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 0 0 7 362
(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 1 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 0 2 21 118
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 1 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 1 3 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 0 0 11 14
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 13 105
Copula-Based Models for Financial Time Series 0 0 0 1,092 0 1 22 1,701
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 1 2 19 123
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 0 0 4 207 1 2 35 566
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 0 122 0 0 14 579
Does beta move with news? Systematic risk and firm-specific information flows 0 0 0 6 0 2 9 62
Dynamic Copula Models and High Frequency Data 0 0 1 63 0 0 12 180
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 0 1 39 1 1 12 73
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 0 93 1 3 18 160
Estimation of Copula Models for Time Series of Possibly Different Length 0 1 1 21 1 2 14 89
Evaluating Volatility and Correlation Forecasts 0 1 2 385 0 2 15 531
Evaluating Volatility and Correlation Forecasts 0 0 0 0 0 2 13 68
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 0 5 318 1 2 18 734
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 2 2 15 211
Generalized Autoregressive Score Trees and Forests 0 0 0 39 0 3 15 35
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 0 2 16 124
Impacts of Trades in an Error-Correction Model of Quote Prices 0 1 1 29 0 3 13 122
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 4 12 386
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 0 2 19 154
Modelling Dependence in High Dimensions with Factor Copulas 0 0 4 86 0 0 20 173
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 0 0 66 0 0 6 259
Non-Standard Errors 0 0 0 27 0 3 20 171
Non-Standard Errors 0 0 0 44 1 8 44 484
Nonstandard Errors 0 0 0 0 3 5 22 24
Nonstandard Errors 0 0 1 4 2 4 27 47
Nonstandard Errors 0 0 0 0 0 3 30 35
Nonstandard errors 0 0 1 12 1 3 31 82
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 0 4 16 245
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 1 3 12 247
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 2 24 0 1 15 175
Properties of Optimal Forecasts 0 0 0 287 0 1 25 673
Properties of Optimal Forecasts 0 0 0 184 0 1 14 723
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 0 0 10 51
Testing Forecast Rationality for Measures of Central Tendency 0 0 0 35 0 0 11 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 57 0 0 13 117
The Impact of Hedge Funds on Asset Markets 0 0 0 28 0 0 19 132
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 1 1 118 0 2 15 354
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 2 110 0 0 26 282
Volatility Forecast Comparison using Imperfect Volatility Proxies 5 13 40 862 8 26 99 2,164
Total Working Papers 5 21 71 6,775 26 111 973 17,014
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 1 2 3 55 4 7 31 239
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 0 1 74 2 3 16 342
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 1 5 10 10
Better the devil you know: Improved forecasts from imperfect models 1 1 2 5 1 6 21 31
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models 0 0 0 5 1 1 6 19
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 1 1 6 37
Common factors in conditional distributions for bivariate time series 0 0 0 109 0 2 9 302
Comparing Possibly Misspecified Forecasts 1 1 8 20 3 4 20 57
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 3 0 0 10 17
Copulas in Econometrics 1 1 2 57 2 2 11 203
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 0 0 6 98 8 12 42 352
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 2 21 0 0 12 91
Data-based ranking of realised volatility estimators 0 0 0 45 1 2 10 189
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 1 2 2 38 2 6 18 155
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 0 4 10 176 4 16 50 629
Dynamic copula models and high frequency data 0 0 0 30 0 1 21 142
Dynamic factor copula models with estimated cluster assignments 0 0 0 2 1 1 15 24
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 0 0 4 95 2 4 35 312
Editorial 0 0 0 1 0 0 6 17
Equity clusters through the lens of realized semicorrelations 0 0 0 3 0 1 16 33
Estimation of multivariate models for time series of possibly different lengths 0 0 0 263 1 2 14 793
Estimation of multivariate models for time series of possibly different lengths 0 0 1 6 0 1 23 51
Exploiting the errors: A simple approach for improved volatility forecasting 0 1 7 252 5 14 67 838
Farewell Editorial 0 0 0 7 0 0 5 29
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 2 29 2 2 16 131
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 9 1 2 8 29
From zero to hero: Realized partial (co)variances 0 0 2 7 0 1 17 30
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 3 8 17 171 10 28 98 758
High-dimensional copula-based distributions with mixed frequency data 0 0 0 15 2 3 12 90
Impacts of trades in an error-correction model of quote prices 0 0 1 253 0 2 17 681
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 0 1 2 28
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 0 447 1 9 60 1,331
Modeling Dependence in High Dimensions With Factor Copulas 1 2 6 57 1 5 37 182
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 3 3 31 2 11 23 110
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 2 319 1 7 27 1,193
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 0 2 24 758
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 5 0 4 15 72
Nonstandard Errors 1 2 8 46 5 9 53 185
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 35 1 1 18 202
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 0 0 155 0 0 20 648
Optimal combinations of realised volatility estimators 0 0 0 131 0 2 12 423
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 0 8 162
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 17 0 3 16 88
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 1 2 14 309
Realized Semicovariances 0 0 0 17 2 3 26 120
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 4 44 10 18 44 282
Rejoinder 0 0 0 2 1 1 4 32
Risk Price Variation: The Missing Half of Empirical Asset Pricing 0 0 0 7 0 1 15 34
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 1 1 5 20
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 1 21 1 2 10 76
Testing Forecast Optimality Under Unknown Loss 0 0 0 77 0 1 11 227
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 1 2 24 217
Volatility forecast comparison using imperfect volatility proxies 2 3 11 470 13 33 97 1,597
What good is a volatility model? 2 4 5 85 3 9 19 303
What you see is not what you get: The costs of trading market anomalies 0 2 3 27 3 16 29 128
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 1 4 221 2 3 27 628
Total Journal Articles 14 39 127 4,322 103 277 1,344 16,246

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 1 3 10 262 2 11 79 743
Copula–Based Models for Financial Time Series 0 0 0 0 1 1 13 13
Evaluating Volatility and Correlation Forecasts 0 0 1 1 1 2 10 10
Total Chapters 1 3 11 263 4 14 102 766

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