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Andrew J. Patton, Zelter Family Professor

Andrew J. Patton

Patton’s research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, and the analysis of hedge funds and mutual funds. His research has appeared in a variety of academic journals, including the Journal of Finance, Journal of Econometrics, Journal of Financial Economics, Journal of the American Statistical Association, Review of Financial Studies, and the Journal of Business and Economic Statistics. He has given hundreds of invited seminars around the world, at universities, central banks, and other institutions. A complete list of his current and past research is available at: http://econ.duke.edu/~ap172/research.html

Contact Info:
Office Location:  228F Social Sciences, Box 90097, Durham, NC 27708
Office Phone:  (919) 660-1849
Email Address: send me a message
Web Page:  http://econ.duke.edu/~ap172/

Teaching (Spring 2019):

  • ECON 413.01, FORECASTING FINANCIAL MARKETS Synopsis
    Soc/Psych 129, MF 10:05 AM-11:20 AM
  • ECON 623.01, FORECASTING FINANCIAL MARKETS Synopsis
    Soc/Psych 130, Tu 03:05 PM-05:35 PM
  • ECON 823.01, FORECASTING FINANCIAL MARKETS Synopsis
    Soc/Psych 130, Tu 03:05 PM-05:35 PM
Education:

Ph.D.University of California at San Diego2002
M.A.University of California at San Diego2000
Specialties:

Econometrics
Financial Economics
Mathematical and Quantitative Methods
8715
Macroeconomics
Research Interests: Time series econometrics and financial economics

Professor Patton’s research areas include econometrics, financial economics and forecasting. His work focuses on improved models for risk and dependence between financial assets, methods for forecast evaluation and comparison, and empirical asset pricing. Patton's recent publications include "Simulated Method of Moments Estimation for Copula-Based Multivariate Models" (2013, Journal of the American Statistical Association, joint with Dong Hwan Oh), "On the High Frequency Dynamics of Hedge Fund Risk Exposures" (2013, Journal of Finance, joint with Tarun Ramadorai) and "Copula Methods for Forecasting Multivariate Time Series" (2012, Handbook of Economic Forecasting). His research has been supported by the Leverhulme Trust, the Engineering and Physical Sciences Research Council (UK) and Inquire UK. A complete list of his current and past research is available at: http://econ.duke.edu/~ap172/research.html

Areas of Interest:

Econometrics
Financial economics
Forecasting
Copulas
Time series
Volatility
Hedge funds

Keywords:

Inference

Curriculum Vitae  Bio
Recent Publications   (More Publications)   (search)

  1. Patton, AJ; Weller, B, What You See Is Not What You Get: The Costs of Trading Market Anomalies, Economic Research Initiatives at Duke (Erid) Working Paper no. 255 (March, 2019)
  2. Patton, AJ; Weller, BM, What You See Is Not What You Get: The Costs of Trading Market Anomalies (October, 2017)
  3. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix, Economic Research Initiatives at Duke (Erid) Working Paper no. 252 (September, 2017)
  4. Oh, DH; Patton, AJ, Modeling Dependence in High Dimensions With Factor Copulas, Journal of Business & Economic Statistics, vol. 35 no. 1 (January, 2017), pp. 139-154, Informa UK Limited [doi]  [abs]
  5. Bollerslev, T; Patton, AJ; Wang, W, Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions, Journal of Applied Econometrics, vol. 31 no. 6 (September, 2016), pp. 1005-1025  [abs]


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