Andrew Patton
Names
| first: |
Andrew |
| last: |
Patton |
Identifer
Contact
| homepage: |
http://econ.duke.edu/~ap172 |
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| postal address: |
Department of Economics
Duke University
213 Social Sciences Building
Durham NC 27708-0097
USA |
Affiliations
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Duke University
/ Department of Economics (weight: 90%)
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London School of Economics (LSE)
/ Financial Markets Group (FMG) (weight: 5%)
Research profile
author of:
- The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast (RePEc:aah:create:2008-54)
by Andrew J. Patton & Allan Timmermann - Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions (RePEc:aah:create:2015-02)
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang - Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting (RePEc:aah:create:2015-14)
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg - Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions (RePEc:aah:create:2016-10)
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg - Copulas in Econometrics (RePEc:anr:reveco:v:6:y:2014:p:179-200)
by Yanqin Fan & Andrew J. Patton - Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) (RePEc:arx:papers:1707.05108)
by Andrew J. Patton & Johanna F. Ziegel & Rui Chen - Testing for Unobserved Heterogeneity via k-means Clustering (RePEc:arx:papers:1907.07582)
by Andrew J. Patton & Brian M. Weller - Testing Forecast Rationality for Measures of Central Tendency (RePEc:arx:papers:1910.12545)
by Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt - Generalized Autoregressive Score Trees and Forests (RePEc:arx:papers:2305.18991)
by Andrew J. Patton & Yasin Simsek - Testing Forecast Optimality Under Unknown Loss (RePEc:bes:jnlasa:v:102:y:2007:m:december:p:1172-1184)
by Patton, Andrew J. & Timmermann, Allan - Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach (RePEc:bes:jnlbes:v:29:i:3:y:2011:p:397-410)
by Patton, Andrew J. & Timmermann, Allan - Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System (RePEc:bla:finrev:v:35:y:2000:i:1:p:29-48)
by Kearney, Colm & Patton, Andrew J - On the High-Frequency Dynamics of Hedge Fund Risk Exposures (RePEc:bla:jfinan:v:68:y:2013:i:2:p:597-635)
by Andrew J. Patton & Tarun Ramadorai - Change You Can Believe In? Hedge Fund Data Revisions (RePEc:bla:jfinan:v:70:y:2015:i:3:p:963-999)
by Andrew J. Patton & Tarun Ramadorai & Michael Streatfield - Change You Can Believe In? Hedge Fund Data Revisions: Erratum (RePEc:bla:jfinan:v:70:y:2015:i:4:p:1862-1862)
by Andrew J. Patton & Tarun Ramadorai & Michael Streatfield - Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (RePEc:cdl:ucsdec:qt01q7j1s2)
by Patton, Andrew J - Common Factors in Conditional Distributions (RePEc:cdl:ucsdec:qt3bd1n1x5)
by Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J - Estimation of Copula Models for Time Series of Possibly Different Length (RePEc:cdl:ucsdec:qt3fc1c8hw)
by Patton, Andrew J - Impacts of Trades in an Error-Correction Model of Quote Prices (RePEc:cdl:ucsdec:qt6dm6093f)
by Engle, Robert F & Patton, Andrew J - Testable Implications of Forecast Optimality (RePEc:cep:stiecm:485)
by Andrew J. Patton & Allan Timmermann - The Impact of Hedge Funds on Asset Markets (RePEc:cpr:ceprdp:10151)
by Patton, Andrew & Kruttli, Mathias - Properties of Optimal Forecasts (RePEc:cpr:ceprdp:4037)
by Timmermann, Allan & Patton, Andrew - Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts (RePEc:cpr:ceprdp:6526)
by Timmermann, Allan & Patton, Andrew - On the Dynamics of Hedge Fund Risk Exposures (RePEc:cpr:ceprdp:7780)
by Patton, Andrew - Forecast Rationality Tests Based on Multi-Horizon Bounds (RePEc:cpr:ceprdp:8194)
by Timmermann, Allan & Patton, Andrew - On the High-Frequency Dynamics of Hedge Fund Risk Exposures (RePEc:cpr:ceprdp:8479)
