Details about Andrew Patton

Access statistics for papers by Andrew Patton.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: ppa34

Working Papers

2024

1. Testing Forecast Rationality for Measures of Central Tendency
   Papers, arXiv.org View citations (1)
   Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2020)

2023

2. Generalized Autoregressive Score Trees and Forests
   Papers, arXiv.org View citations (2)

2022

3. Dynamic Factor Copula Models with Estimated Cluster Assignments
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2021

4. Better the Devil You Know: Improved Forecasts from Imperfect Models
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
5. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

6. Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
   Economics Series Working Papers, University of Oxford, Department of Economics
   See also Journal Article Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (2) (2022)

2019

7. Testing for Unobserved Heterogeneity via k-means Clustering
   Papers, arXiv.org
   See also Journal Article Testing for Unobserved Heterogeneity via k-means Clustering, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (1) (2023)

2017

8. Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
   Papers, arXiv.org View citations (10)
   See also Journal Article Dynamic semiparametric models for expected shortfall (and Value-at-Risk), Journal of Econometrics, Elsevier (2019) View citations (150) (2019)

2016

9. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
   See also Journal Article Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Journal of Econometrics, Elsevier (2018) View citations (57) (2018)

2015

10. Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Working Papers, Duke University, Department of Economics (2013) View citations (2)
    See also Journal Article Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (26) (2016)
11. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, Elsevier (2016) View citations (215) (2016)
12. High-Dimensional Copula-Based Distributions with Mixed Frequency Data
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article High-dimensional copula-based distributions with mixed frequency data, Journal of Econometrics, Elsevier (2016) View citations (31) (2016)
13. Modelling Dependence in High Dimensions with Factor Copulas
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article Modeling Dependence in High Dimensions With Factor Copulas, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (93) (2017)

2014

14. The Impact of Hedge Funds on Asset Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2013)
    See also Journal Article The Impact of Hedge Funds on Asset Markets, The Review of Asset Pricing Studies, Society for Financial Studies (2015) View citations (8) (2015)

2013

15. Asymptotic Inference about Predictive Accuracy Using High Frequency Data
    Working Papers, Duke University, Department of Economics View citations (1)
    See also Journal Article Asymptotic inference about predictive accuracy using high frequency data, Journal of Econometrics, Elsevier (2018) View citations (13) (2018)
16. 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 View citations (16)
    See also Journal Article Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes, Journal of Econometrics, Elsevier (2015) View citations (324) (2015)
17. Dynamic Copula Models and High Frequency Data
    Working Papers, Duke University, Department of Economics View citations (5)
    See also Journal Article Dynamic copula models and high frequency data, Journal of Empirical Finance, Elsevier (2015) View citations (53) (2015)
18. Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
    Working Papers, Duke University, Department of Economics View citations (34)
    See also Journal Article Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (94) (2018)

2012

19. Change You Can Believe In? Hedge Fund Data Revisions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Change You Can Believe In? Hedge Fund Data Revisions, Journal of Finance, American Finance Association (2015) View citations (26) (2015)

2011

20. Forecast Rationality Tests Based on Multi-Horizon Bounds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Forecast Rationality Tests Based on Multi-Horizon Bounds, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (85) (2012)
21. On the High-Frequency Dynamics of Hedge Fund Risk Exposures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article On the High-Frequency Dynamics of Hedge Fund Risk Exposures, Journal of Finance, American Finance Association (2013) View citations (67) (2013)

2010

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

2009

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

2008

24. Copula-Based Models for Financial Time Series
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (24)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (14)
25. Evaluating Volatility and Correlation Forecasts
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (12)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (5)
26. The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)

2007

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

2006

28. Volatility Forecast Comparison using Imperfect Volatility Proxies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (78)
    See also Journal Article Volatility forecast comparison using imperfect volatility proxies, Journal of Econometrics, Elsevier (2011) View citations (748) (2011)

2005

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

2004

30. (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 View citations (10)
31. (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?
    FMG Discussion Papers, Financial Markets Group
32. Are "market neutral" hedge funds really market neutral?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    See also Journal Article Are "Market Neutral" Hedge Funds Really Market Neutral?, The Review of Financial Studies, Society for Financial Studies (2009) View citations (64) (2009)
33. Properties of Optimal Forecasts
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (12)
34. 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, London School of Economics and Political Science, LSE Library View citations (44)

2003

35. Common factors in conditional distributions for Bivariate time series
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003)
    See also Journal Article Common factors in conditional distributions for bivariate time series, Journal of Econometrics, Elsevier (2006) View citations (41) (2006)

2002

36. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation
    FMG Discussion Papers, Financial Markets Group
37. Common factors in conditional distributions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
38. 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
    See also Journal Article On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, Oxford University Press (2004) View citations (303) (2004)

