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Information about:
Adam Clements

Personal Details | Affiliation | Works
This is information that was supplied by Adam Clements in registering through RePEc. If you are Adam Clements , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

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

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]

  2. Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2009. "On the efficacy of techniques for evaluating multivariate volatility forecasts," NCER Working Paper Series 41, National Centre for Econometric Research. [Downloadable!]

  3. 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. [Downloadable!]

  4. 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. [Downloadable!]

  5. Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research. [Downloadable!]

  6. 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. [Downloadable!]

  7. 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. [Downloadable!]
    Published as:

  8. 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. [Downloadable!]

  9. 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. [Downloadable!]

  10. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research. [Downloadable!]

  11. 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. [Downloadable!]
    Published as:

  12. 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. [Downloadable!]

  13. 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. [Downloadable!]

  14. 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. [Downloadable!]

  15. 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. [Downloadable!]

  16. 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. [Downloadable!]

  17. 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. [Downloadable!]

  18. 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. [Downloadable!]

  19. 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. [Downloadable!]

  20. 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. [Downloadable!]

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. Adam Clements & Jérôme Collet, 2008. "Do common volatility models capture cyclical behaviour in volatility?," Applied Financial Economics, Taylor and Francis Journals, vol. 18(7), pages 599-604. [Downloadable!] (restricted)

  3. 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. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)

  5. 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. [Downloadable!] (restricted)

  6. 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. [Downloadable!] (restricted)

  7. 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. [Downloadable!] (restricted)

NEP Fields

18 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 (10) 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 Author is listed
  3. NEP-ETS: Econometric Time Series (11) 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 Author is listed
  4. NEP-FIN: Finance (2) 2004-10-30 2004-10-30
  5. NEP-FMK: Financial Markets (2) 2008-08-21 2009-07-03
  6. NEP-FOR: Forecasting (7) 2007-06-02 2007-06-23 2007-06-23 2008-08-21 2009-03-22 2009-07-03 2009-09-26 Author is listed
  7. NEP-MAC: Macroeconomics (1) 2007-06-23
  8. NEP-RMG: Risk Management (4) 2004-10-30 2007-06-11 2007-06-23 2008-08-21
  9. NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26
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This page was last updated on 2009-11-6.

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