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Details about Andrew Patton

E-mail:
Homepage:http://econ.duke.edu/~ap172
Postal address:Department of Economics Duke University 213 Social Sciences Building Durham NC 27708-0097 USA
Workplace:Department of Economics, Duke University, (more information at EDIRC)
Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)
Oxford-Man Institute of Quantitative Finance

Access statistics for papers by Andrew Patton.

Last updated 2017-04-06. Update your information in the RePEc Author Service.

Short-id: ppa34


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Working Papers

2016

  1. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2015

  1. Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Papers, Duke University, Department of Economics (2013) Downloads View citations (2)

    See also Journal Article in Journal of Applied Econometrics (2016)
  2. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Econometrics (2016)
  3. High-Dimensional Copula-Based Distributions with Mixed Frequency Data
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2016)
  4. Modelling Dependence in High Dimensions with Factor Copulas
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

2014

  1. The Impact of Hedge Funds on Asset Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2013) Downloads

2013

  1. Asymptotic Inference about Predictive Accuracy Using High Frequency Data
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
  2. Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2015)
  3. Dynamic Copula Models and High Frequency Data
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of Empirical Finance (2015)
  4. Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
    Working Papers, Duke University, Department of Economics Downloads View citations (19)

2012

  1. Change You Can Believe In? Hedge Fund Data Revisions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Finance (2015)

2011

  1. Forecast Rationality Tests Based on Multi-Horizon Bounds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. On the High-Frequency Dynamics of Hedge Fund Risk Exposures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article in Journal of Finance (2013)

2010

  1. On the Dynamics of Hedge Fund Risk Exposures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)

2009

  1. Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads

2008

  1. Copula-Based Models for Financial Time Series
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (13)
  2. Evaluating Volatility and Correlation Forecasts
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (8)
  3. The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)

2007

  1. Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

2006

  1. Volatility Forecast Comparison using Imperfect Volatility Proxies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (41)
    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Testable Implications of Forecast Optimality
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads

2004

  1. (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, Financial Markets Group Downloads View citations (10)
  2. (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?
    FMG Discussion Papers, Financial Markets Group Downloads
  3. Are "market neutral" hedge funds really market neutral?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2009)
  4. Modelling Asymmetric Exchange Rate Dependence
    Working Papers, Warwick Business School, Finance Group Downloads
    See also Journal Article in International Economic Review (2006)
  5. Properties of Optimal Forecasts
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (10)
  6. Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity
    Working Papers, Warwick Business School, Finance Group Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2007)
  7. Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
    Working Papers, Warwick Business School, Finance Group Downloads View citations (10)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (11)

2003

  1. Common factors in conditional distributions for Bivariate time series
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2006)

2002

  1. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation
    FMG Discussion Papers, Financial Markets Group Downloads
  2. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (2)
  3. On the out-of-sample importance of skewness and asymetric dependence for asset allocation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Journal of Financial Econometrics (2004)

2001

  1. Estimation of Copula Models for Time Series of Possibly Different Length
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (10)
  2. Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (22)

2000

  1. Impacts of Trades in an Error-Correction Model of Quote Prices
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (5)
    See also Journal Article in Journal of Financial Markets (2004)

Journal Articles

2016

  1. Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
    Journal of Applied Econometrics, 2016, 31, (6), 1005-1025 Downloads View citations (2)
    See also Working Paper (2015)
  2. Exploiting the errors: A simple approach for improved volatility forecasting
    Journal of Econometrics, 2016, 192, (1), 1-18 Downloads View citations (8)
    See also Working Paper (2015)
  3. High-dimensional copula-based distributions with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 349-366 Downloads View citations (1)
    See also Working Paper (2015)
  4. Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models
    Econometrics Journal, 2016, 19, (1), Ci-Cii Downloads

