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Publications of Andrew J. Patton    :chronological  alphabetical  combined  bibtex listing:

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Journal Articles

  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)
  6. Patton, AJ, Comparing Possibly Misspecified Forecasts, Journal of Business & Economic Statistics (January, 2019) [doi]  [abs]
  7. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, vol. 207 no. 1 (2018), pp. 71-91  [abs]
  8. Patton, AJ; Weller, BM, What You See Is Not What You Get: The Costs of Trading Market Anomalies (October, 2017)
  9. 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]
  10. 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]
  11. Oh, DH; Patton, AJ, High-dimensional copula-based distributions with mixed frequency data, Journal of Econometrics, vol. 193 no. 2 (August, 2016), pp. 349-366, Elsevier BV [doi]  [abs]
  12. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Exploiting the errors: A simple approach for improved volatility forecasting, Journal of Econometrics, vol. 192 no. 1 (May, 2016), pp. 1-18, Elsevier BV [doi]  [abs]
  13. Patton, AJ; Smith, RJ, Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models, The Econometrics Journal, vol. 19 no. 1 (February, 2016), pp. Ci-Cii, Oxford University Press (OUP) [doi]
  14. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Exploiting the errors: A simple approach for improved volatility forecasting, vol. 192 no. 1 (2016), pp. 1-18  [abs]
  15. Liu, LY; Patton, AJ; Sheppard, K, Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes, Journal of Econometrics, vol. 187 no. 1 (July, 2015), pp. 293-311, Elsevier BV [doi]  [abs]
  16. Patton, AJ; Ramadorai, T; Streatfield, M, Change You Can Believe In? Hedge Fund Data Revisions, The Journal of Finance, vol. 70 no. 3 (June, 2015), pp. 963-999, WILEY [doi]  [abs]
  17. Patton, AJ; Sheppard, K, Good volatility, bad volatility: Signed jumps and the persistence of volatility, The Review of Economics and Statistics, vol. 97 no. 3 (January, 2015), pp. 683-697, MIT Press - Journals [doi]  [abs]
  18. Patton, AJ, Comment, Journal of Business & Economic Statistics, vol. 33 no. 1 (January, 2015), pp. 22-24, Informa UK Limited [doi]
  19. Patton, AJ; De Lira Salvatierra, I, Dynamic Copula Models and High Frequency Data, Journal of Empirical Finance, vol. 30 (January, 2015), pp. 120-135, Elsevier BV [doi]  [abs]
  20. Fan, Y; Patton, AJ, Copulas in econometrics, Annual Review of Economics, vol. 6 no. 1 (January, 2014), pp. 179-200, ANNUAL REVIEWS, ISSN 1941-1383 [doi]  [abs]
  21. Oh, DH; Patton, AJ, Simulated method of moments estimation for copula-based multivariate models, Journal of the American Statistical Association, vol. 108 no. 502 (December, 2013), pp. 689-700, Informa UK Limited, ISSN 0162-1459 [Gateway.cgi], [doi]  [abs]
  22. Li, J; Patton, AJ, Asymptotic Inference about Predictive Accuracy Using High Frequency Data no. 163 (July, 2013), pp. 223-240, Elsevier BV [doi]  [abs]
  23. Oh, DH; Patton, AJ, Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, Economic Research Initiatives at Duke (Erid) Working Paper, vol. 36 no. 167 (May, 2013), pp. 181-195, Informa UK Limited [doi]  [abs]
  24. Patton, AJ; Ramadorai, T, On the high-frequency dynamics of hedge fund risk exposures, The Journal of Finance, vol. 68 no. 2 (April, 2013), pp. 597-635, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]  [abs]
  25. Patton, A, Copula methods for forecasting multivariate time series, Handbook of Economic Forecasting, vol. 2 (January, 2013), pp. 899-960, Elsevier, ISSN 1574-0706 [doi]  [abs]
  26. Patton, AJ, A review of copula models for economic time series, Journal of Multivariate Analysis, vol. 110 (September, 2012), pp. 4-18, Elsevier BV, ISSN 0047-259X [doi]  [abs]
  27. Patton, AJ; Verardo, M, Does beta move with news? Firm-specific information flows and learning about profitability, Review of Financial Studies, vol. 25 no. 9 (September, 2012), pp. 2789-2839, Oxford University Press (OUP), ISSN 0893-9454 [doi]  [abs]
