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Patton, Andrew J.


 SSRN Author Rank: 2,267 by Downloads
 

Duke University - Department of Economics


 213 Social Sciences Building
 Box 90097
 Durham, NC 27708-0204
 United States
 HOME PAGE: http://econ.duke.edu/~ap172/
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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
10,103
Total
Citations
576
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 This Paper | Open PDF in Browser |
EFA 2004 Maastricht Meetings Paper No. 2691
Number of Pages in PDF File: 33
Patton, Andrew J.
Duke University - Department of Economics
Posted:
23 Jun 04
1,290
(8,611)
30

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
1,198
(9,767)
3

3.  
Patton, Andrew J.
Duke University - Department of Economics
Posted:
24 Jul 01
1,183
(9,942)
39

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
813
(17,782)
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
595
(27,647)
13

6.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
17 Apr 01
Last Revised:
04 Nov 08
561
(29,958)
38

7.  
Estimation of Copula Models for Time Series of Possibly Different Lengths | Show Abstract | Download This Paper | Open PDF in Browser |
U of California, Econ. Disc. Paper No. 2001-17
Number of Pages in PDF File: 50
Patton, Andrew J.
Duke University - Department of Economics
Posted:
11 Dec 01
556
(30,357)
44

8.   Incl. Electronic Paper
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:
17 Aug 15
543
(31,312)
 

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
451
(39,765)
20

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
397
(46,577)
44

11.  
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
385
(48,381)
3

12.  
Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of Pages in PDF File: 63
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
312
(62,173)
11

13.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Posted:
06 Mar 04
Last Revised:
29 Jul 10
302
(64,452)
74

14.   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
257
(76,845)
19

15.  
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
204
(97,597)
14

16.  
Dynamic Copula Models and High Frequency Data | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 165
Number of Pages in PDF File: 37
De Lira Salvatierra, Irving Arturo
Duke University
Patton, Andrew J.
Duke University - Department of Economics
Posted:
26 Jun 13
Last Revised:
16 Nov 13
199
(100,032)
 

17.  
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Number of Pages in PDF File: 43
Oh, Dong Hwan
Federal Reserve Board
Patton, Andrew J.
Duke University - Department of Economics
Posted:
24 May 13
Last Revised:
16 Nov 13
194
(102,401)
3

18.  
Volatility Forecast Comparison Using Imperfect Volatility Proxies | Show Abstract | Download This Paper | Open PDF in Browser |
University of Technology Quantitative Finance Research Centre Research Paper No. 175
Number of Pages in PDF File: 45
Patton, Andrew J.
Duke University - Department of Economics
Posted:
02 Apr 10
154
(126,297)
55

19.  
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Number of Pages in PDF File: 49
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
137
(139,426)
1

20.  
Asymptotic Inference about Predictive Accuracy Using High Frequency Data | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 163
Number of Pages in PDF File: 70
Li, Jia
Duke University
Patton, Andrew J.
Duke University - Department of Economics
Posted:
07 Jul 13
Last Revised:
16 Nov 13
116
(158,859)
 

21.   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
113
(161,961)
2

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
55
(249,612)
 

23.  
Properties of Optimal Forecasts | Show Abstract | Add to Cart |
CEPR Discussion Paper No. 4037
Number of Pages in PDF File: 42
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
(309,541)
25

24.  
Oh, Dong Hwan
Federal Reserve Board
Patton, Andrew J.
Duke University - Department of Economics
Posted:
26 Jul 15
31
(312,855)
4

25.  
Modelling Asymmetric Exchange Rate Dependence | Show Abstract | Add to Cart |
International Economic Review, Vol. 47, No. 2, pp. 527-556, May 2006
Number of Pages in PDF File: 30
Patton, Andrew J.
Duke University - Department of Economics
Posted:
08 May 06
13
(389,003)
108

26.  
Oh, Dong Hwan
Federal Reserve Board
Patton, Andrew J.
Duke University - Department of Economics
Posted:
26 Jul 15
10
(402,775)
 

27.  
Forecast Rationality Tests Based on Multi-Horizon Bounds | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP8194
Number of Pages in PDF File: 52
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
(449,137)
9

28.  
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
(449,137)
2

29.  
Copulas in Econometrics | Show Abstract |
Annual Review of Economics, Vol. 6, pp. 179-200, 2014
Fan, Yanqin
University of Washington - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
08 Aug 14
 

30.  
Are “Market Neutral” Hedge Funds Really Market Neutral? | Show Abstract |
The Review of Financial Studies, Vol. 22, Issue 7, pp. 2295-2330, 2009
Patton, Andrew J.
Duke University - Department of Economics
Posted:
22 Jun 09
 

31.  
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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