Follow
Andrew Patton
Andrew Patton
Zelter Family Professor of Economics and Finance, Duke University
Verified email at duke.edu - Homepage
Title
Cited by
Cited by
Year
Modelling asymmetric exchange rate dependence
AJ Patton
International economic review 47 (2), 527-556, 2006
2767*2006
Volatility forecast comparison using imperfect volatility proxies
AJ Patton
Journal of Econometrics 160 (1), 246-256, 2011
11442011
What good is a volatility model?
RF Engle, AJ Patton
Forecasting volatility in the financial markets, 47-63, 2007
11052007
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
AJ Patton
Journal of financial econometrics 2 (1), 130-168, 2004
7972004
Good volatility, bad volatility: Signed jumps and the persistence of volatility
AJ Patton, K Sheppard
Review of Economics and Statistics 97 (3), 683-697, 2015
6182015
A review of copula models for economic time series
AJ Patton
Journal of Multivariate Analysis 110, 4-18, 2012
5752012
Estimation of multivariate models for time series of possibly different lengths
AJ Patton
Journal of applied econometrics 21 (2), 147-173, 2006
5602006
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
LY Liu, AJ Patton, K Sheppard
Journal of Econometrics 187 (1), 293-311, 2015
5132015
Copula–based models for financial time series
AJ Patton
Handbook of financial time series, 767-785, 2009
4562009
Exploiting the errors: A simple approach for improved volatility forecasting
T Bollerslev, AJ Patton, R Quaedvlieg
Journal of Econometrics 192 (1), 1-18, 2016
3442016
Correction to “Automatic block-length selection for the dependent bootstrap” by D. Politis and H. White
A Patton, DN Politis, H White
Econometric Reviews 28 (4), 372-375, 2009
3442009
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
AJ Patton, A Timmermann
Journal of Financial Economics 98 (3), 605-625, 2010
3312010
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
AJ Patton, A Timmermann
Journal of Monetary Economics 57 (7), 803-820, 2010
3282010
Copula methods for forecasting multivariate time series
A Patton
Handbook of economic forecasting 2, 899-960, 2013
3192013
Does beta move with news? Firm-specific information flows and learning about profitability
AJ Patton, M Verardo
The Review of Financial Studies 25 (9), 2789-2839, 2012
2822012
Time-varying systemic risk: Evidence from a dynamic copula model of cds spreads
DH Oh, AJ Patton
Journal of Business & Economic Statistics 36 (2), 181-195, 2018
2772018
Modeling dependence in high dimensions with factor copulas
DH Oh, AJ Patton
Journal of Business & Economic Statistics 35 (1), 139-154, 2017
2722017
Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system
C Kearney, AJ Patton
Financial Review 35 (1), 29-48, 2000
2642000
Evaluating volatility and correlation forecasts
AJ Patton, K Sheppard
Handbook of financial time series, 801-838, 2009
2552009
Are “market neutral” hedge funds really market neutral?
AJ Patton
The Review of Financial Studies 22 (7), 2495-2530, 2009
2422009
The system can't perform the operation now. Try again later.
Articles 1–20