Andrew J. Patton

Duke University - Department of Economics

213 Social Sciences Building

Box 90097

Durham, NC 27708-0204

United States

http://econ.duke.edu/~ap172/

SCHOLARLY PAPERS

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Scholarly Papers (46)

1.
Downloads 12,235 ( 596)
Citation 1

Non-Standard Errors

Journal of Finance Forthcoming
Number of pages: 111 Posted: 23 Nov 2021 Last Revised: 06 Jul 2023
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, The Brattle Group, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, International Monetary Fund (IMF) - Monetary and Capital Markets Department, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin-Milwaukee, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 12,235 (634)
Citation 3

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non-standard errors, multi-analyst approach, liquidity

2.

Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

UCSD Discussion Paper No. 01-09
Number of pages: 52 Posted: 24 Jul 2001
Andrew J. Patton
Duke University - Department of Economics
Downloads 1,855 (15,262)
Citation 83

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time series, copulas, dependence, exchange rates

3.

Are 'Market Neutral' Hedge Funds Really Market Neutral?

Number of pages: 33 Posted: 23 Jun 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 1,447 (22,414)
Citation 16

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hedge funds, market neutrality, dependence, correlation, risk, portfolio decisions, copulas

4.
Downloads 1,432 (22,759)
Citation 26

Change You Can Believe In? Hedge Fund Data Revisions

Journal of Finance, Forthcoming
Number of pages: 87 Posted: 30 Sep 2011 Last Revised: 21 Mar 2018
Andrew J. Patton, Tarun Ramadorai and Michael Streatfield
Duke University - Department of Economics, Imperial College London and University of Oxford - Said Business School
Downloads 1,429 (22,408)
Citation 3

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hedge funds, disclosure, asymmetric information, finance regulation, performance

Change You Can Believe in? Hedge Fund Data Revisions

CEPR Discussion Paper No. DP8898
Number of pages: 75 Posted: 04 Apr 2012
Andrew J. Patton, Tarun Ramadorai and Michael Streatfield
Duke University - Department of Economics, Imperial College London and University of Oxford - Said Business School
Downloads 3 (1,043,752)
Citation 11
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asymmetric information, disclosure, finance regulation, hedge funds, performance

5.

What You See Is Not What You Get: The Costs of Trading Market Anomalies

Journal of Financial Economics (JFE), Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 255
Number of pages: 79 Posted: 12 Sep 2017 Last Revised: 04 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 1,128 (32,324)
Citation 10

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Trading Costs, Performance Evaluation, Mutual Funds, Market Efficiency

6.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Lily Y. Liu, Andrew J. Patton and Kevin Sheppard
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 1,085 (34,064)
Citation 80

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realized variance, volatility forecasting, high frequency data

7.

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

London Economics Financial Markets Group Working Paper No. 483
Number of pages: 37 Posted: 06 Mar 2004
Xiaohong Chen, Yanqin Fan and Andrew J. Patton
Yale University - Cowles Foundation, Vanderbilt University - College of Arts and Science - Department of Economics and Duke University - Department of Economics
Downloads 1,011 (37,651)
Citation 45

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Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH

8.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Andrew J. Patton and Kevin Sheppard
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 965 (40,182)
Citation 115

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realized variance, semivariance, volatility forecasting, jumps, leverage effect

9.

Does Beta Move with News? Firm-Specific Information Flows and Learning About Profitability

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 23 Mar 2009 Last Revised: 11 Mar 2012
Andrew J. Patton and Michela Verardo
Duke University - Department of Economics and London School of Economics & Political Science (LSE)
Downloads 781 (53,781)
Citation 69

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Beta, comovement, earnings, announcements, information spillovers, realized covariance, realized volatility, high-frequency data.

10.
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Citation 5

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Kelley Business School - Indiana University, Duke University - Department of Economics and Imperial College London
Downloads 769 (54,112)
Citation 3

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hedge funds, liquidity, return predictability, equities, bonds, currencies.

The Impact of Hedge Funds on Asset Markets

CEPR Discussion Paper No. DP10151
Number of pages: 66 Posted: 25 Sep 2014
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Kelley Business School - Indiana University, Duke University - Department of Economics and Imperial College London
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bonds, currencies, equities, hedge funds, liquidity, return predictability

11.
Downloads 741 (57,704)
Citation 7

What Good is a Volatility Model?

