Andrew Patton
Personal Details
First Name: | Andrew |
Middle Name: | |
Last Name: | Patton |
Suffix: | |
RePEc Short-ID: | ppa34 |
[This author has chosen not to make the email address public] | |
http://econ.duke.edu/~ap172 | |
Department of Economics Duke University 213 Social Sciences Building Durham NC 27708-0097 USA | |
Terminal Degree: | 2002 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
(90%) Department of Economics
Duke University
Durham, North Carolina (United States)http://www.econ.duke.edu/
RePEc:edi:dedukus (more details at EDIRC)
(5%) Financial Markets Group (FMG)
London School of Economics (LSE)
London, United Kingdomhttp://fmg.lse.ac.uk/
RePEc:edi:fmlseuk (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
- 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, 2021.
"Non-Standard Errors,"
Working Papers
2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dong Hwan Oh & Andrew J. Patton, 2021. "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series 2021-071, Board of Governors of the Federal Reserve System (U.S.).
- Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
- Sander Barendse & Andrew J. Patton, 2020.
"Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter,"
Economics Series Working Papers
909, University of Oxford, Department of Economics.
- Sander Barendse & Andrew J. Patton, 2022. "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1057-1069, June.
- Andrew J. Patton & Brian M. Weller, 2019.
"Testing for Unobserved Heterogeneity via k-means Clustering,"
Papers
1907.07582, arXiv.org.
- Andrew J. Patton & Brian M. Weller, 2023. "Testing for Unobserved Heterogeneity via k-means Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 737-751, July.
- Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019.
"Testing Forecast Rationality for Measures of Central Tendency,"
Papers
1910.12545, arXiv.org, revised Jul 2024.
- Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W., 2020. "Testing forecast rationality for measures of central tendency," Hohenheim Discussion Papers in Business, Economics and Social Sciences 12-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017.
"Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk),"
Papers
1707.05108, arXiv.org.
- Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016.
"Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions,"
CREATES Research Papers
2016-10, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
- Dong Hwan Oh & Andrew J. Patton, 2015.
"Modelling Dependence in High Dimensions with Factor Copulas,"
Finance and Economics Discussion Series
2015-51, Board of Governors of the Federal Reserve System (U.S.).
- Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015.
"Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting,"
CREATES Research Papers
2015-14, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
- Dong Hwan Oh & Andrew J. Patton, 2015.
"High-Dimensional Copula-Based Distributions with Mixed Frequency Data,"
Finance and Economics Discussion Series
2015-50, Board of Governors of the Federal Reserve System (U.S.).
- Oh, Dong Hwan & Patton, Andrew J., 2016. "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
- Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015.
"Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions,"
CREATES Research Papers
2015-02, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
- Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
- Patton, Andrew & Kruttli, Mathias, 2014.
"The Impact of Hedge Funds on Asset Markets,"
CEPR Discussion Papers
10151, C.E.P.R. Discussion Papers.
- Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015. "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 185-226.
- Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers 13-27, Duke University, Department of Economics.
- Jia Li & Andrew J. Patton, 2013.
"Asymptotic Inference about Predictive Accuracy Using High Frequency Data,"
Working Papers
13-27, Duke University, Department of Economics.
- Li, Jia & Patton, Andrew J., 2018. "Asymptotic inference about predictive accuracy using high frequency data," Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
- Dong Hwan Oh & Andrew J. Patton, 2013.
"Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads,"
Working Papers
13-30, Duke University, Department of Economics.
- Dong Hwan Oh & Andrew J. Patton, 2018. "Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 181-195, April.
- Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013.
"Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes,"
Economics Series Working Papers
645, University of Oxford, Department of Economics.
- Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
- Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013.
"Dynamic Copula Models and High Frequency Data,"
Working Papers
13-28, Duke University, Department of Economics.
- De Lira Salvatierra, Irving & Patton, Andrew J., 2015. "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
- Patton, Andrew & Streatfield, Michael, 2012.
"Change You Can Believe In? Hedge Fund Data Revisions,"
CEPR Discussion Papers
8898, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015. "Change You Can Believe In? Hedge Fund Data Revisions," Journal of Finance, American Finance Association, vol. 70(3), pages 963-999, June.
- Timmermann, Allan & Patton, Andrew, 2011.
