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A practical guide to harnessing the HAR volatility model
Clements, Adam; Preve, Daniel P. A. - 2019
Persistent link: https://www.econbiz.de/10012431202
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A practical guide to harnessing the HAR volatility model
Clements, Adam; Preve, Daniel P. A. - In: Journal of banking & finance 133 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
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Non-linear filtering with state dependant transition probabilities : a threshold (size effect) SV model
Clements, Adam; White, Scott - 2005
Persistent link: https://www.econbiz.de/10002803637
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Non-linear filtering for stochastic volatility models with heavy tails and leverage
Clements, Adam; White, Scott I. - 2005
Persistent link: https://www.econbiz.de/10002803655
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Forecast combination puzzle in the HAR model
Clements, Adam; Vasnev, Andrey L. - 2021
Persistent link: https://www.econbiz.de/10012940044
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Volatility and the role of order book structure
Becker, Ralf; Clements, Adam - 2010
Persistent link: https://www.econbiz.de/10008668670
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A Cholesky-MIDAS model for predicting stock portfolio volatility
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008668675
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Portfolio allocation : getting the most out of realised volatility
Clements, Adam; Silvennoinen, Annastiina - 2010 - Rev.
Persistent link: https://www.econbiz.de/10003978951
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A cholesky-MIDAS model for predicting stock portfolio volatility
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008648672
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Volatility timing and portfolio selection : how best to forecast volatility
Clements, Adam; Silvennoinen, Annastiina - 2011
Persistent link: https://www.econbiz.de/10009405949