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 1 87 0 0 5 349
(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 0 183 0 0 3 442
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 0 0 7 811
Are "market neutral" hedge funds really market neutral? 1 1 3 12 1 1 5 85
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 0 0 2 69
Better the Devil You Know: Improved Forecasts from Imperfect Models 1 1 120 120 2 2 33 33
Change You Can Believe In? Hedge Fund Data Revisions 0 0 1 95 0 0 3 327
Common Factors in Conditional Distributions 0 0 1 7 0 0 2 52
Common factors in conditional distributions 0 0 0 223 0 1 1 1,078
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 0 0 604
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 1 37 1 2 5 43
Copula-Based Models for Financial Time Series 0 1 3 1,080 1 2 8 1,655
Copula-Based Models for Financial Time Series 0 0 0 0 1 1 4 68
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 65 1 2 13 160
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 83 0 0 1 96
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 1 2 5 187 2 6 24 485
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 1 122 1 2 6 546
Does beta move with news?: Systematic risk and firm-specific information flows 0 0 0 6 0 1 2 46
Dynamic Copula Models and High Frequency Data 0 0 0 61 0 1 7 157
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 1 4 23 0 3 13 33
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 0 90 0 2 7 129
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 1 18 0 0 6 71
Evaluating Volatility and Correlation Forecasts 0 0 0 0 1 3 5 41
Evaluating Volatility and Correlation Forecasts 0 0 1 379 1 2 4 501
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 1 4 8 293 3 11 38 666
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 44 0 3 11 172
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 1 1 3 100
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 1 27 0 1 5 103
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 0 1 370
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 2 425 0 0 5 122
Modelling Dependence in High Dimensions with Factor Copulas 0 0 0 68 0 1 5 129
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 0 6 48 0 2 22 197
Non-Standard Errors 1 2 22 22 6 23 144 144
Non-Standard Errors 0 5 33 33 11 55 204 204
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 0 0 0 225
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 0 0 4 228
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 1 17 0 1 5 136
Properties of Optimal Forecasts 0 0 0 285 0 0 2 646
Properties of Optimal Forecasts 0 0 0 181 1 1 5 697
Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates 0 0 1 8 0 1 2 65
Testable Implications of Forecast Optimality 0 0 0 1 0 1 1 31
Testable implications of forecast optimality 0 0 0 1 0 0 0 40
Testing Forecast Rationality for Measures of Central Tendency 1 1 2 31 1 2 4 31
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 0 34 0 0 2 18
Testing forecast rationality for measures of central tendency 0 0 0 6 3 5 13 36
The Impact of Hedge Funds on Asset Markets 0 0 1 56 0 0 8 98
The Impact of Hedge Funds on Asset Markets 0 1 2 28 3 6 16 98
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 3 117 0 2 5 337
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 1 103 1 1 8 233
Volatility Forecast Comparison using Imperfect Volatility Proxies 6 26 78 625 12 46 165 1,647
Total Working Papers 12 45 303 6,281 54 194 844 14,654


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 1 1 0 0 2 2
A review of copula models for economic time series 0 1 5 37 1 5 27 161
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 1 8 64 1 6 24 277
Asymptotic inference about predictive accuracy using high frequency data 0 0 0 4 0 0 2 33
Change You Can Believe In? Hedge Fund Data Revisions 0 0 1 2 0 0 4 49
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 0 1 2 0 0 3 41
Comment 0 0 0 5 0 0 6 26
Common factors in conditional distributions for bivariate time series 0 0 1 109 0 0 2 286
Comparing Possibly Misspecified Forecasts 0 0 2 7 0 2 9 20
Copulas in Econometrics 1 1 6 48 2 2 12 171
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 0 0 4 76 1 2 15 274
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 1 18 0 2 7 73
Data-based ranking of realised volatility estimators 0 0 0 43 1 1 6 173
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 0 2 32 0 0 7 126
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 5 11 31 124 10 26 93 407
Dynamic copula models and high frequency data 0 0 1 21 0 1 7 99
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 4 6 21 63 7 15 58 182
Editorial 0 0 0 0 0 1 2 9
Equity clusters through the lens of realized semicorrelations 0 2 2 2 0 6 6 6
Estimation of multivariate models for time series of possibly different lengths 0 0 0 0 0 0 4 7
Estimation of multivariate models for time series of possibly different lengths 1 2 3 256 3 11 31 749
Exploiting the errors: A simple approach for improved volatility forecasting 1 10 51 189 9 33 136 609
Farewell Editorial 0 0 1 6 0 0 3 17
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 26 0 1 6 99
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 1 3 22 128 4 16 106 550
High-dimensional copula-based distributions with mixed frequency data 0 0 0 9 2 3 8 59
Impacts of trades in an error-correction model of quote prices 0 0 2 246 2 2 5 647
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 0 0 1 23
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 0 447 1 14 58 1,166
Modeling Dependence in High Dimensions With Factor Copulas 0 2 4 10 3 8 11 38
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 1 5 19 0 1 8 59
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 2 6 36 262 3 19 92 1,037
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 2 4 18 705
Multivariate leverage effects and realized semicovariance GARCH models 0 0 0 2 0 0 11 41
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 34 1 2 3 175
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 1 2 5 149 1 2 14 604
Optimal combinations of realised volatility estimators 1 2 10 112 2 8 40 336
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 2 13 0 2 4 61
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 35 0 0 4 139
Properties of optimal forecasts under asymmetric loss and nonlinearity 1 1 5 110 1 1 9 269
Realized Semicovariances 0 1 6 12 1 5 20 66
Rejoinder 0 0 0 2 0 0 0 27
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 0 0 1 15
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 1 18 0 0 2 56
Testing Forecast Optimality Under Unknown Loss 0 0 1 72 0 0 5 201
The Impact of Hedge Funds on Asset Markets 0 0 0 5 0 0 1 23
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 2 4 6 32 3 7 29 121
Volatility forecast comparison using imperfect volatility proxies 0 26 64 384 7 59 171 1,240
What good is a volatility model? 0 1 5 42 1 8 22 176
What you see is not what you get: The costs of trading market anomalies 0 1 10 17 2 4 29 76
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 1 7 19 155 2 12 43 422
Total Journal Articles 21 91 346 3,457 73 291 1,187 12,228


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 3 5 19 208 8 16 47 559
Total Chapters 3 5 19 208 8 16 47 559


Statistics updated 2022-09-05