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The jump component of S&P 500 volatility and the VIX index
Becker, Ralf; Clements, Adam; McClelland, Andrew - In: Journal of banking & finance 33 (2009) 6, pp. 1033-1038
Persistent link: https://www.econbiz.de/10003841865
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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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HACking at non-linearity : evidence from stocks and bonds
Bianchi, Robert J. (contributor); Clements, Adam (contributor) - 2009
Persistent link: https://www.econbiz.de/10003799348
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549
Persistent link: https://www.econbiz.de/10003522977
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S&P 500 implied volatility and monetary policy announcements
Chen, En-Te John; Clements, Adam - In: Finance research letters 4 (2007) 4, pp. 227-232
Persistent link: https://www.econbiz.de/10003702504
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Are combination forecasts of S&P 500 volatility statistically superior?
Becker, Ralf; Clements, Adam - In: International journal of forecasting 24 (2008) 1, pp. 122-133
Persistent link: https://www.econbiz.de/10003661257
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An empirical investigation of herding in the U.S. stock market
Clements, Adam; Hurn, Stan; Shi, Shuping - In: Economic modelling 67 (2017), pp. 184-192
Persistent link: https://www.econbiz.de/10011813808
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A semi-parametric point process model of the interactions between equity markets
Clements, Adam; Hurn, Stan; Lindsay, Kenneth A.; … - 2017
Persistent link: https://www.econbiz.de/10011710921
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What drives volatility of the US oil and gas firms?
Lyócsa, Štefan; Todorova, Neda - In: Energy economics 100 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012990237
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Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures
Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255
Persistent link: https://www.econbiz.de/10011665641