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Research Interests for Andrew J. Patton

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

Keywords:
Inference
Areas of Interest:

Econometrics
Financial economics
Forecasting
Copulas
Time series
Volatility
Hedge funds

Recent Publications   (search)
  1. Menkveld, AJ; Dreber, A; Holzmeister, F; Huber, J; Johannesson, M; Kirchler, M; Razen, M; Weitzel, U; Abad, D; Abudy, MM; Adrian, T; Ait-Sahalia, Y; Akmansoy, O; Alcock, J; Alexeev, V; Aloosh, A; Amato, L; Amaya, D; Angel, J; Bach, A; Baidoo, E; Bakalli, G; Barbon, A; Bashchenko, O; Bindra, PC; Bjonnes, GH; Black, J; Black, BS; Bohorquez, S; Bondarenko, O; Bos, CS; Bosch-Rosa, C; Bouri, E; Brownlees, CT; Calamia, A; Cao, VN; Capelle-Blancard, G; Capera, L; Caporin, M; Carrion, A; Caskurlu, T; Chakrabarty, B; Chernov, M; Cheung, WM; Chincarini, LB; Chordia, T; Chow, SC; Clapham, B; Colliard, J-E; Comerton-Forde, C; Curran, E; Dao, T; Dare, W; Davies, RJ; De Blasis, R; De Nard, G; Declerck, F; Deev, O; Degryse, H; Deku, S; Desagre, C; van Dijk, MA; Dim, C; Dimpfl, T; Dong, Y; Drummond, P; Dudda, TL; Dumitrescu, A; Dyakov, T; Dyhrberg, AH; Dzieliński, M; Eksi, A; El Kalak, I; ter Ellen, S; Eugster, N; Evans, MDD; Farrell, M; Félez-Viñas, E; Ferrara, G; FERROUHI, EM; Flori, A; Fluharty-Jaidee, J; Foley, S; Fong, KYL; Foucault, T; Franus, T; Franzoni, FA; Frijns, B; Frömmel, M; Fu, S; Füllbrunn, S; Gan, B; Gehrig, T; Gerritsen, D; Gil-Bazo, J; Glosten, LR; Gomez, T; Gorbenko, A; Güçbilmez, U; Grammig, J; Gregoire, V; Hagströmer, B; Hambuckers, J; Hapnes, E; Harris, JH; Harris, L; Hartmann, S; Hasse, J-B; Hautsch, N; He, X; Heath, D; Hediger, S; Hendershott, T; Hibbert, AM; Hjalmarsson, E; Hoelscher, SA; Hoffmann, P; Holden, CW; Horenstein, AR; Huang, W; Huang, D; Hurlin, C; Ivashchenko, A; Iyer, SR; Jahanshahloo, H; Jalkh, N; Jones, CM; Jurkatis, S; Jylha, P; Kaeck, A; Kaiser, G; Karam, A; Karmaziene, E; Kassner, B; Kaustia, M; Kazak, E; Kearney, F; van Kervel, V; Khan, S; Khomyn, M; Klein, T; Klein, O; Klos, A; Koetter, M; Krahnen, JP; Kolokolov, A; Korajczyk, RA; Kozhan, R; Kwan, A; Lajaunie, Q; Lam, FYE; Lambert, M; Langlois, H; Lausen, J; Lauter, T; Leippold, M; Levin, V; Li, Y; Li, MH; Liew, CY; Lindner, T; Linton, OB; Liu, J; Liu, A; Llorente, G; Lof, M; Lohr, A; Longstaff, FA; Lopez-Lira, A; Mankad, S; Mano, N; Marchal, A; Martineau, C; Mazzola, F; Meloso, D; Mihet, R; Mohan, V; Moinas, S; Moore, D; Mu, L; Muravyev, D; Murphy, D; Neszveda, G; Neumeier, C; Nielsson, U; Nimalendran, M; Nolte, S; Norden, LL; O'Neill, P; Obaid, K; Ødegaard, BA; Östberg, P; Painter, M; Palan, S; Palit, I; Park, A; Pascual, R; Pasquariello, P; Pastor, L; Patel, V; Patton, AJ; Pearson, ND; Pelizzon, L; Pelster, M; Pérignon, C; Pfiffer, C; Philip, R; Plíhal, T; Prakash, P; Press, O-A; Prodromou, T; Putniņš, TJ; Raizada, G; Rakowski, DA; Ranaldo, A; Regis, L; Reitz, S; Renault, T; Renjie, RW; Renò, R; Riddiough, S; Rinne, K; Rintamäki, P; Riordan, R; Rittmannsberger, T; Rodríguez-Longarela, I; Rösch, D; Rognone, L; Roseman, B; Rosu, I; Roy, S; Rudolf, N; Rush, S; Rzayev, K; Rzeźnik, A; Sanford, A; Sankaran, H; Sarkar, A; Sarno, L; Scaillet, O; Scharnowski, S; Schenk-Hoppé, KR; Schertler, A; Schneider, M; Schroeder, F; Schuerhoff, N; Schuster, P; Schwarz, MA; Seasholes, MS; Seeger, N; Shachar, O; Shkilko, A; Shui, J; Sikic, M; Simion, G; Smales, LA; Söderlind, P; Sojli, E; Sokolov, K; Spokeviciute, L; Stefanova, D; Subrahmanyam, MG; Neusüss, S; Szaszi, B; Talavera, O; Tang, Y; Taylor, N; Tham, WW; Theissen, E; Thimme, J; Tonks, I; Tran, H; Trapin, L; Trolle, AB; Valente, G; Van Ness, RA; Vasquez, A; Verousis, T; Verwijmeren, P; Vilhelmsson, A; Vilkov, G; Vladimirov, V; Vogel, S; Voigt, S; Wagner, W; Walther, T; Weiss, P; van der Wel, M; Werner, IM; Westerholm, PJ; Westheide, C; Wipplinger, E; Wolf, M; Wolff, CCP; Wolk, L; Wong, W-K; Wrampelmeyer, J; Xia, S; Xiu, D; Xu, K; Xu, C; Yadav, PK; Yagüe, J; Yan, C; Yang, A; Yoo, W; Yu, W; Yu, S; Yueshen, BZ; Yuferova, D; Zamojski, M; Zareei, A; Zeisberger, S; Zhang, SS; Zhang, X; Zhong, Z; Zhou, ZI; Zhou, C; Zhu, S; Zoican, M; Zwinkels, RCJ; Chen, J; Duevski, T; Gao, G; Gemayel, R; Gilder, D; Kuhle, P; Pagnotta, E; Pelli, M; Sönksen, J; Zhang, L; Ilczuk, K; Bogoev, D; Qian, Y; Wika, HC; Yu, Y; Zhao, L; Mi, M; Bao, L; Vaduva, A; Prokopczuk, M; Avetikian, A; Wu, Z-X, Non-Standard Errors no. 2021 (May, 2023)
  2. Patton, AJ; Weller, BM, Testing for Unobserved Heterogeneity via k-means Clustering, Journal of Business and Economic Statistics, vol. 41 no. 3 (January, 2023), pp. 737-751 [doi[abs]
  3. Bollerslev, T; Medeiros, MC; Patton, AJ; Quaedvlieg, R, From zero to hero: Realized partial (co)variances, Journal of Econometrics, vol. 231 no. 2 (December, 2022), pp. 348-360 [doi[abs]
  4. Patton, AJ; Weller, BM, Risk Price Variation: The Missing Half of Empirical Asset Pricing, edited by Van Nieuwerburgh, S, Review of Financial Studies, vol. 35 no. 11 (November, 2022), pp. 5127-5184, Oxford University Press (OUP) [doi[abs]
  5. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Realized semibetas: Disentangling “good” and “bad” downside risks, Journal of Financial Economics, vol. 144 no. 1 (April, 2022), pp. 227-246 [doi[abs]

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