"Forecast Rationality Tests Based on Multi-Horizon Bounds,"
CEPR Discussion Papers
8194, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
- Andrew Patton & Allan Timmermann, 2012. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17.
- Patton, Andrew, 2011.
"On the High-Frequency Dynamics of Hedge Fund Risk Exposures,"
CEPR Discussion Papers
8479, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
- Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
- Patton, Andrew J. & Verardo, Michela, 2009.
"Does beta move with news? Systematic risk and firm-specific information flows,"
LSE Research Online Documents on Economics
24421, London School of Economics and Political Science, LSE Library.
- Michela Verardo & Andrew Patton, 2009. "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers dp630, Financial Markets Group.
- Andrew J. Patton, 2008.
"Copula-Based Models for Financial Time Series,"
Economics Series Working Papers
2008fe21, University of Oxford, Department of Economics.
- Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre.
- Kevin Sheppard & Andrew J. Patton, 2008.
"Evaluating Volatility and Correlation Forecasts,"
Economics Series Working Papers
2008fe22, University of Oxford, Department of Economics.
- Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
- Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, Department of Economics and Business Economics, Aarhus University.
- Timmermann, Allan & Patton, Andrew, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers 6526, C.E.P.R. Discussion Papers.
- Andrew Patton, 2006.
"Volatility Forecast Comparison using Imperfect Volatility Proxies,"
Research Paper Series
175, Quantitative Finance Research Centre, University of Technology, Sydney.
- Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
- Andrew J. Patton & Allan Timmermann, 2005.
"Testable Implications of Forecast Optimality,"
STICERD - Econometrics Paper Series
485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Patton, Andrew J. & Timmermann, Allan, 2005. "Testable implications of forecast optimality," LSE Research Online Documents on Economics 6834, London School of Economics and Political Science, LSE Library.
- Andrew Patton, 2004. "(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?," FMG Discussion Papers dp522, Financial Markets Group.
- Patton, Andrew J., 2004.
"Are "market neutral" hedge funds really market neutral?,"
LSE Research Online Documents on Economics
24819, London School of Economics and Political Science, LSE Library.
- Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
- Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
- Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(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," FMG Discussion Papers dp483, Financial Markets Group.
- Timmermann, Allan & Patton, Andrew, 2003.
"Properties of Optimal Forecasts,"
CEPR Discussion Papers
4037, C.E.P.R. Discussion Papers.
- Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
- Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003.
"Common factors in conditional distributions for Bivariate time series,"
LSE Research Online Documents on Economics
24854, London School of Economics and Political Science, LSE Library.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
- Patton, Andrew J., 2002.
"On the out-of-sample importance of skewness and asymetric dependence for asset allocation,"
LSE Research Online Documents on Economics
24951, London School of Economics and Political Science, LSE Library.
- Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
- Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers dp431, Financial Markets Group.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002.
"Common Factors in Conditional Distributions,"
University of California at San Diego, Economics Working Paper Series
qt3bd1n1x5, Department of Economics, UC San Diego.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," SSE/EFI Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
- Patton, Andrew J, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series qt01q7j1s2, Department of Economics, UC San Diego.
- Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
- Engle, Robert F & Patton, Andrew J, 2000.
"Impacts of Trades in an Error-Correction Model of Quote Prices,"
University of California at San Diego, Economics Working Paper Series
qt6dm6093f, Department of Economics, UC San Diego.
- Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
repec:grz:wpsses:2021-08 is not listed on IDEAS
Articles
- Andrew J. Patton & Brian M. Weller, 2023.
"Testing for Unobserved Heterogeneity via k-means Clustering,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 737-751, July.
- Andrew J. Patton & Brian M. Weller, 2019. "Testing for Unobserved Heterogeneity via k-means Clustering," Papers 1907.07582, arXiv.org.
- Sílvia Gonçalves & Ulrich Hounyo & Andrew J. Patton & Kevin Sheppard, 2023. "Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 683-694, July.
- Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, vol. 231(2), pages 348-360.
- Peter Horvath & Jia Li & Zhipeng Liao & Andrew J. Patton, 2022. "A consistent specification test for dynamic quantile models," Quantitative Economics, Econometric Society, vol. 13(1), pages 125-151, January.
- Andrew J Patton & Brian M Weller, 2022. "Risk Price Variation: The Missing Half of Empirical Asset Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5127-5184.
- Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe, 2022. "Equity clusters through the lens of realized semicorrelations," Economics Letters, Elsevier, vol. 211(C).
- Sander Barendse & Andrew J. Patton, 2022.
"Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1057-1069, June.
- Sander Barendse & Andrew J. Patton, 2020. "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Economics Series Working Papers 909, University of Oxford, Department of Economics.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
- Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
- Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
- Andrew J. Patton, 2020. "Comparing Possibly Misspecified Forecasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 796-809, October.
- Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019.
"Dynamic semiparametric models for expected shortfall (and Value-at-Risk),"
Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
- Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
- Federico M Bandi & Andrew J Patton, 2019. "Farewell Editorial," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 339-340.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018.
"Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
- Federico M Bandi & Andrew J Patton, 2018. "Editorial," Journal of Financial Econometrics, Oxford University Press, vol. 16(4), pages 523-525.
- Li, Jia & Patton, Andrew J., 2018.
"Asymptotic inference about predictive accuracy using high frequency data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
- Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers 13-27, Duke University, Department of Economics.
- Dong Hwan Oh & Andrew J. Patton, 2018.
"Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 181-195, April.
- Dong Hwan Oh & Andrew J. Patton, 2013. "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers 13-30, Duke University, Department of Economics.
- The Managing Co-Editors & Federico M. Bandi & Andrew J. Patton, 2017. "Introduction to the 2016 Hal White Memorial Lecture," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 331-332.
- Dong Hwan Oh & Andrew J. Patton, 2017.
"Modeling Dependence in High Dimensions With Factor Copulas,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
- Dong Hwan Oh & Andrew J. Patton, 2015. "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-51, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016.
"Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
- Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015. "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers 2015-02, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
- Andrew J. Patton & Richard J. Smith, 2016. "Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-1, February.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016.
"Exploiting the errors: A simple approach for improved volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015. "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers 2015-14, Department of Economics and Business Economics, Aarhus University.
- Oh, Dong Hwan & Patton, Andrew J., 2016.
"High-dimensional copula-based distributions with mixed frequency data,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
- Dong Hwan Oh & Andrew J. Patton, 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
- Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015.
"The Impact of Hedge Funds on Asset Markets,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 185-226.
- Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers 13-27, Duke University, Department of Economics.
- Patton, Andrew & Kruttli, Mathias, 2014. "The Impact of Hedge Funds on Asset Markets," CEPR Discussion Papers 10151, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015.
"Change You Can Believe In? Hedge Fund Data Revisions,"
Journal of Finance, American Finance Association, vol. 70(3), pages 963-999, June.
- Patton, Andrew & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015. "Change You Can Believe In? Hedge Fund Data Revisions: Erratum," Journal of Finance, American Finance Association, vol. 70(4), pages 1862-1862, August.
- Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015.
"Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
- Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
- Andrew J. Patton & Kevin Sheppard, 2015. "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 683-697, July.
- De Lira Salvatierra, Irving & Patton, Andrew J., 2015.
"Dynamic copula models and high frequency data,"
Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
- Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
- Andrew J. Patton, 2015. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 22-24, January.
- Yanqin Fan & Andrew J. Patton, 2014. "Copulas in Econometrics," Annual Review of Economics, Annual Reviews, vol. 6(1), pages 179-200, August.
- Andrew J. Patton & Tarun Ramadorai, 2013.
"On the High-Frequency Dynamics of Hedge Fund Risk Exposures,"
Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
- Patton, Andrew, 2011. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 8479, C.E.P.R. Discussion Papers.
- Dong Hwan Oh & Andrew J. Patton, 2013. "Simulated Method of Moments Estimation for Copula-Based Multivariate Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 689-700, June.
- Andrew J. Patton & Allan Timmermann, 2012. "Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 36-40, January.
- Andrew J. Patton & Michela Verardo, 2012. "Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability," The Review of Financial Studies, Society for Financial Studies, vol. 25(9), pages 2789-2839.
- Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
- Andrew J. Patton & Allan Timmermann, 2011.
"Forecast Rationality Tests Based on Multi-Horizon Bounds,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
- Andrew Patton & Allan Timmermann, 2012. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17.
- Timmermann, Allan & Patton, Andrew, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
- Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
- Patton, Andrew J. & Timmermann, Allan, 2011.
"Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 397-410.
- Andrew J. Patton & Allan Timmermann, 2011. "Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 397-410, July.
- Patton, Andrew J., 2011.
"Volatility forecast comparison using imperfect volatility proxies,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
- Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney.
- Patton, Andrew J. & Timmermann, Allan, 2010. "Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 803-820, October.
- Patton, Andrew J. & Timmermann, Allan, 2010. "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 605-625, December.
- Andrew Patton & Dimitris Politis & Halbert White, 2009. "Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 372-375.
- Andrew J. Patton, 2009.
"Are "Market Neutral" Hedge Funds Really Market Neutral?,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
- Patton, Andrew J., 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics 24819, London School of Economics and Political Science, LSE Library.
- Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
- Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
- Patton, Andrew J. & Timmermann, Allan, 2007. "Testing Forecast Optimality Under Unknown Loss," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1172-1184, December.
- Andrew J. Patton, 2006.
"Estimation of multivariate models for time series of possibly different lengths,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
- Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173, March.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006.
"Common factors in conditional distributions for bivariate time series,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003. "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics 24854, London School of Economics and Political Science, LSE Library.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
- Andrew J. Patton, 2004.
"On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
- Patton, Andrew J., 2002. "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics 24951, London School of Economics and Political Science, LSE Library.
- Engle, Robert F. & Patton, Andrew J., 2004.
"Impacts of trades in an error-correction model of quote prices,"
Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
- Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
- R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 237-245.
- Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
Chapters
- Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 29 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (23) 2002-12-10 2003-10-05 2004-12-02 2006-06-03 2007-10-20 2008-03-08 2008-03-08 2008-09-29 2013-03-09 2013-12-29 2013-12-29 2013-12-29 2015-04-02 2015-07-18 2015-07-18 2016-04-23 2017-07-23 2019-07-29 2019-11-04 2020-06-22 2021-06-28 2021-11-29 2023-07-10. Author is listed
- NEP-ETS: Econometric Time Series (17) 2002-12-02 2004-12-02 2006-06-03 2008-03-08 2008-03-08 2013-03-09 2013-12-29 2013-12-29 2013-12-29 2015-04-02 2015-07-18 2015-07-18 2016-04-23 2020-06-22 2021-06-28 2021-11-29 2023-07-10. Author is listed
- NEP-FOR: Forecasting (17) 2006-06-03 2007-10-20 2008-03-08 2008-09-29 2013-03-09 2013-12-29 2013-12-29 2013-12-29 2013-12-29 2015-01-31 2015-04-02 2015-07-18 2016-04-23 2019-11-04 2020-06-22 2020-11-23 2021-11-29. Author is listed
- NEP-ORE: Operations Research (8) 2015-04-02 2015-07-18 2015-07-18 2016-04-23 2020-06-22 2020-11-23 2021-06-28 2021-11-29. Author is listed
- NEP-RMG: Risk Management (8) 2008-03-08 2011-07-21 2013-12-29 2015-07-18 2016-04-23 2017-07-23 2021-11-29 2023-07-10. Author is listed
- NEP-FMK: Financial Markets (4) 2008-03-08 2008-03-08 2013-12-29 2015-01-09
- NEP-MST: Market Microstructure (4) 2011-07-21 2013-03-09 2013-12-29 2013-12-29
- NEP-MAC: Macroeconomics (3) 2007-10-20 2008-09-29 2020-11-23
- NEP-BAN: Banking (2) 2011-07-21 2013-12-29
- NEP-CBA: Central Banking (2) 2007-10-20 2008-09-29
- NEP-URE: Urban and Real Estate Economics (2) 2013-12-29 2015-01-31
- NEP-BEC: Business Economics (1) 2011-07-21
- NEP-BIG: Big Data (1) 2023-07-10
- NEP-CFN: Corporate Finance (1) 2016-04-23
- NEP-CWA: Central and Western Asia (1) 2021-11-29
- NEP-FIN: Finance (1) 2004-12-02
- NEP-IFN: International Finance (1) 2015-01-09
- NEP-MFD: Microfinance (1) 2023-07-10
- NEP-MON: Monetary Economics (1) 2007-10-20
- NEP-UPT: Utility Models and Prospect Theory (1) 2020-06-22
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