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

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Journal Articles

  1. MENKVELD, AJ; DREBER, A; HOLZMEISTER, F; HUBER, J; JOHANNESSON, M; KIRCHLER, M; NEUSÜß, S; RAZEN, M; WEITZEL, UTZ; ABAD‐DÍAZ, D; ABUDY, MM; ADRIAN, T; AIT‐SAHALIA, Y; AKMANSOY, O; ALCOCK, JT; ALEXEEV, V; ALOOSH, A; AMATO, L; AMAYA, D; ANGEL, JJ; AVETIKIAN, AT; BACH, A; BAIDOO, E; BAKALLI, G; BAO, LI; BARBON, A; BASHCHENKO, O; BINDRA, PC; BJØNNES, GH; BLACK, JR; BLACK, BS; BOGOEV, D; CORREA, SB; BONDARENKO, O; BOS, CS; BOSCH‐ROSA, C; BOURI, E; BROWNLEES, C; CALAMIA, A; CAO, VN; CAPELLE‐BLANCARD, G; ROMERO, LMC; CAPORIN, M; CARRION, A; CASKURLU, T; CHAKRABARTY, B; CHEN, J; CHERNOV, M; CHEUNG, W; CHINCARINI, LB; CHORDIA, T; CHOW, S; CLAPHAM, B; COLLIARD, J; COMERTON‐FORDE, C; CURRAN, E; DAO, T; DARE, W; DAVIES, RJ; BLASIS, RD; NARD, GFD; DECLERCK, F; DEEV, O; DEGRYSE, H; DEKU, SY; DESAGRE, C; DIJK, MAV; DIM, C; DIMPFL, T; DONG, YJ; DRUMMOND, PA; DUDDA, TOM; DUEVSKI, T; DUMITRESCU, A; DYAKOV, T; DYHRBERG, AH; DZIELIŃSKI, M; EKSI, A; KALAK, IE; ELLEN, ST; EUGSTER, N; EVANS, MDD; FARRELL, M; FELEZ‐VINAS, E; FERRARA, G; FERROUHI, EM; FLORI, A; FLUHARTY‐JAIDEE, JT; FOLEY, SDV; FONG, KYL; FOUCAULT, T; FRANUS, T; FRANZONI, F; FRIJNS, B; FRÖMMEL, M; FU, SM; FÜLLBRUNN, SC; GAN, B; GAO, GE; GEHRIG, TP; GEMAYEL, R; GERRITSEN, D; GIL‐BAZO, J; GILDER, D; GLOSTEN, LR; GOMEZ, T; GORBENKO, A; GRAMMIG, J; GRÉGOIRE, V; GÜÇBILMEZ, U; HAGSTRÖMER, B; HAMBUCKERS, J; HAPNES, E; HARRIS, JH; HARRIS, L; HARTMANN, S; HASSE, J; HAUTSCH, N; HE, XT; HEATH, D; HEDIGER, S; HENDERSHOTT, T; HIBBERT, AM; HJALMARSSON, E; HOELSCHER, SA; HOFFMANN, P; HOLDEN, CW; HORENSTEIN, AR; HUANG, W; HUANG, DA; HURLIN, C; ILCZUK, K; IVASHCHENKO, A; IYER, SR; JAHANSHAHLOO, H; JALKH, N; JONES, CM; JURKATIS, S; JYLHÄ, P; KAECK, AT; KAISER, G; KARAM, A; KARMAZIENE, E; KASSNER, B; KAUSTIA, M; KAZAK, E; KEARNEY, F; KERVEL, VV; KHAN, SA; KHOMYN, MK; KLEIN, T; KLEIN, O; KLOS, A; KOETTER, M; KOLOKOLOV, A; KORAJCZYK, RA; KOZHAN, R; KRAHNEN, JP; KUHLE, P; KWAN, AMY; LAJAUNIE, Q; LAM, FYEC; LAMBERT, M; LANGLOIS, H; LAUSEN, J; LAUTER, T; LEIPPOLD, M; LEVIN, V; LI, Y; LI, HUI; LIEW, CY; LINDNER, T; LINTON, O; LIU, J; LIU, A; LLORENTE, G; LOF, M; LOHR, A; LONGSTAFF, F; LOPEZ‐LIRA, A; MANKAD, S; MANO, N; MARCHAL, A; MARTINEAU, C; MAZZOLA, F; MELOSO, D; MI, MG; MIHET, R; MOHAN, V; MOINAS, S; MOORE, D; MU, L; MURAVYEV, D; MURPHY, D; NESZVEDA, G; NEUMEIER, C; NIELSSON, ULF; NIMALENDRAN, M; NOLTE, S; NORDEN, LL; O'NEILL, P; OBAID, K; ØDEGAARD, BA; ÖSTBERG, PER; PAGNOTTA, E; PAINTER, M; PALAN, S; PALIT, IJ; PARK, A; PASCUAL, R; PASQUARIELLO, P; PASTOR, L; PATEL, V; PATTON, AJ; PEARSON, ND; PELIZZON, L; PELLI, M; PELSTER, M; PÉRIGNON, C; PFIFFER, C; PHILIP, R; PLÍHAL, T; PRAKASH, P; PRESS, O; PRODROMOU, T; PROKOPCZUK, M; PUTNINS, T; QIAN, YA; RAIZADA, G; RAKOWSKI, D; RANALDO, A; REGIS, L; REITZ, S; RENAULT, T; RENJIE, RW; RENO, R; RIDDIOUGH, SJ; RINNE, K; RINTAMÄKI, P; RIORDAN, R; RITTMANNSBERGER, T; LONGARELA, IR; ROESCH, D; ROGNONE, L; ROSEMAN, B; ROŞU, I; ROY, S; RUDOLF, N; RUSH, SR; RZAYEV, K; RZEŹNIK, AA; SANFORD, A; SANKARAN, H; SARKAR, A; SARNO, L; SCAILLET, O; SCHARNOWSKI, S; SCHENK‐HOPPÉ, KR; SCHERTLER, A; SCHNEIDER, M; SCHROEDER, F; SCHÜRHOFF, N; SCHUSTER, P; SCHWARZ, MA; SEASHOLES, MS; SEEGER, NJ; SHACHAR, OR; SHKILKO, A; SHUI, J; SIKIC, M; SIMION, G; SMALES, LA; SÖDERLIND, P; SOJLI, E; SOKOLOV, K; SÖNKSEN, J; SPOKEVICIUTE, L; STEFANOVA, D; SUBRAHMANYAM, MG; SZASZI, B; TALAVERA, O; TANG, Y; TAYLOR, N; THAM, WW; THEISSEN, E; THIMME, J; TONKS, IAN; TRAN, HAI; TRAPIN, L; TROLLE, AB; VADUVA, MA; VALENTE, G; NESS, RAV; VASQUEZ, A; VEROUSIS, T; VERWIJMEREN, P; VILHELMSSON, A; VILKOV, G; VLADIMIROV, V; VOGEL, S; VOIGT, S; WAGNER, W; WALTHER, T; WEISS, P; WEL, MVD; WERNER, IM; WESTERHOLM, PJ; WESTHEIDE, C; WIKA, HC; WIPPLINGER, E; WOLF, M; WOLFF, CCP; WOLK, L; WONG, W; WRAMPELMEYER, JAN; WU, Z; XIA, S; XIU, D; XU, KE; XU, C; YADAV, PK; YAGÜE, J; YAN, C; YANG, A; YOO, W; YU, W; YU, Y; YU, S; YUESHEN, BZ; YUFEROVA, D; ZAMOJSKI, M; ZAREEI, A; ZEISBERGER, SM; ZHANG, LU; ZHANG, SS; ZHANG, X; ZHAO, LU; ZHONG, Z; ZHOU, ZI; ZHOU, C; ZHU, XS; ZOICAN, M; ZWINKELS, R, Nonstandard Errors, The Journal of Finance, vol. 79 no. 3 (June, 2024), pp. 2339-2390, Wiley [doi]  [abs]
  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, Rejoinder, Journal of Business and Economic Statistics, vol. 30 no. 1 (January, 2012), pp. 36-40, Informa UK Limited, ISSN 0735-0015 [doi]
  36. 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]
  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, 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]
  45. 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]
  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]
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