Andrew J. Patton, Zelter Family Distinguished 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:

Office Location:  228F Social Sciences, Box 90097, Durham, NC 27708
Office Phone:  (919) 660-1849
Email Address: send me a message
Web Page:


Ph.D.University of California - San Diego2002
M.A.University of California - San Diego2000
B.Bus.University of Technology Sydney (Australia)1998

Financial Economics
Mathematical and Quantitative Methods
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:

Areas of Interest:

Financial economics
Time series
Hedge funds



Recent Publications   (search)

  1. Patton, AJ; Weller, BM, What you see is not what you get: The costs of trading market anomalies, Journal of Financial Economics, vol. 137 no. 2 (August, 2020), pp. 515-549 [doi]  [abs]
  2. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Multivariate leverage effects and realized semicovariance GARCH models, Journal of Econometrics, vol. 217 no. 2 (August, 2020), pp. 411-430 [doi]  [abs]
  3. Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R, Realized Semicovariances, Econometrica, vol. 88 no. 4 (July, 2020), pp. 1515-1551 [doi]  [abs]
  4. Patton, AJ; Ziegel, JF; Chen, R, Dynamic semiparametric models for expected shortfall (and Value-at-Risk), Journal of Econometrics, vol. 211 no. 2 (August, 2019), pp. 388-413 [doi]  [abs]
  5. Patton, AJ; Weller, B, Risk Price Variation: The Missing Half of Empirical Asset Pricing, Economic Research Initiatives at Duke (Erid) Working Paper no. 274 (May, 2019)