NYU Working Paper No. S-DRP-01-03
Number of pages: 29 Posted: 07 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 741 (56,880)
Citation 7

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volatility modelling, ARCH, GARCH, volatility forecasting

What Good is a Volatility Model?

NYU Working Paper No. FIN-01-028
Posted: 03 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics

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volatility modelling, ARCH, GARCH, volatility forecasting

12.

Estimation of Copula Models for Time Series of Possibly Different Lengths

U of California, Econ. Disc. Paper No. 2001-17
Number of pages: 50 Posted: 11 Dec 2001
Andrew J. Patton
Duke University - Department of Economics
Downloads 714 (60,631)
Citation 32

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copulas, maximum likelihood, two-stage estimation, exchange rates, missing data

Impacts of Trades in an Error-Correction Model of Quote Prices

UCSD Economics Working Paper No. 2000-26; Twelfth Annual Utah Winter Finance Conference
Number of pages: 40 Posted: 17 Apr 2001
Andrew J. Patton and Robert F. Engle
Duke University - Department of Economics and New York University (NYU) - Department of Finance
Downloads 588 (76,729)
Citation 23

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market microstructure, error-correction, vector autoregression, price dynamics

Impacts of Trades in an Error-Correction Model of Quote Prices

NYU Working Paper No. FIN-00-033
Number of pages: 52 Posted: 04 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 88 (476,923)
Citation 3

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market microstructure, error-correction, vector autoregression, price dynamics

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Number of pages: 62 Posted: 29 Jun 2011 Last Revised: 15 Jan 2014
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 603 (74,320)
Citation 11

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beta, time-varying risk, performance evaluation, window-dressing, hedge funds, mutual funds

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

CEPR Discussion Paper No. DP8479
Number of pages: 49 Posted: 20 Jul 2011
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
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Citation 25
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beta, hedge funds, mutual funds, performance evaluation, time-varying risk, window-dressing

15.

Risk Price Variation: The Missing Half of Empirical Asset Pricing

Economic Research Initiatives at Duke (ERID) Working Paper No. 274
Number of pages: 62 Posted: 21 Jun 2018 Last Revised: 27 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 561 (82,354)

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Risk Premia, Market Segmentation, Clustering, Expectation Maximization

16.

Realized Semibetas: Signs of Things to Come

Economic Research Initiatives at Duke (ERID) Working Paper Forthcoming
Number of pages: 70 Posted: 16 Mar 2020
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 547 (84,967)
Citation 2

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Cross-sectional return variation; downside risk; semicovariances; semibetas

17.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Number of pages: 43 Posted: 24 May 2013 Last Revised: 16 Nov 2013
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 487 (98,010)
Citation 52

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correlation, tail risk, …financial crises, DCC

18.

Volatility Forecast Comparison Using Imperfect Volatility Proxies

University of Technology Quantitative Finance Research Centre Research Paper No. 175
Number of pages: 45 Posted: 02 Apr 2010
Andrew J. Patton
Duke University - Department of Economics
Downloads 453 (106,841)
Citation 123

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Forecast Evaluation, Forecast Comparison, Loss Functions, Realised Variance, Range

19.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Number of pages: 38 Posted: 06 Apr 2016
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 424 (115,396)
Citation 16

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Common risks, realized covariances, forecasting, asset allocation, portfolio construction

20.

Granular Betas and Risk Premium Functions

Number of pages: 51 Posted: 29 Oct 2022 Last Revised: 05 May 2023
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 369 (135,231)

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Cross section of expected returns, factor models, downside risk

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Number of pages: 41 Posted: 06 Mar 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 356 (139,722)
Citation 35

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Stock returns, forecasting, density forecasting, normality, asymmetry, copulas

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 130-168, 2004
Posted: 29 Feb 2008
Andrew J. Patton
Duke University - Department of Economics

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asymmetry, copulas, density forecasting, forecasting, normality, stock returns

22.
Downloads 328 (153,625)
Citation 7

On the Dynamics of Hedge Fund Risk Exposures

Number of pages: 50 Posted: 22 Mar 2010 Last Revised: 29 Jun 2011
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 318 (157,833)
Citation 11

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hedge funds, beta, time-varying risk, performance evaluation

On the Dynamics of Hedge Fund Risk Exposures

CEPR Discussion Paper No. DP7780
Number of pages: 52 Posted: 19 May 2010
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
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beta, performance evaluation, structural breaks, time-varying risk

23.

