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

37

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14,354

CITATIONS
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565

Scholarly Papers (37)

1.

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 1,505 (11,241)
Citation 39

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time series, copulas, dependence, exchange rates

2.
Downloads 1,368 ( 13,098)
Citation 2

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 1,365 (12,878)
Citation 2

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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 (640,101)
Citation 2
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asymmetric information, disclosure, finance regulation, hedge funds, performance

3.

Are 'Market Neutral' Hedge Funds Really Market Neutral?

EFA 2004 Maastricht Meetings Paper No. 2691
Number of pages: 33 Posted: 23 Jun 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 1,347 (13,431)
Citation 31

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

4.

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 919 (23,837)
Citation 15

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

5.

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 836 (27,372)
Citation 11

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

6.

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 732 (32,822)

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Trading Costs, Performance Evaluation, Mutual Funds, Market Efficiency

7.

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 722 (33,467)
Citation 1

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realized variance, volatility forecasting, high frequency data

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
Downloads 704 (34,065)

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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 Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
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bonds, currencies, equities, hedge funds, liquidity, return predictability

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 662 (37,617)
Citation 12

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

10.

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 629 (40,226)
Citation 42

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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 - Leonard N. Stern School of Business - Department of Economics
Downloads 544 (47,999)
Citation 36

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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 - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics
Downloads 60 (353,660)
Citation 35

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

12.
Downloads 550 ( 47,958)
Citation 45

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 - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics
Downloads 550 (47,366)
Citation 45

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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 - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics

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volatility modelling, ARCH, GARCH, volatility forecasting

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 522 (50,669)
Citation 18

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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
Downloads 2 (650,840)
Citation 18
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beta, hedge funds, mutual funds, performance evaluation, time-varying risk, window-dressing

14.

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
Federal Reserve Board and Duke University - Department of Economics
Downloads 375 (76,589)
Citation 2

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correlation, tail risk, …financial crises, DCC

15.

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 Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 343 (85,038)

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

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
Number of pages: 41 Posted: 06 Mar 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 322 (90,708)
Citation 70

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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

17.
Downloads 293 (101,132)
Citation 19

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 283 (104,405)
Citation 18

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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
Downloads 10 (591,327)
Citation 19
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beta, performance evaluation, structural breaks, time-varying risk

18.

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 273 (109,130)

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

19.

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 223 (133,962)
Citation 56

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

20.

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 218 (136,908)
Citation 14

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Common factors, copulas, business cycles

21.

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 187 (158,003)
Citation 1

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

22.

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 171 (171,115)

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Forecast evaluation, realized variance, volatility, jumps, semimartingale

23.

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: 01 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 156 (185,034)

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Risk Premia, Market Segmentation, Clustering, Expectation Maximization

24.

Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 33 Posted: 08 Sep 2017
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 143 (198,872)

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High-Frequency Data; Realized Variances; Semicovariances; Symmetric Correlations; Cojumps; Volatility Forecasting

25.
Downloads 129 (215,919)
Citation 2

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 105 (252,492)
Citation 2

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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 24 (502,339)
Citation 2

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26.

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 110 (242,857)

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

27.

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
Federal Reserve Board and Duke University - Department of Economics
Downloads 99 (261,207)
Citation 5

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copulas, correlation, dependence, systemic risk, tail dependence

28.

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 64 (337,774)

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

29.

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 Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 61 (346,033)

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

30.

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
Federal Reserve Board and Duke University - Department of Economics
Downloads 38 (422,769)

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composite likelihood, forecasting, high frequency data, nonlinear dependence

31.

Properties of Optimal Forecasts

CEPR Discussion Paper No. 4037
Number of pages: 42 Posted: 22 Oct 2003
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 32 (447,497)
Citation 24
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Forecast evaluation, loss function, rationality, efficient markets

32.

Modelling Asymmetric Exchange Rate Dependence

International Economic Review, Vol. 47, No. 2, pp. 527-556, May 2006
Number of pages: 30 Posted: 08 May 2006
Andrew J. Patton
Duke University - Department of Economics
Downloads 13 (549,768)
Citation 109
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33.

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
Downloads 1 (632,999)
Citation 9
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forecast horizon, forecast optimality, real-time data, survey forecasts

34.

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
Downloads 1 (632,999)
Citation 2
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real time learning, survey forecasts, term structure of forecasts

35.

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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36.

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

37.

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

The Financial Review, February 2000
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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