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 0 87 1 1 8 363
(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 0 185 0 0 10 455
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 0 1 8 826
Are "market neutral" hedge funds really market neutral? 0 0 0 18 1 3 22 119
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 0 1 9 83
Better the Devil You Know: Improved Forecasts from Imperfect Models 0 0 0 123 0 0 6 51
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 96 0 1 18 352
Common Factors in Conditional Distributions 0 0 0 7 0 0 8 61
Common factors in conditional distributions 0 0 0 223 0 0 11 1,089
Common factors in conditional distributions for Bivariate time series 0 0 0 1 1 1 11 15
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 0 9 616
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 40 0 0 19 78
Copula-Based Models for Financial Time Series 0 0 0 0 0 0 11 105
Copula-Based Models for Financial Time Series 0 0 0 1,092 1 1 23 1,702
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 0 6 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 2 3 21 125
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 0 0 3 207 2 4 36 568
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 0 122 1 1 15 580
Does beta move with news? Systematic risk and firm-specific information flows 0 0 0 6 0 1 9 62
Dynamic Copula Models and High Frequency Data 0 0 1 63 2 2 14 182
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 0 1 39 1 2 13 74
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 0 93 2 4 20 162
Estimation of Copula Models for Time Series of Possibly Different Length 0 1 1 21 0 2 13 89
Evaluating Volatility and Correlation Forecasts 0 0 1 385 1 2 15 532
Evaluating Volatility and Correlation Forecasts 0 0 0 0 0 1 12 68
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 1 1 6 319 3 5 21 737
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 0 2 15 211
Generalized Autoregressive Score Trees and Forests 0 0 0 39 4 5 19 39
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 1 1 17 125
Impacts of Trades in an Error-Correction Model of Quote Prices 0 1 1 29 0 1 13 122
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 2 11 386
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 2 3 21 156
Modelling Dependence in High Dimensions with Factor Copulas 0 0 2 86 0 0 18 173
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 0 0 66 1 1 7 260
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Nonstandard Errors 0 0 0 0 0 4 22 24
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard Errors 0 0 0 0 1 1 30 36
Nonstandard errors 1 1 2 13 2 5 32 84
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 3 6 17 248
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 2 4 13 249
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 2 24 1 2 15 176
Properties of Optimal Forecasts 0 0 0 184 1 2 15 724
Properties of Optimal Forecasts 0 0 0 287 0 0 24 673
Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates 0 0 0 8 0 1 21 94
Skill and Efficiency in the U.S. Mutual Fund Industry 0 4 4 4 0 3 3 3
Testable Implications of Forecast Optimality 0 0 0 2 0 0 7 42
Testable implications of forecast optimality 0 0 0 1 1 1 11 52
Testing Forecast Rationality for Measures of Central Tendency 0 0 0 35 0 0 10 57
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 0 36 0 0 7 33
Testing forecast rationality for measures of central tendency 0 0 0 9 0 0 13 64
The Impact of Hedge Funds on Asset Markets 0 0 0 28 0 0 19 132
The Impact of Hedge Funds on Asset Markets 0 0 0 57 0 0 13 117
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 1 118 1 2 16 355
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 1 110 0 0 24 282
Volatility Forecast Comparison using Imperfect Volatility Proxies 2 10 37 864 7 20 96 2,171
Total Working Papers 6 20 67 6,781 49 115 987 17,063
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A consistent specification test for dynamic quantile models 0 0 0 7 0 1 12 28
A review of copula models for economic time series 0 2 3 55 1 7 31 240
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 0 1 74 2 4 18 344
Asymptotic inference about predictive accuracy using high frequency data 0 0 0 5 0 0 10 49
Bespoke realized volatility: Tailored measures of risk for volatility prediction 0 2 3 3 0 4 10 10
Better the devil you know: Improved forecasts from imperfect models 0 1 2 5 1 4 21 32
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models 0 0 0 5 1 2 7 20
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 4 0 0 13 72
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 0 0 4 0 0 7 51
Comment 0 0 0 6 0 1 6 37
Common factors in conditional distributions for bivariate time series 0 0 0 109 0 0 9 302
Comparing Possibly Misspecified Forecasts 0 1 7 20 0 3 18 57
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 3 0 0 9 17
Copulas in Econometrics 0 1 2 57 1 3 12 204
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 3 3 9 101 14 25 56 366
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 2 21 1 1 13 92
Data-based ranking of realised volatility estimators 0 0 0 45 0 2 10 189
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 1 2 38 1 3 19 156
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 0 4 8 176 9 23 55 638
Dynamic copula models and high frequency data 0 0 0 30 0 0 20 142
Dynamic factor copula models with estimated cluster assignments 1 1 1 3 2 3 17 26
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 1 1 5 96 4 8 39 316
Editorial 0 0 0 1 0 0 6 17
Equity clusters through the lens of realized semicorrelations 1 1 1 4 1 1 17 34
Estimation of multivariate models for time series of possibly different lengths 1 1 1 7 2 2 23 53
Estimation of multivariate models for time series of possibly different lengths 0 0 0 263 1 3 15 794
Exploiting the errors: A simple approach for improved volatility forecasting 0 1 7 252 2 12 62 840
Farewell Editorial 0 0 0 7 0 0 5 29
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 29 3 5 17 134
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 9 3 5 11 32
From zero to hero: Realized partial (co)variances 0 0 2 7 5 5 21 35
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 1 7 18 172 16 36 110 774
High-dimensional copula-based distributions with mixed frequency data 0 0 0 15 0 2 12 90
Impacts of trades in an error-correction model of quote prices 0 0 1 253 1 3 18 682
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 0 0 2 28
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 0 447 2 3 62 1,333
Modeling Dependence in High Dimensions With Factor Copulas 0 1 5 57 4 6 37 186
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 1 3 31 2 5 23 112
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 2 319 1 4 26 1,194
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 0 0 24 758
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 5 0 1 15 72
Nonstandard Errors 0 2 8 46 6 15 57 191
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 1 1 1 36 2 3 20 204
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 0 0 155 2 2 22 650
Optimal combinations of realised volatility estimators 0 0 0 131 0 1 12 423
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 17 0 2 16 88
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 0 8 162
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 1 2 13 310
Realized Semicovariances 0 0 0 17 2 5 28 122
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 4 44 2 16 46 284
Rejoinder 0 0 0 2 0 1 4 32
Risk Price Variation: The Missing Half of Empirical Asset Pricing 0 0 0 7 0 1 14 34
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 0 1 5 20
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 1 1 1 22 3 4 12 79
Testing Forecast Optimality Under Unknown Loss 1 1 1 78 2 3 12 229
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 1 2 0 0 8 20
The Impact of Hedge Funds on Asset Markets 0 0 0 6 0 1 12 40
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 0 0 4 56 0 2 23 217
Volatility forecast comparison using imperfect volatility proxies 5 7 16 475 14 35 105 1,611
What good is a volatility model? 0 2 5 85 1 5 18 304
What you see is not what you get: The costs of trading market anomalies 1 2 4 28 14 27 43 142
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 1 1 4 222 2 4 25 630
Total Journal Articles 18 46 137 4,340 131 317 1,421 16,377

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 2 10 262 6 12 83 749
Copula–Based Models for Financial Time Series 0 0 0 0 0 1 13 13
Evaluating Volatility and Correlation Forecasts 0 0 1 1 1 2 11 11
Total Chapters 0 2 11 263 7 15 107 773

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