Dynamic Copula Models and High Frequency Data

Economic Research Initiatives at Duke (ERID) Working Paper No. 165
Number of pages: 37 Posted: 26 Jun 2013 Last Revised: 16 Nov 2013
Irving De Lira Salvatierra and Andrew J. Patton
Duke University and Duke University - Department of Economics
Downloads 314 (161,003)
Citation 13

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Realized correlation, realized volatility, dependence, forecasting, tail risk

24.

Realized Semicovariances

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 50 Posted: 08 Sep 2017 Last Revised: 31 Jan 2020
Tim Bollerslev, Jia Li, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 310 (163,108)
Citation 11

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High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting

25.

Common Factors in Conditional Distributions for Bivariate Time Series

UCSD Economics Working Paper No. 2002-19
Number of pages: 21 Posted: 06 Mar 2004
Clive W. J. Granger, Timo Teräsvirta and Andrew J. Patton
University of California, San Diego (UCSD) - Department of Economics, Stockholm School of Economics - Department of Economics and Duke University - Department of Economics
Downloads 245 (207,259)
Citation 13

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Common factors, copulas, business cycles

26.

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions

Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Number of pages: 49 Posted: 15 Jun 2013 Last Revised: 16 Nov 2013
Tim Bollerslev, Andrew J. Patton and Wang Wenjing
Duke University - Finance, Duke University - Department of Economics and Duke University
Downloads 244 (208,059)
Citation 5

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real estate, price indices, repeat sales index, high frequency data

Better the Devil You Know: Improved Forecasts from Imperfect Models

Number of pages: 44 Posted: 20 Sep 2021 Last Revised: 14 Oct 2021
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 139 (344,726)
Citation 2

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Model misspecification, local maximum likelihood, volatility forecasting

Better the Devil You Know: Improved Forecasts from Imperfect Models

FEDS Working Paper No. 2021-71
Number of pages: 45 Posted: 16 Nov 2021
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 69 (551,346)
Citation 1

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Model misspecification, Local maximum likelihood, Volatility forecasting, Value-at-risk and expected shortfall forecasting, Yield curve forecasting

28.

Asymptotic Inference about Predictive Accuracy Using High Frequency Data

Economic Research Initiatives at Duke (ERID) Working Paper No. 163
Number of pages: 70 Posted: 07 Jul 2013 Last Revised: 16 Nov 2013
Jia Li and Andrew J. Patton
Duke University and Duke University - Department of Economics
Downloads 204 (246,406)
Citation 2

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Forecast evaluation, realized variance, volatility, jumps, semimartingale

29.
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Citation 1

Testable Implications of Forecast Optimality

LSE STICERD Discussion Paper No. EM/05/485
Number of pages: 36 Posted: 15 Apr 2005
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 132 (356,992)
Citation 4

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forecast evaluation, loss function, rationality tests

Testable Implications of Forecast Optimality

LSE STICERD Research Paper No. EM485
Number of pages: 39 Posted: 21 Jul 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 45 (679,139)

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30.

Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)

Economic Research Initiatives at Duke (ERID) Working Paper No. 250
Number of pages: 50 Posted: 18 Jul 2017
Andrew J. Patton, Johanna Ziegel and Rui Chen
Duke University - Department of Economics, University of Bern and Duke University
Downloads 165 (297,215)
Citation 32

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Risk Management, Tails, Crashes, Forecasting, Generalized Autoregressive Score

31.

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Number of pages: 49 Posted: 17 Apr 2018
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and European Central Bank (ECB)
Downloads 163 (300,265)
Citation 6

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High-Frequency Data, Realized Volatility, Realized Correlation, Semivariance, Asymmetric Dependence

32.

