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 1 7 363
(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 2 2 12 457
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 1 1 9 827
Are "market neutral" hedge funds really market neutral? 0 0 0 18 1 2 21 120
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 1 1 6 52
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 96 0 1 17 352
Common Factors in Conditional Distributions 0 0 0 7 0 0 8 61
Common factors in conditional distributions 0 0 0 223 1 1 12 1,090
Common factors in conditional distributions for Bivariate time series 0 0 0 240 1 1 10 617
Common factors in conditional distributions for Bivariate time series 0 0 0 1 0 1 11 15
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 1,092 0 1 23 1,702
Copula-Based Models for Financial Time Series 0 0 0 0 0 0 11 105
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 0 0 5 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 1 1 1 85 1 4 22 126
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 1 1 4 208 3 6 39 571
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 0 122 2 3 16 582
Does beta move with news? Systematic risk and firm-specific information flows 0 0 0 6 0 0 9 62
Dynamic Copula Models and High Frequency Data 0 0 1 63 0 2 14 182
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 0 1 39 0 2 13 74
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 0 93 2 5 22 164
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 1 21 0 1 13 89
Evaluating Volatility and Correlation Forecasts 0 0 0 0 1 1 13 69
Evaluating Volatility and Correlation Forecasts 0 0 1 385 0 1 15 532
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 1 6 319 1 5 22 738
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 1 5 20 40
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 1 2 18 126
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 1 29 0 0 13 122
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 0 11 386
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 2 4 22 158
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 0 1 7 260
Non-Standard Errors 0 1 1 45 0 2 39 485
Non-Standard Errors 0 1 1 28 0 2 19 173
Nonstandard Errors 0 0 0 0 0 3 21 24
Nonstandard Errors 0 0 0 0 1 2 26 37
Nonstandard Errors 0 0 1 4 0 3 25 48
Nonstandard errors 0 1 1 13 0 3 28 84
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 0 3 17 248
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 1 4 13 250
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 2 24 0 1 15 176
Properties of Optimal Forecasts 0 0 0 184 0 1 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 0 20 94
Skill and Efficiency in the U.S. Mutual Fund Industry 0 0 4 4 0 0 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 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 12 64
The Impact of Hedge Funds on Asset Markets 0 0 0 57 0 0 12 117
The Impact of Hedge Funds on Asset Markets 0 0 0 28 1 1 19 133
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 1 118 0 1 16 355
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 1 110 1 1 23 283
Volatility Forecast Comparison using Imperfect Volatility Proxies 2 9 36 866 6 21 96 2,177
Total Working Papers 4 15 67 6,785 31 106 980 17,094
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 0 11 28
A review of copula models for economic time series 0 1 3 55 4 9 35 244
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 0 1 74 1 5 19 345
Asymptotic inference about predictive accuracy using high frequency data 0 0 0 5 2 2 12 51
Bespoke realized volatility: Tailored measures of risk for volatility prediction 0 0 3 3 1 2 11 11
Better the devil you know: Improved forecasts from imperfect models 0 1 2 5 0 2 20 32
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models 1 1 1 6 1 3 7 21
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 2 2 11 304
Comparing Possibly Misspecified Forecasts 0 1 6 20 3 6 20 60
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 0 3 11 204
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 2 5 11 103 8 30 63 374
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 2 21 0 1 13 92
Data-based ranking of realised volatility estimators 0 0 0 45 1 2 11 190
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 1 2 38 2 5 21 158
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 3 3 11 179 8 21 62 646
Dynamic copula models and high frequency data 0 0 0 30 1 1 20 143
Dynamic factor copula models with estimated cluster assignments 0 1 1 3 1 4 18 27
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 2 3 6 98 11 17 49 327
Editorial 0 0 0 1 0 0 6 17
Equity clusters through the lens of realized semicorrelations 0 1 1 4 1 2 17 35
Estimation of multivariate models for time series of possibly different lengths 0 0 0 263 1 3 16 795
Estimation of multivariate models for time series of possibly different lengths 0 1 1 7 0 2 21 53
Exploiting the errors: A simple approach for improved volatility forecasting 1 1 7 253 7 14 68 847
Farewell Editorial 0 0 0 7 0 0 5 29
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 9 0 4 11 32
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 29 1 6 17 135
From zero to hero: Realized partial (co)variances 0 0 1 7 0 5 20 35
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 1 5 19 173 2 28 112 776
High-dimensional copula-based distributions with mixed frequency data 1 1 1 16 1 3 13 91
Impacts of trades in an error-correction model of quote prices 0 0 1 253 0 1 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 4 7 62 1,337
Modeling Dependence in High Dimensions With Factor Copulas 0 1 5 57 2 7 38 188
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 0 3 31 1 5 24 113
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 1 1 3 320 4 6 30 1,198
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 1 1 25 759
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 5 0 0 15 72
Nonstandard Errors 0 1 7 46 5 16 58 196
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 1 1 36 1 4 21 205
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 0 0 155 0 2 22 650
Optimal combinations of realised volatility estimators 1 1 1 132 1 1 13 424
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 1 1 2 18 2 2 18 90
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 3 14 311
Realized Semicovariances 0 0 0 17 1 5 27 123
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 4 44 4 16 50 288
Rejoinder 0 0 0 2 0 1 4 32
Risk Price Variation: The Missing Half of Empirical Asset Pricing 0 0 0 7 2 2 16 36
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 2 2 23 1 5 13 80
Testing Forecast Optimality Under Unknown Loss 0 1 1 78 0 2 12 229
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 1 2 1 1 9 21
The Impact of Hedge Funds on Asset Markets 0 0 0 6 0 0 12 40
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 0 0 3 56 0 1 20 217
Volatility forecast comparison using imperfect volatility proxies 5 12 21 480 14 41 118 1,625
What good is a volatility model? 1 3 6 86 2 6 20 306
What you see is not what you get: The costs of trading market anomalies 0 1 4 28 9 26 51 151
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 1 4 222 4 8 28 634
Total Journal Articles 21 53 151 4,361 119 353 1,508 16,496

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 1 10 262 0 8 82 749
Copula–Based Models for Financial Time Series 0 0 0 0 0 1 13 13
Evaluating Volatility and Correlation Forecasts 0 0 1 1 0 2 11 11
Total Chapters 0 1 11 263 0 11 106 773

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