Journal Articles

2023

1. Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
   Journal of Business & Economic Statistics, 2023, 41, (3), 683-694 View citations (3)
2. Testing for Unobserved Heterogeneity via k-means Clustering
   Journal of Business & Economic Statistics, 2023, 41, (3), 737-751 View citations (1)
   See also Working Paper Testing for Unobserved Heterogeneity via k-means Clustering, Papers (2019) (2019)

2022

3. A consistent specification test for dynamic quantile models
   Quantitative Economics, 2022, 13, (1), 125-151 View citations (4)
4. Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
   Journal of Business & Economic Statistics, 2022, 40, (3), 1057-1069 View citations (2)
   See also Working Paper Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter, Economics Series Working Papers (2020) (2020)
5. Equity clusters through the lens of realized semicorrelations
   Economics Letters, 2022, 211, (C)
6. From zero to hero: Realized partial (co)variances
   Journal of Econometrics, 2022, 231, (2), 348-360 View citations (1)
7. Realized semibetas: Disentangling “good” and “bad” downside risks
   Journal of Financial Economics, 2022, 144, (1), 227-246 View citations (1)
8. Risk Price Variation: The Missing Half of Empirical Asset Pricing
   The Review of Financial Studies, 2022, 35, (11), 5127-5184 View citations (5)

2020

9. Comparing Possibly Misspecified Forecasts
   Journal of Business & Economic Statistics, 2020, 38, (4), 796-809 View citations (30)
10. Multivariate leverage effects and realized semicovariance GARCH models
    Journal of Econometrics, 2020, 217, (2), 411-430 View citations (19)
11. Realized Semicovariances
    Econometrica, 2020, 88, (4), 1515-1551 View citations (25)
12. What you see is not what you get: The costs of trading market anomalies
    Journal of Financial Economics, 2020, 137, (2), 515-549 View citations (19)

2019

13. Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
    Journal of Econometrics, 2019, 211, (2), 388-413 View citations (150)
    See also Working Paper Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk), Papers (2017) View citations (10) (2017)
14. Farewell Editorial
    Journal of Financial Econometrics, 2019, 17, (3), 339-340

2018

15. Asymptotic inference about predictive accuracy using high frequency data
    Journal of Econometrics, 2018, 203, (2), 223-240 View citations (13)
    See also Working Paper Asymptotic Inference about Predictive Accuracy Using High Frequency Data, Working Papers (2013) View citations (1) (2013)
16. Editorial
    Journal of Financial Econometrics, 2018, 16, (4), 523-525
17. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
    Journal of Econometrics, 2018, 207, (1), 71-91 View citations (57)
    See also Working Paper Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, CREATES Research Papers (2016) View citations (7) (2016)
18. Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
    Journal of Business & Economic Statistics, 2018, 36, (2), 181-195 View citations (94)
    See also Working Paper Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, Working Papers (2013) View citations (34) (2013)

2017

19. Introduction to the 2016 Hal White Memorial Lecture
    Journal of Financial Econometrics, 2017, 15, (3), 331-332
20. Modeling Dependence in High Dimensions With Factor Copulas
    Journal of Business & Economic Statistics, 2017, 35, (1), 139-154 View citations (93)
    See also Working Paper Modelling Dependence in High Dimensions with Factor Copulas, Finance and Economics Discussion Series (2015) View citations (4) (2015)

2016

21. Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
    Journal of Applied Econometrics, 2016, 31, (6), 1005-1025 View citations (26)
    See also Working Paper Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions, CREATES Research Papers (2015) View citations (4) (2015)
22. Exploiting the errors: A simple approach for improved volatility forecasting
    Journal of Econometrics, 2016, 192, (1), 1-18 View citations (215)
    See also Working Paper Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, CREATES Research Papers (2015) View citations (2) (2015)
23. High-dimensional copula-based distributions with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 349-366 View citations (31)
    See also Working Paper High-Dimensional Copula-Based Distributions with Mixed Frequency Data, Finance and Economics Discussion Series (2015) View citations (2) (2015)
24. Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models
    Econometrics Journal, 2016, 19, (1), Ci-Cii