by Patton, Andrew - Change You Can Believe In? Hedge Fund Data Revisions (RePEc:cpr:ceprdp:8898)
by Patton, Andrew & Streatfield, Michael - Asymptotic Inference about Predictive Accuracy Using High Frequency Data (RePEc:duk:dukeec:13-26)
by Jia Li & Andrew J. Patton - The Impact of Hedge Funds on Asset Markets (RePEc:duk:dukeec:13-27)
by Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai - Dynamic Copula Models and High Frequency Data (RePEc:duk:dukeec:13-28)
by Irving Arturo De Lira Salvatierra & Andrew J. Patton - Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions (RePEc:duk:dukeec:13-29)
by Tim Bollerslev & Andrew J. Patton & Wang Wenjing - Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads (RePEc:duk:dukeec:13-30)
by Dong Hwan Oh & Andrew J. Patton - Properties of Optimal Forecasts (RePEc:ecm:nawm04:234)
by Allan Timmermann & Andrew J. Patton - Copula Methods for Forecasting Multivariate Time Series (RePEc:eee:ecofch:2-899)
by Patton, Andrew - Equity clusters through the lens of realized semicorrelations (RePEc:eee:ecolet:v:211:y:2022:i:c:s016517652100478x)
by Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe - Common factors in conditional distributions for bivariate time series (RePEc:eee:econom:v:132:y:2006:i:1:p:43-57)
by Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J. - Properties of optimal forecasts under asymmetric loss and nonlinearity (RePEc:eee:econom:v:140:y:2007:i:2:p:884-918)
by Patton, Andrew J. & Timmermann, Allan - Volatility forecast comparison using imperfect volatility proxies (RePEc:eee:econom:v:160:y:2011:i:1:p:246-256)
by Patton, Andrew J. - Data-based ranking of realised volatility estimators (RePEc:eee:econom:v:161:y:2011:i:2:p:284-303)
by Patton, Andrew J. - Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (RePEc:eee:econom:v:187:y:2015:i:1:p:293-311)
by Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin - Exploiting the errors: A simple approach for improved volatility forecasting (RePEc:eee:econom:v:192:y:2016:i:1:p:1-18)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - High-dimensional copula-based distributions with mixed frequency data (RePEc:eee:econom:v:193:y:2016:i:2:p:349-366)
by Oh, Dong Hwan & Patton, Andrew J. - Asymptotic inference about predictive accuracy using high frequency data (RePEc:eee:econom:v:203:y:2018:i:2:p:223-240)
by Li, Jia & Patton, Andrew J. - Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (RePEc:eee:econom:v:207:y:2018:i:1:p:71-91)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - Dynamic semiparametric models for expected shortfall (and Value-at-Risk) (RePEc:eee:econom:v:211:y:2019:i:2:p:388-413)
by Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui - Multivariate leverage effects and realized semicovariance GARCH models (RePEc:eee:econom:v:217:y:2020:i:2:p:411-430)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - From zero to hero: Realized partial (co)variances (RePEc:eee:econom:v:231:y:2022:i:2:p:348-360)
by Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier - Dynamic copula models and high frequency data (RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135)
by De Lira Salvatierra, Irving & Patton, Andrew J. - Impacts of trades in an error-correction model of quote prices (RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25)
by Engle, Robert F. & Patton, Andrew J. - Optimal combinations of realised volatility estimators (RePEc:eee:intfor:v:25:y:2009:i:2:p:218-238)
by Patton, Andrew J. & Sheppard, Kevin - What you see is not what you get: The costs of trading market anomalies (RePEc:eee:jfinec:v:137:y:2020:i:2:p:515-549)
by Patton, Andrew J. & Weller, Brian M. - Realized semibetas: Disentangling “good” and “bad” downside risks (RePEc:eee:jfinec:v:144:y:2022:i:1:p:227-246)
