Andrew J. Patton, Zelter Family Distinguished Professor

Patton’s research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, high frequency financial data, 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 Financial Economics, Review of Financial Studies, Econometrica, Journal of Econometrics, and the Journal of the American Statistical Association. 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
Email Address:
Web Page:	http://public.econ.duke.edu/~ap172/

Education:

Ph.D.	University of California, San Diego	2002
M.A.	University of California, San Diego	2000
B.Bus.	University of Technology Sydney (Australia)	1998

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:

Econometrics • Economic forecasting • Economic time series analysis • Finance • Financial risk management • Inference • Machine learning

Curriculum Vitae  Bio

Recent Publications   (More Publications)   (search)

1. Oh, DH; Patton, AJ, Skill and Efficiency in the U.S. Mutual Fund Industry, Finance and Economics Discussion Series no. 2026-032 (May, 2026), pp. 1-1, Board of Governors of the Federal Reserve System [doi]  [abs]
2. Patton, AJ; Zhang, H, Bespoke realized volatility: Tailored measures of risk for volatility prediction, Journal of Econometrics, vol. 254 (March, 2026) [doi]  [abs]
3. Loaiza-Maya, R; Maneesoonthorn, W; Patton, AJ, Improved density forecasts using mixed frequency data:A Bayesian approach, Journal of Econometrics (January, 2026) [doi]  [abs]
4. Patton, AJ; Simsek, Y, Generalized Autoregressive Score Trees and Forests, Journal of Business and Economic Statistics (January, 2026), pp. 1-24, Informa UK Limited [doi]  [abs]
5. Patton, AJ, Minimum Variance Portfolios as Consistent Scoring Functions, in Elsevier BV (2026) [doi]  [abs]