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Andrew Patton

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Personal Details

First Name: Andrew
Middle Name:
Last Name: Patton
Suffix:

RePEc Short-ID: ppa34

Email:
Homepage: http://econ.duke.edu/~ap172
Postal Address: Department of Economics Duke University 213 Social Sciences Building Durham NC 27708-0097 USA
Phone:

Affiliation

(90%) Department of Economics
Duke University
Location: Durham, North Carolina (United States)
Homepage: http://www.econ.duke.edu/
Email:
Phone: (919) 660-1800
Fax: (919) 684-8974
Postal: 305 Social Sciences Building, Box 90097, Durham, NC 27708-0097
Handle: RePEc:edi:dedukus (more details at EDIRC)
(5%) Financial Markets Group (FMG)
London School of Economics (LSE)
Location: London, United Kingdom
Homepage: http://fmg.lse.ac.uk/
Email:
Phone: 020-7955-7002
Fax: 020-7242-1006
Postal: Houghton Street, London WC2A 2AE
Handle: RePEc:edi:fmlseuk (more details at EDIRC)
(5%) Oxford-Man Institute of Quantitative Finance
Homepage: http://www.oxford-man.ox.ac.uk/
Location: Oxford

Works

as in new window

Working papers

  1. Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers, Duke University, Department of Economics 13-29, Duke University, Department of Economics.
  2. Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics 13-27, Duke University, Department of Economics.
  3. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics 13-28, Duke University, Department of Economics.
  4. Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers, Duke University, Department of Economics 13-27, Duke University, Department of Economics.
  5. Dong Hwan Oh & Andrew J. Patton, 2013. "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers, Duke University, Department of Economics 13-30, Duke University, Department of Economics.
  6. 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.
  7. Patton, Andrew J & Ramadorai, Tarun & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8898, C.E.P.R. Discussion Papers.
  8. Patton, Andrew J & Timmermann, Allan G, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8194, C.E.P.R. Discussion Papers.
  9. Patton, Andrew J & Ramadorai, Tarun, 2011. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8479, C.E.P.R. Discussion Papers.
  10. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7780, C.E.P.R. Discussion Papers.
  11. Michela Verardo & Andrew Patton, 2009. "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers, Financial Markets Group dp630, Financial Markets Group.
  12. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe21, Oxford Financial Research Centre.
  13. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, School of Economics and Management, University of Aarhus.
  14. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe22, Oxford Financial Research Centre.
  15. Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6526, C.E.P.R. Discussion Papers.
  16. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 175, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  18. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
  19. Andrew Patton, 2004. "(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?," FMG Discussion Papers, Financial Markets Group dp522, Financial Markets Group.
  20. 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, Financial Markets Group dp483, Financial Markets Group.
  21. Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers, Warwick Business School, Finance Group wp04-04, Warwick Business School, Finance Group.
  22. Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers, Warwick Business School, Finance Group wp04-05, Warwick Business School, Finance Group.
  23. Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004. "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 wp04-19, Warwick Business School, Finance Group.
  24. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24819, London School of Economics and Political Science, LSE Library.
  25. Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers, Financial Markets Group dp455, Financial Markets Group.
  26. Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers, Financial Markets Group dp431, Financial Markets Group.
  27. Andrew J. Patton, 2002. "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 24951, London School of Economics and Political Science, LSE Library.
  28. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
  29. Patton, Andrew J, 2001. "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 qt01q7j1s2, Department of Economics, UC San Diego.
  30. 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, Department of Economics, UC San Diego qt3fc1c8hw, Department of Economics, UC San Diego.
  31. 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, Department of Economics, UC San Diego qt6dm6093f, Department of Economics, UC San Diego.

Articles

  1. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, American Finance Association, vol. 68(2), pages 597-635, 04.
  2. 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, Taylor & Francis Journals, vol. 108(502), pages 689-700, June.
  3. Andrew J. Patton & Michela Verardo, 2012. "Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 25(9), pages 2789-2839.
  4. Andrew J. Patton & Allan Timmermann, 2012. "Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(1), pages 36-40, January.
  5. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 246-256, January.
  6. 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, American Statistical Association, vol. 29(3), pages 397-410.
  7. Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
  8. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 284-303, April.
  9. Patton, Andrew J. & Timmermann, Allan, 2010. "Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(7), pages 803-820, October.
  10. 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, Elsevier, vol. 98(3), pages 605-625, December.
  11. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 218-238.
  12. 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, Taylor & Francis Journals, vol. 28(4), pages 372-375.
  13. Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
  14. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 884-918, October.
  15. Patton, Andrew J. & Timmermann, Allan, 2007. "Testing Forecast Optimality Under Unknown Loss," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 102, pages 1172-1184, December.
  16. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 43-57, May.
  17. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, 05.
  18. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
  19. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 130-168.
  20. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(1), pages 1-25, January.
  21. R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(2), pages 237-245.
  22. 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, Eastern Finance Association, vol. 35(1), pages 29-48, February.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2011-07-21 2013-12-29
  2. NEP-BEC: Business Economics (1) 2011-07-21
  3. NEP-CBA: Central Banking (2) 2007-10-20 2008-09-29
  4. NEP-ECM: Econometrics (13) 2002-12-10 2003-10-05 2004-12-02 2006-02-26 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. Author is listed
  5. NEP-ETS: Econometric Time Series (10) 2002-12-02 2004-12-02 2006-02-26 2006-06-03 2008-03-08 2008-03-08 2013-03-09 2013-12-29 2013-12-29 2013-12-29. Author is listed
  6. NEP-FIN: Finance (1) 2004-12-02
  7. NEP-FMK: Financial Markets (3) 2008-03-08 2008-03-08 2013-12-29
  8. NEP-FOR: Forecasting (10) 2006-02-26 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. Author is listed
  9. NEP-MAC: Macroeconomics (2) 2007-10-20 2008-09-29
  10. NEP-MON: Monetary Economics (1) 2007-10-20
  11. NEP-MST: Market Microstructure (4) 2011-07-21 2013-03-09 2013-12-29 2013-12-29
  12. NEP-RMG: Risk Management (3) 2008-03-08 2011-07-21 2013-12-29
  13. NEP-URE: Urban & Real Estate Economics (1) 2013-12-29

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  17. h-index
  18. Number of Registered Citing Authors
  19. Number of Journal Pages, Weighted by Simple Impact Factor
  20. Number of Journal Pages, Weighted by Recursive Impact Factor
  21. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  22. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  23. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  24. Wu-Index

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