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 2 355
(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 1 1 1 185 1 1 1 445
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 1 2 4 818
Are "market neutral" hedge funds really market neutral? 0 0 2 18 0 1 5 97
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 0 0 3 74
Better the Devil You Know: Improved Forecasts from Imperfect Models 0 0 0 123 0 0 1 45
Change You Can Believe In? Hedge Fund Data Revisions 0 0 1 96 0 2 5 334
Common Factors in Conditional Distributions 0 0 0 7 0 0 0 53
Common factors in conditional distributions 0 0 0 223 0 0 0 1,078
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 0 1 607
Common factors in conditional distributions for Bivariate time series 0 1 1 1 1 2 3 3
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 40 0 3 5 59
Copula-Based Models for Financial Time Series 0 0 0 0 0 1 11 92
Copula-Based Models for Financial Time Series 0 1 1 1,091 0 2 8 1,678
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 1 1 168
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 0 1 2 104
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 0 0 1 202 3 5 11 530
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 0 122 0 2 7 565
Does beta move with news? Systematic risk and firm-specific information flows 0 0 0 6 0 0 1 51
Dynamic Copula Models and High Frequency Data 1 1 1 62 1 2 5 168
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 0 1 37 0 0 1 60
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 1 93 0 1 4 141
Estimation of Copula Models for Time Series of Possibly Different Length 1 1 1 20 1 1 1 75
Evaluating Volatility and Correlation Forecasts 0 0 3 383 2 3 8 516
Evaluating Volatility and Correlation Forecasts 0 0 0 0 1 2 4 55
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 2 3 6 313 3 5 15 715
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 46 0 0 2 196
Generalized Autoregressive Score Trees and Forests 0 1 2 39 1 2 5 20
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 0 0 2 107
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 0 28 0 1 2 109
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 0 2 374
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 1 1 428 0 2 5 135
Modelling Dependence in High Dimensions with Factor Copulas 0 1 4 82 0 2 9 153
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 0 0 66 1 2 4 253
Non-Standard Errors 0 2 3 44 2 7 42 440
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 0 0 3 229
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 0 0 2 235
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 1 22 0 0 10 160
Properties of Optimal Forecasts 0 0 3 184 0 0 5 709
Properties of Optimal Forecasts 0 0 1 287 0 0 1 648
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 0 3 72
Testable Implications of Forecast Optimality 0 0 0 2 0 0 1 35
Testable implications of forecast optimality 0 0 0 1 0 0 1 41
Testing Forecast Rationality for Measures of Central Tendency 0 0 1 35 0 0 2 45
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 0 36 0 0 1 25
Testing forecast rationality for measures of central tendency 0 0 0 9 0 0 3 51
The Impact of Hedge Funds on Asset Markets 0 0 1 57 0 1 5 104
The Impact of Hedge Funds on Asset Markets 0 0 0 28 0 0 1 113
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 0 117 0 0 1 339
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 1 2 3 108 1 2 5 255
Volatility Forecast Comparison using Imperfect Volatility Proxies 6 17 48 818 11 37 112 2,052
Total Working Papers 12 32 89 6,656 30 93 338 15,786
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 2 7 0 0 5 16
A review of copula models for economic time series 0 0 3 52 0 1 14 207
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 1 4 73 0 4 16 326
Asymptotic inference about predictive accuracy using high frequency data 0 0 0 5 1 2 3 39
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models 0 0 2 5 0 1 6 13
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 4 0 0 3 59
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 0 0 4 0 0 0 44
Comment 0 0 0 6 0 0 3 31
Common factors in conditional distributions for bivariate time series 0 0 0 109 0 1 3 293
Comparing Possibly Misspecified Forecasts 1 1 2 12 2 3 5 37
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 3 0 0 1 7
Copulas in Econometrics 0 0 0 55 0 3 7 192
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 1 1 2 92 3 5 12 309
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 0 19 0 0 0 78
Data-based ranking of realised volatility estimators 0 0 0 45 0 0 2 179
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 0 0 36 0 0 3 137
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 0 0 6 165 4 11 36 575
Dynamic copula models and high frequency data 0 0 5 30 1 2 11 121
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 0 0 1 91 3 5 14 276
Editorial 0 0 0 1 0 0 1 11
Equity clusters through the lens of realized semicorrelations 0 0 0 3 0 0 1 17
Estimation of multivariate models for time series of possibly different lengths 0 0 0 263 0 2 11 779
Estimation of multivariate models for time series of possibly different lengths 0 0 3 5 0 1 9 27
Exploiting the errors: A simple approach for improved volatility forecasting 1 3 10 243 4 14 31 769
Farewell Editorial 0 0 0 7 0 0 3 24
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 27 0 0 1 115
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 9 0 0 2 21
From zero to hero: Realized partial (co)variances 0 0 2 5 0 0 6 12
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 1 2 6 153 2 7 27 655
High-dimensional copula-based distributions with mixed frequency data 0 0 1 14 0 2 4 76
Impacts of trades in an error-correction model of quote prices 0 0 2 252 0 2 7 664
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 0 1 1 26
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 0 447 1 5 27 1,269
Modeling Dependence in High Dimensions With Factor Copulas 0 3 7 50 1 7 28 142
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 1 2 28 0 2 6 87
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 7 317 0 1 19 1,166
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 0 1 12 732
Multivariate leverage effects and realized semicovariance GARCH models 0 1 2 5 0 1 6 56
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 35 1 2 6 184
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 1 1 2 155 3 4 6 628
Optimal combinations of realised volatility estimators 0 0 3 131 0 1 16 409
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 16 1 3 4 72
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 2 5 154
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 2 4 121 1 3 8 295
Realized Semicovariances 0 0 0 17 0 0 2 92
Realized semibetas: Disentangling “good” and “bad” downside risks 1 1 4 40 1 1 20 238
Rejoinder 0 0 0 2 0 0 1 28
Risk Price Variation: The Missing Half of Empirical Asset Pricing 0 0 0 7 0 1 2 18
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 0 0 0 15
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 0 20 0 0 1 66
Testing Forecast Optimality Under Unknown Loss 1 1 1 77 1 1 3 216
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 0 1 1 1 3 12
The Impact of Hedge Funds on Asset Markets 0 0 0 6 1 2 2 28
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 1 1 7 52 1 3 17 191
Volatility forecast comparison using imperfect volatility proxies 2 5 15 459 5 17 51 1,497
What good is a volatility model? 2 7 14 80 5 17 36 283
What you see is not what you get: The costs of trading market anomalies 0 0 1 24 0 2 7 99
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 2 13 216 3 10 45 599
Total Journal Articles 12 33 135 4,145 46 154 581 14,711


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 14 250 0 8 36 660
Total Chapters 0 3 14 250 0 8 36 660


Statistics updated 2025-07-04