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 1 2 5 432
(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? 0 1 1 333 1 4 6 795
Are "market neutral" hedge funds really market neutral? 0 0 1 4 1 1 11 41
Asymptotic Inference about Predictive Accuracy Using High Frequency Data 0 0 0 51 3 4 5 52
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 94 0 1 4 312
Common Factors in Conditional Distributions 0 0 0 3 0 1 4 37
Common factors in conditional distributions 0 0 0 223 1 1 4 1,069
Common factors in conditional distributions for Bivariate time series 1 1 7 236 3 5 12 594
Copula-Based Models for Financial Time Series 0 1 5 1,053 0 5 11 1,595
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions 0 0 1 61 1 1 8 126
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions 0 1 2 79 2 5 9 83
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes 1 4 9 160 4 12 35 361
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows 0 0 2 121 3 3 12 517
Does beta move with news?: Systematic risk and firm-specific information flows 0 0 0 5 2 2 5 29
Dynamic Copula Models and High Frequency Data 0 1 1 60 0 3 8 130
Estimation of Copula Models for Time Series of Possibly Different Length 0 0 0 17 0 0 5 58
Evaluating Volatility and Correlation Forecasts 0 0 1 369 1 2 7 468
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting 0 1 10 272 3 9 53 549
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 43 1 2 8 140
High-Dimensional Copula-Based Distributions with Mixed Frequency Data 1 1 1 72 3 4 7 85
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 1 26 1 1 3 84
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 144 0 1 2 358
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 0 2 6 420 0 0 11 95
Modelling Asymmetric Exchange Rate Dependence 0 2 10 126 0 3 22 289
Modelling Dependence in High Dimensions with Factor Copulas 0 0 2 65 0 0 19 104
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula 0 2 5 32 1 5 17 133
On the Dynamics of Hedge Fund Risk Exposures 0 0 0 37 0 0 4 215
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 1 67 2 5 10 208
On the out-of-sample importance of skewness and asymetric dependence for asset allocation 0 0 4 13 1 2 13 107
Properties of Optimal Forecasts 0 0 0 181 1 2 7 674
Properties of Optimal Forecasts 0 0 1 281 0 3 10 580
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity 0 0 1 39 1 2 7 97
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 0 1 8 128
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 1 2 6 43
Testable Implications of Forecast Optimality 0 0 0 1 0 1 3 22
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 0 0 9 45
The Impact of Hedge Funds on Asset Markets 0 0 0 54 1 1 2 75
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 1 111 1 5 6 322
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 0 0 5 91 1 2 19 194
Volatility Forecast Comparison using Imperfect Volatility Proxies 1 11 44 455 4 22 103 1,234
Total Working Papers 4 28 123 5,744 45 125 502 12,855


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 1 1 5 14 1 4 16 81
Are "Market Neutral" Hedge Funds Really Market Neutral? 0 0 2 52 0 1 10 231
Change You Can Believe In? Hedge Fund Data Revisions 0 0 0 1 0 0 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 2 15
Common factors in conditional distributions for bivariate time series 1 1 5 99 1 3 11 269
Copulas in Econometrics 2 2 3 30 3 6 17 115
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 3 4 4 61 4 7 11 226
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 0 0 1 13 0 0 6 52
Data-based ranking of realised volatility estimators 0 1 3 42 0 1 4 153
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability 1 3 6 29 2 5 11 101
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 3 8 22 54 5 15 62 195
Dynamic copula models and high frequency data 0 0 1 12 3 5 19 70
Estimation of multivariate models for time series of possibly different lengths 0 0 0 248 4 8 18 682
Exploiting the errors: A simple approach for improved volatility forecasting 2 6 27 73 7 25 83 262
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 26 1 3 6 75
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility 1 1 12 67 4 9 42 272
High-dimensional copula-based distributions with mixed frequency data 1 2 3 8 1 2 6 42
Impacts of trades in an error-correction model of quote prices 1 3 5 231 1 8 18 602
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE 1 4 22 421 4 17 69 993
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 2 6 31 172 10 22 84 409
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 0 0 0 0 6 12 31 641
On the High-Frequency Dynamics of Hedge Fund Risk Exposures 0 0 0 34 1 1 4 140
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 1 2 6 137 1 6 28 542
Optimal combinations of realised volatility estimators 0 2 9 76 2 5 21 214
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 3 8 1 5 11 37
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 1 31 0 0 6 112
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 5 98 2 4 17 232
Rejoinder 0 0 0 2 0 0 1 26
Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 0 0 0 1 0 1 4 10
Simulated Method of Moments Estimation for Copula-Based Multivariate Models 0 0 2 15 0 1 3 44
Testing Forecast Optimality Under Unknown Loss 0 1 1 69 1 5 8 168
Volatility forecast comparison using imperfect volatility proxies 5 11 35 222 14 29 103 794
What good is a volatility model? 0 0 1 36 1 3 10 133
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 2 4 17 100 4 12 36 281
Total Journal Articles 27 62 233 2,487 84 225 781 8,258


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 8 29 119 8 19 76 325
Total Chapters 3 8 29 119 8 19 76 325


Statistics updated 2019-10-05