  28. Patton, AJ; Timmermann, A, Forecast rationality tests based on multi-horizon bounds, Journal of Business & Economic Statistics, vol. 30 no. 1 (January, 2012), pp. 1-17, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  29. Patton, AJ; Timmermann, A, Rejoinder, Journal of Business & Economic Statistics, vol. 30 no. 1 (January, 2012), pp. 36-40, Informa UK Limited, ISSN 0735-0015 [doi]
  30. Patton, AJ; Timmermann vy, A, Predictability of output growth and inflation: A multi-horizon survey approach, Journal of Business & Economic Statistics, vol. 29 no. 3 (July, 2011), pp. 397-410, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  31. Patton, AJ, Data-based ranking of realised volatility estimators, Journal of Econometrics, vol. 161 no. 2 (April, 2011), pp. 284-303, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  32. Patton, AJ, Volatility forecast comparison using imperfect volatility proxies, Journal of Econometrics, vol. 160 no. 1 (January, 2011), pp. 246-256, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  33. Patton, AJ; Timmermann, A, Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts, Journal of Financial Economics, vol. 98 no. 3 (December, 2010), pp. 605-625, Elsevier BV, ISSN 0304-405X [doi]  [abs]
  34. Patton, AJ; Timmermann, A, Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion, Journal of Monetary Economics, vol. 57 no. 7 (October, 2010), pp. 803-820, Elsevier BV, ISSN 0304-3932 [doi]  [abs]
  35. Patton, AJ; Ramadorai, T, On the Dynamics of Hedge Fund Risk Exposures (April, 2010)
  36. Patton, AJ; Ramadorai, T, On the Dynamics of Hedge Fund Risk Exposures (April, 2010)
  37. Patton, AJ, Are "market neutral" hedge funds really market neutral?, Review of Financial Studies, vol. 22 no. 7 (2009), pp. 2295-2330, Oxford University Press (OUP), ISSN 0893-9454 [doi]  [abs]
  38. Patton, A; Politis, DN; White, H, Correction to automatic block-length selection for the dependent bootstrap by D. Politis and H. White, Econometric Reviews, vol. 28 no. 4 (2009), pp. 372-375, Informa UK Limited, ISSN 0747-4938 [doi]  [abs]
  39. Patton, AJ; Sheppard, K, Optimal combinations of realised volatility estimators, International Journal of Forecasting, vol. 25 no. 2 (2009), pp. 218-238, Elsevier BV, ISSN 0169-2070 [doi]  [abs]
  40. Patton, AJ; Timmermann, AG, The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast, Creates Research Paper no. 2008 (September, 2008)
  41. Engle, RF; Patton, AJ, What good is a volatility model?, Forecasting Volatility in the Financial Markets (2007), pp. 47-63, Elsevier [doi]  [abs]
  42. Patton, AJ; Timmermann, A, Properties of optimal forecasts under asymmetric loss and nonlinearity, Journal of Econometrics, vol. 140 no. 2 (2007), pp. 884-918, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  43. Patton, AJ; Timmermann, A, Testing forecast optimality under unknown loss, Journal of the American Statistical Association, vol. 102 no. 480 (2007), pp. 1172-1184, Informa UK Limited, ISSN 0162-1459 [doi]  [abs]
  44. Patton, AJ, Modelling asymmetric exchange rate dependence, International Economic Review, vol. 47 no. 2 (2006), pp. 527-556, ISSN 0020-6598 [doi]  [abs]
  45. Patton, AJ, Estimation of multivariate models for time series of possibly different lengths, Journal of Applied Econometrics, vol. 21 no. 2 (2006), pp. 147-173, WILEY, ISSN 0883-7252 [doi]  [abs]
  46. Granger, CWJ; Teräsvirta, T; Patton, AJ, Common factors in conditional distributions for bivariate time series, Journal of Econometrics, vol. 132 no. 1 (2006), pp. 43-57, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  47. Patton, AJ; Timmermann, AG, Testable Implications of Forecast Optimality (January, 2005)
  48. Patton, AJ; Timmermann, AG, Testable Implications of Forecast Optimality (November, 2004)
  49. Chen, X; Fan, Y; Patton, AJ, Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (January, 2004)
  50. Engle, RF; Patton, AJ, Impacts of trades in an error-correction model of quote prices, Journal of Financial Markets, vol. 7 no. 1 (2004), pp. 1-25 [doi]  [abs]
  51. Patton, AJ; Timmermann, AG, Properties of Optimal Forecasts (August, 2003)
  52. Patton, AJ, Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula (June, 2001)

Chapters in Books

  1. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, vol. 207 no. 1 (April, 2016), pp. 71-91, Elsevier BV [doi]  [abs]

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