Access Statistics for Andrew Patton

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation 0 0 5 72 3 5 18 205
(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates 3 7 18 166 5 12 40 347
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 4 7 25 303 6 11 52 690
Common Factors in Conditional Distributions 3 4 14 256 5 9 37 612
Common factors in conditional distributions 0 0 0 223 1 12 53 975
Common factors in conditional distributions for Bivariate time series 2 6 15 174 7 15 37 393
Copula-Based Models for Financial Time Series 28 91 354 583 43 127 531 759
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 5 8 39 39 16 35 102 102
Estimation of Copula Models for Time Series of Possibly Different Length 2 9 28 632 6 19 68 1,283
Evaluating Volatility and Correlation Forecasts 8 25 81 221 11 33 124 206
Impacts of Trades in an Error-Correction Model of Quote Prices 1 4 23 460 8 15 53 1,092
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 1 2 23 94 6 12 62 168
Modelling Asymmetric Exchange Rate Dependence 1 5 8 8 2 8 17 17
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 7 19 79 871 11 32 141 1,557
Properties of Optimal Forecasts 1 1 5 134 1 1 17 253
Properties of Optimal Forecasts 1 5 22 223 7 12 57 392
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity 0 0 2 2 0 0 8 8
Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates 0 1 6 6 0 2 12 12
Testable Implications of Forecast Optimality 0 0 1 71 1 2 27 187
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 2 8 28 53 4 19 96 116
Volatility Forecast Comparison using Imperfect Volatility Proxies 3 12 52 203 6 26 119 479
Total Working Papers 72 214 828 4,794 149 407 1,671 9,853

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are "Market Neutral" Hedge Funds Really Market Neutral? 1 3 7 7 2 5 10 10
Common factors in conditional distributions for bivariate time series 2 5 11 53 4 11 21 123
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 3 6 7 7 7 12 19 19
Estimation of multivariate models for time series of possibly different lengths 4 6 23 108 6 13 59 245
Impacts of trades in an error-correction model of quote prices 1 4 21 180 2 6 41 411
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 6 13 73 97 11 27 135 174
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 6 25 107 361
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 1 20 90 7 22 68 285
Optimal combinations of realised volatility estimators 1 4 7 7 2 5 23 23
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 1 10 21 2 4 18 49
Testing Forecast Optimality Under Unknown Loss 0 2 10 17 1 6 20 31
Total Journal Articles 18 45 189 587 50 136 521 1,731

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Statistics updated 2009-11-04