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Patton, Andrew J.


 SSRN Author Rank: 2,237 by Downloads
 

Duke University - Department of Economics


 Durham, NC 27708-0204
 United States
 HOME PAGE: http://econ.duke.edu/~ap172/
 email address

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. Patton, Andrew J.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
9,207
Total
Citations
564
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Are 'Market Neutral' Hedge Funds Really Market Neutral? | Show Abstract | Download |
EFA 2004 Maastricht Meetings Paper No. 2691
Working Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Posted:
23 Jun 04
1,270
(7,597)
28

2.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Ramadorai, Tarun
University of Oxford - Said Business School
Streatfield, Michael
University of Oxford - Said Business School
Posted:
30 Sep 11
Last Revised:
30 Jun 13
1,122
(9,343)
3

3.  
Patton, Andrew J.
Duke University - Department of Economics
Posted:
24 Jul 01
1,109
(9,534)
40

4.  
Chen, Xiaohong
Yale University - Cowles Foundation
Fan, Yanqin
Vanderbilt University - College of Arts and Science - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
06 Mar 04
775
(16,559)
15

5.  
Patton, Andrew J.
Duke University - Department of Economics
Verardo, Michela
London School of Economics
Posted:
23 Mar 09
Last Revised:
11 Mar 12
574
(25,333)
13

6.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
17 Apr 01
Last Revised:
04 Nov 08
555
(26,515)
38

7.  
Estimation of Copula Models for Time Series of Possibly Different Lengths | Show Abstract | Download |
U of California, Econ. Disc. Paper No. 2001-17
Working Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Posted:
11 Dec 01
531
(28,175)
44

8.  
Kruttli, Mathias
University of Oxford - Oxford-Man Institute of Quantitative Finance
Patton, Andrew J.
Duke University - Department of Economics
Ramadorai, Tarun
University of Oxford - Said Business School
Posted:
27 Jun 13
Last Revised:
30 Aug 14
441
(35,910)
 

9.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Ramadorai, Tarun
University of Oxford - Said Business School
Posted:
29 Jun 11
Last Revised:
15 Jan 14
427
(37,442)
19

10.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
03 Nov 08
Last Revised:
07 Nov 08
367
(45,025)
44

11.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Posted:
06 Mar 04
Last Revised:
29 Jul 10
296
(58,129)
71

12.  
Liu, Lily Y.
Duke University
Patton, Andrew J.
Duke University - Department of Economics
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
13 Feb 13
279
(62,174)
3

13.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Ramadorai, Tarun
University of Oxford - Said Business School
Posted:
22 Mar 10
Last Revised:
29 Jun 11
248
(70,867)
18

14.  
Common Factors in Conditional Distributions for Bivariate Time Series | Show Abstract | Download |
UCSD Economics Working Paper No. 2002-19
Working Paper Series
Granger, Clive W. J.
University of California, San Diego (UCSD) - Department of Economics
Teräsvirta, Timo
Stockholm School of Economics - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
06 Mar 04
202
(87,322)
15

15.  
Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Accepted Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
15 Oct 11
Last Revised:
18 Nov 13
164
(106,236)
11

16.  
Dynamic Copula Models and High Frequency Data | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 165
Accepted Paper Series
De Lira Salvatierra, Irving Arturo
Duke University
Patton, Andrew J.
Duke University - Department of Economics
Posted:
26 Jun 13
Last Revised:
16 Nov 13
159
(109,265)
 

17.  
Volatility Forecast Comparison Using Imperfect Volatility Proxies | Show Abstract | Download |
University of Technology Quantitative Finance Research Centre Research Paper No. 175
Working Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Posted:
02 Apr 10
136
(125,029)
54

18.  
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Accepted Paper Series
Oh, Dong Hwan
Duke University - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
24 May 13
Last Revised:
16 Nov 13
125
(133,882)
1

19.  
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Accepted Paper Series
Bollerslev, Tim
Duke University - Finance
Patton, Andrew J.
Duke University - Department of Economics
Wenjing, Wang
Duke University
Posted:
15 Jun 13
Last Revised:
16 Nov 13
114
(143,558)
1

20.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
15 Apr 05
Last Revised:
21 Jul 08
110
(147,443)
2

21.  
Asymptotic Inference about Predictive Accuracy Using High Frequency Data | Show Abstract | Download |
Economic Research Initiatives at Duke (ERID) Working Paper No. 163
Accepted Paper Series
Li, Jia
Duke University
Patton, Andrew J.
Duke University - Department of Economics
Posted:
07 Jul 13
Last Revised:
16 Nov 13
104
(153,481)
 

22.  
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Sep 08
52
(229,215)
 

23.  
Properties of Optimal Forecasts | Show Abstract | Download |
CEPR Discussion Paper No. 4037
Working Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
22 Oct 03
32
(276,775)
26

24.  
Modelling Asymmetric Exchange Rate Dependence | Show Abstract | Download |
International Economic Review, Vol. 47, No. 2, pp. 527-556, May 2006
Accepted Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Posted:
08 May 06
13
(349,297)
107

25.  
Forecast Rationality Tests Based on Multi-Horizon Bounds | Show Abstract | Download |
CEPR Discussion Paper No. DP8194
Working Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
31 Jan 11
1
(405,973)
9

26.  
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
05 Jun 08
1
(405,973)
2

27.  
Copulas in Econometrics | Show Abstract |
Annual Review of Economics, Vol. 6, pp. 179-200, 2014
Accepted Paper Series
Fan, Yanqin
University of Washington - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
08 Aug 14
 

28.  
Are “Market Neutral” Hedge Funds Really Market Neutral? | Show Abstract |
The Review of Financial Studies, Vol. 22, Issue 7, pp. 2295-2330, 2009
Accepted Paper Series
Patton, Andrew J.
Duke University - Department of Economics
Posted:
22 Jun 09
 

29.  
Kearney, Colm
Monash University - Faculty of Business and Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
18 Feb 00
 


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