Adam Clements

Queensland University of Technology - School of Economics and Finance

GPO Box 2434

2 George Street

Brisbane, Queensland 4001

Australia

Queensland University of Technology - QUT Centre for Data Science

2 George Street

Brisbane, Queensland 4000

Australia

http://https://research.qut.edu.au/qutcds/

SCHOLARLY PAPERS

7

DOWNLOADS

762

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

A Practical Guide to Harnessing the HAR Volatility Model

Journal of Banking and Finance, Forthcoming
Number of pages: 57 Posted: 08 May 2019 Last Revised: 11 Aug 2021
Adam Clements and Daniel P. A. Preve
Queensland University of Technology - School of Economics and Finance and Singapore Management University
Downloads 542 (71,658)
Citation 3

Abstract:

Loading...

Volatility forecasting, realized variance, HAR, HARQ, robust regression, weighted least squares, Box-Cox transformation, forecast comparisons, QLIKE, MSE, VaR, model confidence set

2.

Moderate and Extreme Volatility: Do the Magnitude of Returns Matter for Forecasting?

Number of pages: 21 Posted: 19 Sep 2019
Adam Clements and Rodrigo Herrera
Queensland University of Technology - School of Economics and Finance and University of Talca
Downloads 97 (365,600)

Abstract:

Loading...

Realized volatility, HAR model, moderate volatility, extreme volatility, forecasting

3.

Reducing the Risk in Tail Risk Forecasting Models

Number of pages: 35 Posted: 18 Feb 2021
Adam Clements, Chris Drovandi and Dan Li
Queensland University of Technology - School of Economics and Finance, Queensland University of Technology - QUT Centre for Data Science and Queensland University of Technology - QUT Centre for Data Science
Downloads 52 (510,199)

Abstract:

Loading...

CAViaR, Value-at-Risk, Expected shortfall, Sequential Monte Carlo, Uncertainty quantification, Bayesian inference

4.

Forecast combination puzzle in the HAR model

Number of pages: 18 Posted: 08 Jul 2021
Adam Clements and Andrey L. Vasnev
Queensland University of Technology - School of Economics and Finance and University of Sydney
Downloads 37 (581,952)

Abstract:

Loading...

Realized volatility, forecast combination, HAR model

5.

A Network Analysis of PM 2.5 Pollution in Santiago: Which Locations Have the Biggest Impact on Pollution Levels?

Number of pages: 15 Posted: 08 Mar 2020
Rodrigo Herrera, Adam Clements and Stan Hurn
University of Talca, Queensland University of Technology - School of Economics and Finance and Queensland University of Technology - School of Economics and Finance
Downloads 25 (655,838)

Abstract:

Loading...

Particulate matter, PM 2.5, Santiago, networks

6.

A Time-Series Econometric Framework for Modelling the Distribution of Intraday Rooftop Solar Generation

Number of pages: 24 Posted: 16 Feb 2022
Adam Clements and Benjamin Gould
Queensland University of Technology - School of Economics and Finance and Queensland University of Technology
Downloads 9 (787,156)

Abstract:

Loading...

Solar, photovoltaic, PV, GARCH, volatility, distribution

7.

Semiā€Parametric Forecasting of Spikes in Electricity Prices

Economic Record, Vol. 89, Issue 287, pp. 508-521, 2013
Number of pages: 14 Posted: 28 Nov 2013
Adam Clements, Joanne Fuller and Stan Hurn
Queensland University of Technology - School of Economics and Finance, Queensland University of Technology - School of Economics and Finance and Queensland University of Technology - School of Economics and Finance
Downloads 0 (890,735)

Abstract:

Loading...