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 86 0 0 1 337
(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 0 182 0 0 3 430
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 0 0 332 0 1 3 791
Are "market neutral" hedge funds really market neutral? 1 1 1 4 2 4 10 40
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 0 0 1 48
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 94 0 1 4 311
Common Factors in Conditional Distributions 0 0 0 3 0 0 3 36
Common factors in conditional distributions 0 0 0 223 1 2 4 1,068
Common factors in conditional distributions for Bivariate time series 1 1 6 235 1 1 7 589
Copula-Based Models for Financial Time Series 1 1 4 1,052 1 1 7 1,590
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 1 61 0 2 9 125
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 0 1 78 0 2 7 78
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 0 0 8 156 2 7 30 349
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 1 2 121 3 6 10 514
Does beta move with news?: Systematic risk and firm-specific information flows 0 0 1 5 0 0 4 27
Dynamic Copula Models and High Frequency Data 0 0 1 59 1 3 8 127
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 1 17 0 4 6 58
Evaluating Volatility and Correlation Forecasts 0 0 1 369 0 0 7 466
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 0 13 271 0 7 58 540
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 43 3 5 6 138
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 0 0 0 71 0 3 5 81
Impacts of Trades in an Error-Correction Model of Quote Prices 0 1 1 26 0 1 4 83
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 144 0 0 1 357
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 3 8 418 0 2 18 95
Modelling Asymmetric Exchange Rate Dependence 1 5 9 124 3 11 21 286
Modelling Dependence in High Dimensions with Factor Copulas 0 1 3 65 1 10 20 104
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 1 3 3 30 4 10 12 128
On the Dynamics of Hedge Fund Risk Exposures 0 0 2 37 0 2 6 215
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 1 1 1 67 3 3 6 203
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 1 4 13 0 1 14 105
Properties of Optimal Forecasts 0 0 0 181 0 1 5 672
Properties of Optimal Forecasts 0 1 1 281 0 4 8 577
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity 0 0 1 39 0 3 5 95
Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates 0 0 0 48 1 3 8 127
Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates 0 0 0 3 0 1 4 41
Testable Implications of Forecast Optimality 0 0 0 1 0 0 2 21
Testable implications of forecast optimality 0 0 0 1 0 0 1 38
The Impact of Hedge Funds on Asset Markets 0 0 0 25 2 8 10 45
The Impact of Hedge Funds on Asset Markets 0 0 0 54 0 1 2 74
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 1 1 111 0 1 3 317
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 7 91 1 3 19 192
Volatility Forecast Comparison using Imperfect Volatility Proxies 5 16 40 444 10 27 98 1,212
Total Working Papers 11 37 122 5,716 39 141 460 12,730


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A review of copula models for economic time series 0 0 4 13 1 2 15 77
Are "Market Neutral" Hedge Funds Really Market Neutral? 1 1 2 52 3 5 10 230
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 1 2 2 3 20
Change You Can Believe In? Hedge Fund Data Revisions: Erratum 0 0 0 0 0 0 0 19
Comment 0 0 0 5 0 0 3 15
Common factors in conditional distributions for bivariate time series 1 1 4 98 1 3 8 266
Copulas in Econometrics 0 1 2 28 1 2 13 109
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 0 0 0 57 0 1 5 219
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 1 13 0 1 6 52
Data-based ranking of realised volatility estimators 0 0 3 41 0 0 5 152
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 0 0 3 26 0 1 6 96
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 1 5 16 46 3 16 55 180
Dynamic copula models and high frequency data 0 1 2 12 1 10 16 65
Estimation of multivariate models for time series of possibly different lengths 0 0 1 248 0 0 13 674
Exploiting the errors: A simple approach for improved volatility forecasting 0 8 23 67 6 23 70 237
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 26 0 0 3 72
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 0 3 11 66 2 11 39 263
High-dimensional copula-based distributions with mixed frequency data 0 0 1 6 0 0 5 40
Impacts of trades in an error-correction model of quote prices 1 1 2 228 2 5 12 594
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 2 12 19 417 8 28 56 976
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 5 14 29 166 8 27 74 387
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 2 5 20 629
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 1 34 2 2 5 139
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 0 1 4 135 0 3 26 536
Optimal combinations of realised volatility estimators 3 3 8 74 4 6 21 209
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 31 0 2 7 112
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 1 3 8 1 3 6 32
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 5 98 0 3 15 228
Rejoinder 0 0 0 2 0 0 1 26
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 1 1 0 0 4 9
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 1 1 2 15 1 1 2 43
Testing Forecast Optimality Under Unknown Loss 0 0 0 68 1 1 6 163
Volatility forecast comparison using imperfect volatility proxies 2 7 33 211 3 24 93 765
What good is a volatility model? 0 0 2 36 0 2 11 130
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 2 7 15 96 2 12 28 269
Total Journal Articles 19 67 199 2,425 54 201 662 8,033


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 31 111 4 14 89 306
Total Chapters 1 3 31 111 4 14 89 306


Statistics updated 2019-07-03