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| Andrew J Patton, Associate Professor
- Contact Info:
Teaching (Fall 2012):
- ECON 612.01, TIME SERIES ECONOMETRICS
Synopsis
- Social Sciences 229, MW 03:05 PM-04:20 PM
- ECON 883.03, TOPICS IN ECONOMETRICS
Synopsis
- Social Sciences 111, F 01:25 PM-03:55 PM
- ECON 903.08, ECONOMETRICS WORKSHOP
Synopsis
- Social Sciences 113, Th 03:05 PM-05:35 PM
- Specialties:
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Econometrics
Financial Economics
- Research Interests: Time series econometrics and financial economics
Professor Patton’s research areas include econometrics, financial economics and forecasting. His research has been supported by the Leverhulme Trust, the Engineering and Physical Sciences Research Council (UK) and Inquire UK, and his recent publications include “Testing Forecast Optimality under Unknown Loss”, (2007, Journal of the American Statistical Association, joint with Allan Timmermann), “Are ‘Market Neutral’ Hedge Funds Really Market Neutral? (2009, Review of Financial Studies), and “Volatility Forecast Comparison using Imperfect Volatility Proxies” (forthcoming, Journal of Econometrics). Professor Patton currently serves as associate editor for the Econometrics Journal, the International Journal of Forecasting, and the Journal of Business and Economic Statistics.
- Areas of Interest:
- Econometrics
Financial economics
Forecasting
Time series
Volatility
Hedge funds
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