2015

  1. Change You Can Believe In? Hedge Fund Data Revisions
    Journal of Finance, 2015, 70, (3), 963-999 Downloads
    See also Working Paper (2012)
  2. Change You Can Believe In? Hedge Fund Data Revisions: Erratum
    Journal of Finance, 2015, 70, (4), 1862-1862 Downloads
  3. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 22-24 Downloads
  4. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
    Journal of Econometrics, 2015, 187, (1), 293-311 Downloads View citations (8)
    See also Working Paper (2013)
  5. Dynamic copula models and high frequency data
    Journal of Empirical Finance, 2015, 30, (C), 120-135 Downloads View citations (8)
    See also Working Paper (2013)
  6. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
    The Review of Economics and Statistics, 2015, 97, (3), 683-697 Downloads View citations (16)

2014

  1. Copulas in Econometrics
    Annual Review of Economics, 2014, 6, (1), 179-200 Downloads View citations (2)

2013

  1. On the High-Frequency Dynamics of Hedge Fund Risk Exposures
    Journal of Finance, 2013, 68, (2), 597-635 Downloads View citations (21)
    See also Working Paper (2011)
  2. Simulated Method of Moments Estimation for Copula-Based Multivariate Models
    Journal of the American Statistical Association, 2013, 108, (502), 689-700 Downloads View citations (8)

2012

  1. A review of copula models for economic time series
    Journal of Multivariate Analysis, 2012, 110, (C), 4-18 Downloads View citations (64)
  2. Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
    Review of Financial Studies, 2012, 25, (9), 2789-2839 Downloads View citations (23)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2012, 30, (1), 36-40 Downloads

2011

  1. Data-based ranking of realised volatility estimators
    Journal of Econometrics, 2011, 161, (2), 284-303 Downloads View citations (11)
  2. Forecast Rationality Tests Based on Multi-Horizon Bounds
    Journal of Business & Economic Statistics, 2011, 30, (1), 1-17 Downloads View citations (5)
    See also Working Paper (2011)
  3. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
    Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 Downloads View citations (4)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 (2011) Downloads View citations (5)
  4. Volatility forecast comparison using imperfect volatility proxies
    Journal of Econometrics, 2011, 160, (1), 246-256 Downloads View citations (205)
    See also Working Paper (2006)

2010

  1. Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
    Journal of Financial Economics, 2010, 98, (3), 605-625 Downloads View citations (22)
  2. Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
    Journal of Monetary Economics, 2010, 57, (7), 803-820 Downloads View citations (56)

2009

  1. Are "Market Neutral" Hedge Funds Really Market Neutral?
    Review of Financial Studies, 2009, 22, (7), 2295-2330 Downloads View citations (25)
    See also Working Paper (2004)
  2. Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
    Econometric Reviews, 2009, 28, (4), 372-375 Downloads View citations (20)
  3. Optimal combinations of realised volatility estimators
    International Journal of Forecasting, 2009, 25, (2), 218-238 Downloads View citations (29)

2007

  1. Properties of optimal forecasts under asymmetric loss and nonlinearity
    Journal of Econometrics, 2007, 140, (2), 884-918 Downloads View citations (48)
    See also Working Paper (2004)
  2. Testing Forecast Optimality Under Unknown Loss
    Journal of the American Statistical Association, 2007, 102, 1172-1184 Downloads View citations (57)

2006

  1. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 Downloads View citations (33)
    See also Working Paper (2003)
  2. Estimation of multivariate models for time series of possibly different lengths
    Journal of Applied Econometrics, 2006, 21, (2), 147-173 Downloads View citations (85)
  3. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE
    International Economic Review, 2006, 47, (2), 527-556 Downloads View citations (414)
    See also Working Paper (2004)

2004

  1. Impacts of trades in an error-correction model of quote prices
    Journal of Financial Markets, 2004, 7, (1), 1-25 Downloads View citations (52)
    See also Working Paper (2000)
  2. On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
    Journal of Financial Econometrics, 2004, 2, (1), 130-168 Downloads View citations (125)
    See also Working Paper (2002)

2001

  1. What good is a volatility model?
    Quantitative Finance, 2001, 1, (2), 237-245 Downloads View citations (103)

2000

  1. Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
    The Financial Review, 2000, 35, (1), 29-48 View citations (71)

Chapters

2013

  1. Copula Methods for Forecasting Multivariate Time Series
    Elsevier Downloads View citations (7)
 
Page updated 2017-04-27