Economics Faculty Database
Economics
Arts & Sciences
Duke University
 HOME > Arts & Sciences > Economics > Faculty    Search Help Login pdf version printable version 

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

search econ.duke.edu.

Journal Articles

  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]
  6. Barendse, S; Patton, AJ, Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter, Journal of Business and Economic Statistics, vol. 40 no. 3 (January, 2022), pp. 1057-1069 [doi]  [abs]
  7. Patton, AJ, Comparing Possibly Misspecified Forecasts, Journal of Business and Economic Statistics, vol. 38 no. 4 (October, 2020), pp. 796-809 [doi]  [abs]
  8. Patton, AJ; Weller, BM, What You See Is Not What You Get: The Costs of Trading Market Anomalies, vol. 137 no. 2 (August, 2020), pp. 515-549 [doi]  [abs]
  9. 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]
  10. Bollerslev, T; Patton, AJ; Quaedvlieg, R, Realized Semibetas: Signs of Things to Come (February, 2020)
  11. Bollerslev, T; Li, J; Patton, A; Quaedvlieg, R, Realized Semicovariances, Econometrica: journal of the Econometric Society, vol. 88 no. 4 (2020), pp. 1515-1551, Econometric Society [doi]  [abs]
  12. Dimitriadis, T; Patton, AJ; Schmidt, P, Testing Forecast Rationality for Measures of Central Tendency (October, 2019)
  13. 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]
  14. 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]
  15. Patton, AJ; Weller, BM, What You See Is Not What You Get: The Costs of Trading Market Anomalies (October, 2017)
  16. Oh, DH; Patton, AJ, Modeling Dependence in High Dimensions With Factor Copulas, Journal of Business and Economic Statistics, vol. 35 no. 1 (January, 2017), pp. 139-154, Informa UK Limited [doi]  [abs]
  17. 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]
  18. 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]
  19. Patton, AJ; Smith, RJ, Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models, Econometrics Journal, vol. 19 no. 1 (February, 2016), pp. Ci-Cii, Oxford University Press (OUP) [doi]
  20. 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]
  21. 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]
  22. Patton, AJ; Sheppard, K, Good volatility, bad volatility: Signed jumps and the persistence of volatility, Review of Economics and Statistics, vol. 97 no. 3 (July, 2015), pp. 683-697, MIT Press - Journals [doi]  [abs]
  23. Patton, AJ; Ramadorai, T; Streatfield, M, Change You Can Believe In? Hedge Fund Data Revisions, Journal of Finance, vol. 70 no. 3 (June, 2015), pp. 963-999, WILEY [doi]  [abs]
  24. Patton, AJ, Comment, Journal of Business and Economic Statistics, vol. 33 no. 1 (January, 2015), pp. 22-24, Informa UK Limited [doi]
  25. 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]
  26. 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]
  27. 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]
  28. Li, J; Patton, AJ, Asymptotic Inference about Predictive Accuracy Using High Frequency Data no. 163 (July, 2013), pp. 223-240, Elsevier BV [doi]  [abs]
  29. Bollerslev, T; Patton, AJ; Wenjing, W, Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions, Economic Research Initiatives at Duke (ERID), vol. 31 no. 166 (June, 2013), pp. 49 pages  [abs]
  30. 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]
  31. Patton, AJ; Ramadorai, T, On the high-frequency dynamics of hedge fund risk exposures, Journal of Finance, vol. 68 no. 2 (April, 2013), pp. 597-635, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]  [abs]
  32. Patton, A, Copula methods for forecasting multivariate time series, vol. 2 (January, 2013), pp. 899-960, Elsevier, ISSN 1574-0706 [doi]  [abs]
  33. 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]
  34. 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]
  35. Patton, AJ; Timmermann, A, Forecast rationality tests based on multi-horizon bounds, Journal of Business and Economic Statistics, vol. 30 no. 1 (January, 2012), pp. 1-17, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  36. Patton, AJ; Timmermann, A, Rejoinder, Journal of Business and Economic Statistics, vol. 30 no. 1 (January, 2012), pp. 36-40, Informa UK Limited, ISSN 0735-0015 [doi]
  37. Patton, AJ; Timmermann vy, A, Predictability of output growth and inflation: A multi-horizon survey approach, Journal of Business and Economic Statistics, vol. 29 no. 3 (July, 2011), pp. 397-410, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  38. 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]
  39. 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]
  40. 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]
  41. 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]
  42. Patton, AJ; Ramadorai, T, On the Dynamics of Hedge Fund Risk Exposures (April, 2010)
  43. Patton, AJ; Ramadorai, T, On the Dynamics of Hedge Fund Risk Exposures (April, 2010)
  44. 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]
  45. 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]
  46. 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]
  47. Patton, AJ; Timmermann, AG, The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast, CREATES Research Paper no. 2008 (September, 2008)
  48. Engle, RF; Patton, AJ, What good is a volatility model?, Forecasting Volatility in the Financial Markets (2007), pp. 47-63, Elsevier [doi]  [abs]
  49. 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]
  50. 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]
  51. Patton, AJ, Modelling asymmetric exchange rate dependence, International Economic Review, vol. 47 no. 2 (2006), pp. 527-556, ISSN 0020-6598 [doi]  [abs]
  52. 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]
  53. 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]
  54. Patton, AJ; Timmermann, AG, Testable Implications of Forecast Optimality (January, 2005)
  55. Patton, AJ; Timmermann, AG, Testable Implications of Forecast Optimality (November, 2004)
  56. 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)
  57. 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]
  58. Patton, AJ; Timmermann, AG, Properties of Optimal Forecasts (August, 2003)
  59. 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]
Duke University * Arts & Sciences * Economics * Faculty * Research * Staff * Master's * Ph.D. * Reload * Login