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 1 1 1 87 1 4 7 348
(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 0 0 1 183 0 3 5 442
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 1 5 8 809
Are "market neutral" hedge funds really market neutral? 1 2 3 11 2 3 18 83
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 0 2 5 69
Better the Devil You Know: Improved Forecasts from Imperfect Models 105 116 116 116 17 24 24 24
Change You Can Believe In? Hedge Fund Data Revisions 1 1 1 95 2 2 6 326
Common Factors in Conditional Distributions 0 0 0 6 1 1 4 51
Common factors in conditional distributions 0 0 0 223 0 0 2 1,077
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 0 2 604
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 1 3 37 0 2 17 40
Copula-Based Models for Financial Time Series 0 0 0 0 0 2 9 66
Copula-Based Models for Financial Time Series 1 1 6 1,078 1 3 20 1,650
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 1 65 1 3 16 151
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 1 83 0 0 5 96
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 1 2 8 184 4 10 46 474
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 1 1 122 0 2 7 543
Does beta move with news?: Systematic risk and firm-specific information flows 0 0 1 6 0 0 6 44
Dynamic Copula Models and High Frequency Data 0 0 0 61 0 2 6 153
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 2 21 21 0 5 25 25
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 2 90 0 0 17 123
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 0 17 1 1 5 66
Evaluating Volatility and Correlation Forecasts 0 1 1 379 1 2 3 499
Evaluating Volatility and Correlation Forecasts 0 0 0 0 0 1 2 37
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 1 6 286 1 3 31 634
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 44 2 3 12 165
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 0 0 3 97
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 0 26 0 1 6 100
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 3 147 1 1 7 370
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 1 2 4 425 4 5 10 122
Modelling Dependence in High Dimensions with Factor Copulas 0 0 2 68 0 0 14 125
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 1 4 9 46 4 8 33 185
On the Dynamics of Hedge Fund Risk Exposures 0 0 1 38 0 0 4 225
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 1 68 1 1 6 226
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 1 1 17 1 2 11 133
Properties of Optimal Forecasts 0 0 0 181 2 2 4 694
Properties of Optimal Forecasts 0 0 1 285 0 0 16 645
Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates 0 0 3 8 0 0 8 64
Testable Implications of Forecast Optimality 0 0 0 1 0 0 3 30
Testable implications of forecast optimality 0 0 0 1 0 0 0 40
Testing Forecast Rationality for Measures of Central Tendency 0 0 0 29 0 1 5 28
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 1 34 0 1 6 17
Testing forecast rationality for measures of central tendency 0 0 1 6 0 1 20 24
The Impact of Hedge Funds on Asset Markets 0 0 0 26 1 3 22 86
The Impact of Hedge Funds on Asset Markets 0 1 1 56 1 5 11 97
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 2 115 0 0 4 333
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 1 6 103 0 2 14 228
Volatility Forecast Comparison using Imperfect Volatility Proxies 7 14 51 567 10 42 144 1,537
Total Working Papers 119 152 261 6,138 60 158 659 14,005


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A review of copula models for economic time series 0 3 11 36 1 10 37 148
Are "Market Neutral" Hedge Funds Really Market Neutral? 2 4 4 60 6 12 19 265
Asymptotic inference about predictive accuracy using high frequency data 0 0 1 4 0 0 6 32
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 1 0 1 11 46
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 1 2 2 0 1 8 39
Comment 0 0 0 5 0 3 7 23
Common factors in conditional distributions for bivariate time series 0 0 0 108 0 1 2 285
Comparing Possibly Misspecified Forecasts 1 2 7 7 2 4 14 16
Copulas in Econometrics 0 2 7 44 2 5 28 165
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 0 1 6 75 0 6 19 268
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 1 17 0 1 6 67
Data-based ranking of realised volatility estimators 0 0 1 43 1 2 9 170
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 0 1 30 1 3 11 122
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 1 4 21 100 6 17 68 339
Dynamic copula models and high frequency data 0 0 4 20 2 3 12 96
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 2 7 24 50 8 24 74 151
Editorial 0 0 0 0 0 0 3 7
Estimation of multivariate models for time series of possibly different lengths 0 0 2 253 4 10 24 729
Exploiting the errors: A simple approach for improved volatility forecasting 4 17 52 156 11 44 152 530
Farewell Editorial 0 1 1 6 0 2 6 16
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 26 1 1 9 96
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 2 10 33 118 14 39 140 491
High-dimensional copula-based distributions with mixed frequency data 0 0 0 9 0 0 1 51
Impacts of trades in an error-correction model of quote prices 0 0 2 245 0 0 6 643
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 1 1 4 23
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 5 447 8 15 49 1,126
Modeling Dependence in High Dimensions With Factor Copulas 0 1 3 7 0 1 8 28
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 1 3 9 17 1 4 19 55
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 4 10 27 240 16 30 153 982
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 1 4 15 691
Multivariate leverage effects and realized semicovariance GARCH models 0 0 1 2 5 6 18 36
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 34 0 0 6 172
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 1 2 5 146 1 8 34 599
Optimal combinations of realised volatility estimators 0 4 12 107 4 11 40 311
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 2 34 0 3 10 138
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 11 0 0 6 57
Properties of optimal forecasts under asymmetric loss and nonlinearity 1 2 6 107 3 4 13 264
Realized Semicovariances 1 2 6 8 3 9 33 56
Rejoinder 0 0 0 2 0 0 1 27
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 0 0 3 15
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 0 17 0 0 4 54
Testing Forecast Optimality Under Unknown Loss 0 1 2 72 1 4 22 200
The Impact of Hedge Funds on Asset Markets 0 0 0 5 0 0 3 22
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 0 1 12 27 4 10 51 106
Volatility forecast comparison using imperfect volatility proxies 3 12 63 335 15 49 184 1,131
What good is a volatility model? 0 0 0 37 2 4 10 158
What you see is not what you get: The costs of trading market anomalies 0 1 7 10 3 9 34 59
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 2 3 16 139 5 14 49 394
Total Journal Articles 25 94 357 3,226 132 375 1,441 11,499


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Copula Methods for Forecasting Multivariate Time Series 0 3 32 197 2 10 63 528
Total Chapters 0 3 32 197 2 10 63 528


Statistics updated 2022-01-05