published 2017 · Journal of Banking & Finance · 31 citations · first circulated 2015
with Rodrigo Herrera
Forecasting quantiles of day-ahead electricity load
published 2017 · Energy Economics · 32 citations
with Zhetong Li, Stan Hurn
Forecasting the variance of stock index returns using jumps and cojumps
published 2017 · International Journal of Forecasting · 52 citations
with Yin Liao
An empirical investigation of herding in the U.S. stock market
published 2017 · Economic Modelling · 69 citations
The Effect of Transmission Constraints on Electricity Prices
published 2016 · The Energy Journal · 12 citations
with Stan Hurn, LI Zi-li
Strategic bidding and rebidding in electricity markets
published 2016 · Energy Economics · 37 citations
with Stan Hurn, Zhetong Li
Common trends in global volatility
published 2016 · Journal of International Money and Finance · 8 citations
with Stan Hurn, Vladimir Volkov
Forecasting day-ahead electricity load using a multiple equation time series approach
published 2015 · European Journal of Operational Research · 113 citations
with Stan Hurn, Zhetong Li, Zili Li
Modelling interregional links in electricity price spikes
published 2015 · Energy Economics · 62 citations
with Rodrigo Herrera, Stan Hurn
On the Benefits of Equicorrelation for Portfolio Allocation
published 2015 · Journal of Forecasting · 19 citations · first circulated 2013
with Ayesha Scott, Annastiina Silvennoinen
Information Flow, Trading Activity and Commodity Futures Volatility
published 2015 · Journal of Futures Markets · 25 citations
with Neda Todorova
Volatility transmission in global financial markets
published 2014 · Journal of Empirical Finance · 52 citations
with Stan Hurn, Vladimir Volkov
Are lifecycle funds appropriate as default options in participant-directed retirement plans?
published 2014 · Economics Letters · 6 citations
with Anup K. Basu, En Te Chen
Selecting volatility forecasting models for portfolio allocation purposes
published 2014 · International Journal of Forecasting · 60 citations · first circulated 2012
with Ralf Becker, Mark Doolan, Stan Hurn
Volatility timing: How best to forecast portfolio exposures
published 2013 · Journal of Empirical Finance · 27 citations · first circulated 2011
with Annastiina Silvennoinen
Semi‐parametric Forecasting of Spikes in Electricity Prices
published 2013 · Economic Record · 18 citations
with Joanne Fuller, Stan Hurn
Modeling electricity price events as point processes
published 2013 · The Journal of Energy Markets · 1 citations
with Ralf Becker, Wan Nur Rahini Aznie Zainudin
Semi-Parametric Forecasting of Realized Volatility
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 9 citations
with Ralf Becker, Stan Hurn
The jump component of S&P 500 volatility and the VIX index
published 2008 · Journal of Banking & Finance · 142 citations
with Ralf Becker, Andrew McClelland
Do common volatility models capture cyclical behaviour in volatility?
published 2008 · Applied Financial Economics · 2 citations
with Jérôme Collet
Are combination forecasts of S&P 500 volatility statistically superior?
published 2007 · International Journal of Forecasting · 95 citations
with Ralf Becker
S&P 500 implied volatility and monetary policy announcements
published 2007 · Finance research letters · 98 citations
with En-Te Chen, En Te Chen
Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
published 2007 · Journal of Banking & Finance · 11 citations
with Ralf Becker, Scott I. White
Mixture distribution‐based forecasting using stochastic volatility models
published 2006 · Applied Stochastic Models in Business and Industry
with Stan Hurn, Scott I. White
On the informational efficiency of S&P500 implied volatility
published 2005 · The North American Journal of Economics and Finance · 78 citations
with Ralf Becker, Scott I. White
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
published 2004 · Econometric Society 2004 Australasian Meetings · 3 citations
with Scott I. White, Stan Hurn
no link
Mobius-Like Mappings and Their Use in Kernel Density Estimation
published 2003 · Journal of the American Statistical Association · 4 citations
with Stan Hurn, K. A. Lindsay
Modelling Price Dynamics as the Outcome of Interaction Between Heterogenous Agents
published 2001 · Natural Product Reports
with Stan Hurn
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