2015

25. Change You Can Believe In? Hedge Fund Data Revisions
    Journal of Finance, 2015, 70, (3), 963-999 View citations (26)
    Also in Journal of Finance, 2015, 70, (4), 1862-1862 (2015) View citations (26)
    See also Working Paper Change You Can Believe In? Hedge Fund Data Revisions, CEPR Discussion Papers (2012) (2012)
26. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 22-24
27. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
    Journal of Econometrics, 2015, 187, (1), 293-311 View citations (324)
    See also Working Paper Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes, Economics Series Working Papers (2013) View citations (16) (2013)
28. Dynamic copula models and high frequency data
    Journal of Empirical Finance, 2015, 30, (C), 120-135 View citations (53)
    See also Working Paper Dynamic Copula Models and High Frequency Data, Working Papers (2013) View citations (5) (2013)
29. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
    The Review of Economics and Statistics, 2015, 97, (3), 683-697 View citations (413)
30. The Impact of Hedge Funds on Asset Markets
    The Review of Asset Pricing Studies, 2015, 5, (2), 185-226 View citations (8)
    See also Working Paper The Impact of Hedge Funds on Asset Markets, CEPR Discussion Papers (2014) View citations (3) (2014)

2014

31. Copulas in Econometrics
    Annual Review of Economics, 2014, 6, (1), 179-200 View citations (56)

2013

32. On the High-Frequency Dynamics of Hedge Fund Risk Exposures
    Journal of Finance, 2013, 68, (2), 597-635 View citations (67)
    See also Working Paper On the High-Frequency Dynamics of Hedge Fund Risk Exposures, CEPR Discussion Papers (2011) View citations (5) (2011)
33. Simulated Method of Moments Estimation for Copula-Based Multivariate Models
    Journal of the American Statistical Association, 2013, 108, (502), 689-700 View citations (35)

2012

34. A review of copula models for economic time series
    Journal of Multivariate Analysis, 2012, 110, (C), 4-18 View citations (250)
35. Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
    The Review of Financial Studies, 2012, 25, (9), 2789-2839 View citations (127)
36. Forecast Rationality Tests Based on Multi-Horizon Bounds
    Journal of Business & Economic Statistics, 2012, 30, (1), 1-17 View citations (85)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 1-17 (2011) View citations (5)
    See also Working Paper Forecast Rationality Tests Based on Multi-Horizon Bounds, CEPR Discussion Papers (2011) View citations (5) (2011)
37. Rejoinder
    Journal of Business & Economic Statistics, 2012, 30, (1), 36-40

2011

38. Data-based ranking of realised volatility estimators
    Journal of Econometrics, 2011, 161, (2), 284-303 View citations (42)
39. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
    Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 View citations (43)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 (2011) View citations (53)
40. Volatility forecast comparison using imperfect volatility proxies
    Journal of Econometrics, 2011, 160, (1), 246-256 View citations (748)
    See also Working Paper Volatility Forecast Comparison using Imperfect Volatility Proxies, Research Paper Series (2006) View citations (78) (2006)

2010

41. 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 View citations (108)
42. Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
    Journal of Monetary Economics, 2010, 57, (7), 803-820 View citations (233)

2009

43. Are "Market Neutral" Hedge Funds Really Market Neutral?
    The Review of Financial Studies, 2009, 22, (7), 2295-2330 View citations (64)
    See also Working Paper Are "market neutral" hedge funds really market neutral?, LSE Research Online Documents on Economics (2004) View citations (3) (2004)
44. Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
    Econometric Reviews, 2009, 28, (4), 372-375 View citations (66)
45. Optimal combinations of realised volatility estimators
    International Journal of Forecasting, 2009, 25, (2), 218-238 View citations (86)

2007

46. Properties of optimal forecasts under asymmetric loss and nonlinearity
    Journal of Econometrics, 2007, 140, (2), 884-918 View citations (94)
47. Testing Forecast Optimality Under Unknown Loss
    Journal of the American Statistical Association, 2007, 102, 1172-1184 View citations (113)

2006

48. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 View citations (41)
    See also Working Paper Common factors in conditional distributions for Bivariate time series, FMG Discussion Papers (2003) View citations (4) (2003)
49. Estimation of multivariate models for time series of possibly different lengths
    Journal of Applied Econometrics, 2006, 21, (2), 147-173 View citations (41)
    Also in Journal of Applied Econometrics, 2006, 21, (2), 147-173 (2006) View citations (176)
50. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE
    International Economic Review, 2006, 47, (2), 527-556 View citations (1016)

2004

51. Impacts of trades in an error-correction model of quote prices
    Journal of Financial Markets, 2004, 7, (1), 1-25 View citations (75)
52. On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
    Journal of Financial Econometrics, 2004, 2, (1), 130-168 View citations (303)
    See also Working Paper On the out-of-sample importance of skewness and asymetric dependence for asset allocation, LSE Research Online Documents on Economics (2002) (2002)

2001

53. What good is a volatility model?
    Quantitative Finance, 2001, 1, (2), 237-245 View citations (250)

2000

54. Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
    The Financial Review, 2000, 35, (1), 29-48 View citations (100)

Chapters

2013

1. Copula Methods for Forecasting Multivariate Time Series
   Elsevier View citations (109)