Modelling Dependence in High Dimensions with Factor Copulas

FEDS Working Paper No. 2015-0511, http://dx.doi.org/10.17016/FEDS.2015.0511
Number of pages: 42 Posted: 26 Jul 2015
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 148 (325,444)
Citation 14

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copulas, correlation, dependence, systemic risk, tail dependence

Dynamic Factor Copula Models with Estimated Cluster Assignments

FEDS Working Paper No. 2021-029R1
Number of pages: 59 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 72 (538,372)
Citation 1

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high-dimensional models, risk management, multivariate density forecasting

Dynamic Factor Copula Models with Estimated Cluster Assignments

Number of pages: 49 Posted: 09 Jan 2021
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 61 (588,845)

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correlation, tail risk, multivariate density forecast

34.

Bespoke Realized Volatility: Tailored Measures of Risk for Volatility Prediction

Number of pages: 47 Posted: 30 Dec 2022
Andrew J. Patton and Haozhe Zhang
Duke University - Department of Economics and Duke University
Downloads 115 (396,576)

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Volatility forecasting, Machine learning, High frequency data

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

FEDS Working Paper No. 2015-050, http://dx.doi.org/10.17016/FEDS.2015.050
Number of pages: 54 Posted: 26 Jul 2015
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 72 (538,372)
Citation 4

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composite likelihood, forecasting, high frequency data, nonlinear dependence

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

FEDS Working Paper No. 2015-50
Number of pages: 54 Posted: 07 Oct 2015
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 35 (748,765)
Citation 6

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Composite likelihood, forecasting, high frequency data, nonlinear dependence

36.

Testing Forecast Rationality for Measures of Central Tendency

Number of pages: 65 Posted: 17 Oct 2019 Last Revised: 30 Sep 2020
Timo Dimitriadis, Andrew J. Patton and Patrick Schmidt
University of Hohenheim, Duke University - Department of Economics and Heidelberg Institute for Theoretical Studies (HITS) gGmbH
Downloads 102 (432,405)

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forecast evaluation, weak identification, survey forecasts, mode forecasts

37.

The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast

CREATES Research Paper No. 2008-54
Number of pages: 36 Posted: 21 Sep 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 94 (453,355)
Citation 4

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Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data

38.

Equity Clusters Through the Lens of Realized Semicorrelations

Number of pages: 27 Posted: 02 Nov 2021 Last Revised: 04 Feb 2022
Tim Bollerslev, Andrew J. Patton and Haozhe Zhang
Duke University, Duke University - Department of Economics and Duke University
Downloads 92 (459,733)
Citation 1

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Clustering, Stock returns, High-frequency data, Semicorrelations, COVID-19

39.

Testing for Unobserved Heterogeneity via K-Means Clustering

Number of pages: 37 Posted: 18 Jul 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 82 (493,294)
Citation 2

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model selection, overfitting, machine learning, classification methods

40.

Generalized Autoregressive Score Trees and Forests

Number of pages: 37 Posted: 26 May 2023
Andrew J. Patton and Yasin Simsek
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 38 (708,284)

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Forecasting, machine learning, random forest, regression tree, volatility, copula, durations

41.

Properties of Optimal Forecasts

Number of pages: 42 Posted: 22 Oct 2003
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
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Citation 1
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Forecast evaluation, loss function, rationality, efficient markets

42.

Forecast Rationality Tests Based on Multi-Horizon Bounds

CEPR Discussion Paper No. DP8194
Number of pages: 52 Posted: 31 Jan 2011
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
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Citation 8
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forecast horizon, forecast optimality, real-time data, survey forecasts

43.

Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts

CEPR Discussion Paper No. DP6526
Number of pages: 60 Posted: 05 Jun 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
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real time learning, survey forecasts, term structure of forecasts

44.

Copulas in Econometrics

Annual Review of Economics, Vol. 6, pp. 179-200, 2014
Posted: 08 Aug 2014
Yanqin Fan and Andrew J. Patton
University of Washington - Department of Economics and Duke University - Department of Economics

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45.

Are “Market Neutral” Hedge Funds Really Market Neutral?

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2295-2330, 2009
Posted: 22 Jun 2009
Andrew J. Patton
Duke University - Department of Economics

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G11, G23

46.

Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System

Posted: 18 Feb 2000
Colm Kearney and Andrew J. Patton
Monash University - Monash Business School and Duke University - Department of Economics

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