Access Statistics for Andrew Patton

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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 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 1 185 3 4 10 454
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 333 2 3 8 825
Are "market neutral" hedge funds really market neutral? 0 0 0 18 5 10 20 116
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 1 1 8 82
Better the Devil You Know: Improved Forecasts from Imperfect Models 0 0 0 123 0 1 6 51
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 96 2 6 15 349
Common Factors in Conditional Distributions 0 0 0 7 1 5 8 61
Common factors in conditional distributions 0 0 0 223 3 4 11 1,089
Common factors in conditional distributions for Bivariate time series 0 0 0 1 1 3 12 14
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 2 9 616
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 40 8 13 20 78
Copula-Based Models for Financial Time Series 0 0 1 1,092 2 6 23 1,700
Copula-Based Models for Financial Time Series 0 0 0 0 3 5 13 105
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 0 68 2 2 8 175
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 0 84 1 4 18 121
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 1 2 5 207 11 15 38 564
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 0 122 2 7 14 579
Does beta move with news? Systematic risk and firm-specific information flows 0 0 0 6 1 1 9 60
Dynamic Copula Models and High Frequency Data 0 0 2 63 1 4 14 180
Dynamic Factor Copula Models with Estimated Cluster Assignments 0 0 2 39 5 6 12 72
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) 0 0 0 93 4 5 16 157
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 1 20 3 6 13 87
Evaluating Volatility and Correlation Forecasts 0 0 0 0 0 4 13 66
Evaluating Volatility and Correlation Forecasts 0 0 1 384 0 0 16 529
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 4 7 318 1 6 20 732
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 3 8 13 209
Generalized Autoregressive Score Trees and Forests 0 0 0 39 4 4 13 32
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 73 2 3 15 122
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 0 28 1 1 10 119
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 1 1 8 382
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 0 0 428 3 5 18 152
Modelling Dependence in High Dimensions with Factor Copulas 0 1 5 86 3 9 21 173
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 0 0 66 1 3 7 259
Non-Standard Errors 0 0 0 44 5 10 38 476
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 38 5 5 12 241
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 68 1 3 9 244
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 1 1 2 24 5 5 14 174
Properties of Optimal Forecasts 0 0 0 184 3 4 13 722
Properties of Optimal Forecasts 0 0 0 287 5 13 24 672
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 3 3 21 93
Testable Implications of Forecast Optimality 0 0 0 2 1 2 7 42
Testable implications of forecast optimality 0 0 0 1 3 5 10 51
Testing Forecast Rationality for Measures of Central Tendency 0 0 0 35 4 6 12 57
Testing for Unobserved Heterogeneity via k-means Clustering 0 0 0 36 2 3 8 33
Testing forecast rationality for measures of central tendency 0 0 0 9 2 3 13 64
The Impact of Hedge Funds on Asset Markets 0 0 0 57 6 6 13 117
The Impact of Hedge Funds on Asset Markets 0 0 0 28 4 7 19 132
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 0 117 3 6 13 352
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 4 110 3 4 29 282
Volatility Forecast Comparison using Imperfect Volatility Proxies 3 12 42 849 8 30 110 2,138
Total Working Papers 5 20 74 6,711 144 273 831 16,562
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 1 4 11 27
A review of copula models for economic time series 0 0 1 53 4 9 26 232
Are "Market Neutral" Hedge Funds Really Market Neutral? 1 1 1 74 5 8 14 339
Asymptotic inference about predictive accuracy using high frequency data 0 0 0 5 1 5 12 49
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models 0 0 0 5 2 2 6 18
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 4 3 4 13 72
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 0 0 4 3 3 7 51
Comment 0 0 0 6 3 3 5 36
Common factors in conditional distributions for bivariate time series 0 0 0 109 1 1 8 300
Comparing Possibly Misspecified Forecasts 0 2 8 19 1 5 18 53
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 0 0 0 3 2 4 10 17
Copulas in Econometrics 0 1 1 56 1 3 10 201
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 1 4 7 98 7 20 36 340
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 2 2 21 4 7 13 91
Data-based ranking of realised volatility estimators 0 0 0 45 2 2 8 187
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 0 0 36 1 4 12 149
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 1 3 7 172 8 17 47 613
Dynamic copula models and high frequency data 0 0 0 30 5 6 22 141
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 0 1 4 95 4 9 35 308
Editorial 0 0 0 1 2 3 6 17
Equity clusters through the lens of realized semicorrelations 0 0 0 3 3 5 15 32
Estimation of multivariate models for time series of possibly different lengths 0 0 1 6 3 6 23 50
Estimation of multivariate models for time series of possibly different lengths 0 0 0 263 0 1 14 791
Exploiting the errors: A simple approach for improved volatility forecasting 0 2 10 251 9 19 67 824
Farewell Editorial 0 0 0 7 1 1 5 29
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 2 29 3 5 14 129
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 9 1 2 6 27
From zero to hero: Realized partial (co)variances 0 1 2 7 4 9 17 29
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 0 5 12 163 10 30 80 730
High-dimensional copula-based distributions with mixed frequency data 0 0 1 15 2 4 12 87
Impacts of trades in an error-correction model of quote prices 0 0 1 253 1 4 16 679
Introduction to the 2016 Hal White Memorial Lecture 0 0 0 6 1 1 2 27
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 0 0 0 447 11 17 57 1,322
Modeling Dependence in High Dimensions With Factor Copulas 1 2 6 55 8 10 39 177
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 0 0 1 28 3 5 14 99
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 1 2 319 2 7 21 1,186
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 0 4 24 756
Multivariate leverage effects and realized semicovariance GARCH models 0 0 1 5 4 7 13 68
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 35 3 3 18 201
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 0 1 155 7 13 24 648
Optimal combinations of realised volatility estimators 0 0 0 131 1 4 12 421
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 17 3 7 15 85
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 1 2 9 162
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 1 2 122 2 4 14 307
Realized Semicovariances 0 0 0 17 4 12 25 117
Realized semibetas: Disentangling “good” and “bad” downside risks 0 0 5 44 3 14 27 264
Rejoinder 0 0 0 2 2 2 3 31
Risk Price Variation: The Missing Half of Empirical Asset Pricing 0 0 0 7 3 3 15 33
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 3 3 4 19
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 1 21 1 4 8 74
Testing Forecast Optimality Under Unknown Loss 0 0 1 77 1 2 11 226
Testing for Unobserved Heterogeneity via k-means Clustering 0 1 1 2 2 3 9 20
The Impact of Hedge Funds on Asset Markets 0 0 0 6 2 4 13 39
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 1 2 5 56 3 6 27 215
Volatility forecast comparison using imperfect volatility proxies 1 4 12 467 13 28 78 1,564
What good is a volatility model? 0 1 5 81 2 3 23 294
What you see is not what you get: The costs of trading market anomalies 1 1 1 25 1 4 15 112
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 0 5 220 5 6 34 625
Total Journal Articles 7 35 110 4,232 188 383 1,142 15,740

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 4 11 259 13 26 77 732
Total Chapters 0 4 11 259 13 26 77 732

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