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier - Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (RePEc:eee:jfinec:v:98:y:2010:i:3:p:605-625)
by Patton, Andrew J. & Timmermann, Allan - A review of copula models for economic time series (RePEc:eee:jmvana:v:110:y:2012:i:c:p:4-18)
by Patton, Andrew J. - Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion (RePEc:eee:moneco:v:57:y:2010:i:7:p:803-820)
by Patton, Andrew J. & Timmermann, Allan - Does beta move with news? Systematic risk and firm-specific information flows (RePEc:ehl:lserod:24421)
by Patton, Andrew J. & Verardo, Michela - Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates (RePEc:ehl:lserod:24681)
by Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J. - Are "market neutral" hedge funds really market neutral? (RePEc:ehl:lserod:24819)
by Patton, Andrew J. - Common factors in conditional distributions for Bivariate time series (RePEc:ehl:lserod:24854)
by Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J. - On the out-of-sample importance of skewness and asymetric dependence for asset allocation (RePEc:ehl:lserod:24951)
by Patton, Andrew J. - Testable implications of forecast optimality (RePEc:ehl:lserod:6834)
by Patton, Andrew J. & Timmermann, Allan - High-Dimensional Copula-Based Distributions with Mixed Frequency Data (RePEc:fip:fedgfe:2015-50)
by Dong Hwan Oh & Andrew J. Patton - Modelling Dependence in High Dimensions with Factor Copulas (RePEc:fip:fedgfe:2015-51)
by Dong Hwan Oh & Andrew J. Patton - Dynamic Factor Copula Models with Estimated Cluster Assignments (RePEc:fip:fedgfe:2021-29)
by Dong Hwan Oh & Andrew J. Patton - Better the Devil You Know: Improved Forecasts from Imperfect Models (RePEc:fip:fedgfe:2021-71)
by Dong Hwan Oh & Andrew J. Patton - (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation (RePEc:fmg:fmgdps:dp431)
by Andrew Patton - Common factors in conditional distributions for Bivariate time series (RePEc:fmg:fmgdps:dp455)
by Timo Terasvirta & Clive W.J Granger & Andrew Patton - (IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (RePEc:fmg:fmgdps:dp483)
by Yanqin Fan & Xiaohong Chen & Andrew Patton - (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? (RePEc:fmg:fmgdps:dp522)
by Andrew Patton - Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows (RePEc:fmg:fmgdps:dp630)
by Michela Verardo & Andrew Patton - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Common factors in conditional distributions (RePEc:hhs:hastef:0515)
by Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J. - Modelling Asymmetric Exchange Rate Dependence (RePEc:ier:iecrev:v:47:y:2006:i:2:p:527-556)
by Andrew J. Patton - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Estimation of multivariate models for time series of possibly different lengths (RePEc:jae:japmet:v:21:y:2006:i:2:p:147-173)
by Andrew J. Patton - Introduction to the 2016 Hal White Memorial Lecture (RePEc:oup:jfinec:v:15:y:2017:i:3:p:331-332.)
by The Managing Co-Editors & Federico M. Bandi & Andrew J. Patton - Editorial (RePEc:oup:jfinec:v:16:y:2018:i:4:p:523-525.)
by Federico M Bandi & Andrew J Patton - Farewell Editorial (RePEc:oup:jfinec:v:17:y:2019:i:3:p:339-340.)
by Federico M Bandi & Andrew J Patton - On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168)
by Andrew J. Patton - The Impact of Hedge Funds on Asset Markets (RePEc:oup:rasset:v:5:y:2015:i:2:p:185-226.)
by Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai - Are "Market Neutral" Hedge Funds Really Market Neutral? (RePEc:oup:rfinst:v:22:y:2009:i:7:p:2295-2330)
by Andrew J. Patton - Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability (RePEc:oup:rfinst:v:25:y:2012:i:9:p:2789-2839)
by Andrew J. Patton & Michela Verardo - Risk Price Variation: The Missing Half of Empirical Asset Pricing (RePEc:oup:rfinst:v:35:y:2022:i:11:p:5127-5184.)
by Andrew J Patton & Brian M Weller - Copula-Based Models for Financial Time Series (RePEc:oxf:wpaper:2008fe21)
by Andrew J. Patton - Evaluating Volatility and Correlation Forecasts (RePEc:oxf:wpaper:2008fe22)
by Kevin Sheppard & Andrew J. Patton - Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (RePEc:oxf:wpaper:645)
by Kevin Sheppard & Lily Liu & Andrew J. Patton - Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter (RePEc:oxf:wpaper:909)
by Sander Barendse & Andrew J. Patton - Copula-Based Models for Financial Time Series (RePEc:sbs:wpsefe:2008fe21)
by Andrew J. Patton - Evaluating Volatility and Correlation Forecasts (RePEc:sbs:wpsefe:2008fe22)
by Andrew J. Patton & Kevin Sheppard - Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White (RePEc:taf:emetrv:v:28:y:2009:i:4:p:372-375)
by Andrew Patton & Dimitris Politis & Halbert White - Simulated Method of Moments Estimation for Copula-Based Multivariate Models (RePEc:taf:jnlasa:v:108:y:2013:i:502:p:689-700)
by Dong Hwan Oh & Andrew J. Patton - Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach (RePEc:taf:jnlbes:v:29:y:2011:i:3:p:397-410)
by Andrew J. Patton & Allan Timmermann - Forecast Rationality Tests Based on Multi-Horizon Bounds (RePEc:taf:jnlbes:v:30:y:2011:i:1:p:1-17)
by Andrew J. Patton & Allan Timmermann - Forecast Rationality Tests Based on Multi-Horizon Bounds (RePEc:taf:jnlbes:v:30:y:2012:i:1:p:1-17)
by Andrew Patton & Allan Timmermann - Rejoinder (RePEc:taf:jnlbes:v:30:y:2012:i:1:p:36-40)
by Andrew J. Patton & Allan Timmermann - Comment (RePEc:taf:jnlbes:v:33:y:2015:i:1:p:22-24)
by Andrew J. Patton - Modeling Dependence in High Dimensions With Factor Copulas (RePEc:taf:jnlbes:v:35:y:2017:i:1:p:139-154)
by Dong Hwan Oh & Andrew J. Patton - Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (RePEc:taf:jnlbes:v:36:y:2018:i:2:p:181-195)
by Dong Hwan Oh & Andrew J. Patton - Comparing Possibly Misspecified Forecasts (RePEc:taf:jnlbes:v:38:y:2020:i:4:p:796-809)
by Andrew J. Patton - Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1057-1069)
by Sander Barendse & Andrew J. Patton - Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:683-694)
by Sílvia Gonçalves & Ulrich Hounyo & Andrew J. Patton & Kevin Sheppard - Testing for Unobserved Heterogeneity via k-means Clustering (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:737-751)
by Andrew J. Patton & Brian M. Weller - What good is a volatility model? (RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245)
by R. F. Engle & A. J. Patton - Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (RePEc:tpr:restat:v:97:y:2015:i:2:p:683-697)
by Andrew J. Patton & Kevin Sheppard - Volatility Forecast Comparison using Imperfect Volatility Proxies (RePEc:uts:rpaper:175)
by Andrew Patton - Realized Semicovariances (RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551)
by Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg - Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models (RePEc:wly:emjrnl:v:19:y:2016:i:1:p:ci-cii)
by Andrew J. Patton & Richard J. Smith - Estimation of multivariate models for time series of possibly different lengths (RePEc:wly:japmet:v:21:y:2006:i:2:p:147-173)
by Andrew J. Patton - Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions (RePEc:wly:japmet:v:31:y:2016:i:6:p:1005-1025)
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang - A consistent specification test for dynamic quantile models (RePEc:wly:quante:v:13:y:2022:i:1:p:125-151)
by Peter Horvath & Jia Li & Zhipeng Liao & Andrew J. Patton - Testing forecast rationality for measures of central tendency (RePEc:zbw:hohdps:122020)
by Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W.