Andrew Patton

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Allan TimmermannProfessor of Finance and Economics, UCSDVerified email at ucsd.edu
Tim BollerslevDuke UniversityVerified email at duke.edu
Rogier QuaedvliegABN AmroVerified email at nl.abnamro.com
Kevin SheppardUniversity Lecturer, University of OxfordVerified email at economics.ox.ac.uk
Tarun RamadoraiProfessor of Financial Economics, Imperial College LondonVerified email at imperial.ac.uk
Dong Hwan OhEconomist, Federal Reserve BoardVerified email at frb.gov
Robert EngleNew York UniversityVerified email at stern.nyu.edu
Yanqin FanUniversity of WashingtonVerified email at uw.edu
Dimitris N. PolitisUCSDVerified email at ucsd.edu
Xiaohong ChenProfessor of Economics, Yale UniversityVerified email at yale.edu
Brian WellerAirbnbVerified email at airbnb.com
Michael StreatfieldDPhil University of OxfordVerified email at sbs.ox.ac.uk
Timo TerasvirtaAarhus UniversityVerified email at econ.au.dk
Johanna ZiegelProfessor of Statistics, ETH ZurichVerified email at ethz.ch
Colm KearneyMonash Business School, Monash UniversityVerified email at monash.edu
Mathias KruttliAssistant Professor, Kelley School of Business - Indiana UniversityVerified email at iu.edu
Mathias DrehmannBank for International SettlementsVerified email at bis.org
Marcelo C. MedeirosProfessor, Department of Economics, The University of Illinois at Urbana-ChampaignVerified email at illinois.edu
Patrick SchmidtUniversity of ZurichVerified email at uzh.ch
Timo DimitriadisHeidelberg University, HITS HeidelbergVerified email at awi.uni-heidelberg.de

Andrew Patton

Zelter Family Professor of Economics and Finance, Duke University

Verified email at duke.edu - Homepage

Financial econometrics Economic forecasting Econometrics Finance Economics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Modelling asymmetric exchange rate dependence AJ Patton International economic review 47 (2), 527-556, 2006	3131*	2006
Volatility forecast comparison using imperfect volatility proxies AJ Patton Journal of Econometrics 160 (1), 246-256, 2011	1450	2011
What good is a volatility model? RF Engle, AJ Patton Forecasting volatility in the financial markets, 47-63, 2007	1288	2007
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation AJ Patton Journal of financial econometrics 2 (1), 130-168, 2004	891	2004
Good volatility, bad volatility: Signed jumps and the persistence of volatility AJ Patton, K Sheppard Review of Economics and Statistics 97 (3), 683-697, 2015	842	2015
A review of copula models for economic time series AJ Patton Journal of Multivariate Analysis 110, 4-18, 2012	753	2012
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes LY Liu, AJ Patton, K Sheppard Journal of Econometrics 187 (1), 293-311, 2015	729	2015
Estimation of multivariate models for time series of possibly different lengths AJ Patton Journal of applied econometrics 21 (2), 147-173, 2006	621	2006
Copula-Based Models for Financial Time Series AL Patton Handbook of Financial Time Series/Springer-Verlag, 2009	524	2009
Exploiting the errors: A simple approach for improved volatility forecasting T Bollerslev, AJ Patton, R Quaedvlieg Journal of Econometrics 192 (1), 1-18, 2016	489	2016
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion AJ Patton, A Timmermann Journal of Monetary Economics 57 (7), 803-820, 2010	419	2010
Copula methods for forecasting multivariate time series A Patton Handbook of economic forecasting 2, 899-960, 2013	417	2013
Correction to “Automatic block-length selection for the dependent bootstrap” by D. Politis and H. White A Patton, DN Politis, H White Econometric Reviews 28 (4), 372-375, 2009	417	2009
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts AJ Patton, A Timmermann Journal of Financial Economics 98 (3), 605-625, 2010	379	2010
Time-varying systemic risk: Evidence from a dynamic copula model of cds spreads DH Oh, AJ Patton Journal of Business & Economic Statistics 36 (2), 181-195, 2018	375	2018
Does beta move with news? Firm-specific information flows and learning about profitability AJ Patton, M Verardo The Review of Financial Studies 25 (9), 2789-2839, 2012	347	2012
Modeling dependence in high dimensions with factor copulas DH Oh, AJ Patton Journal of Business & Economic Statistics 35 (1), 139-154, 2017	338	2017
Dynamic semiparametric models for expected shortfall (and value-at-risk) AJ Patton, JF Ziegel, R Chen Journal of econometrics 211 (2), 388-413, 2019	336	2019
Evaluating volatility and correlation forecasts AJ Patton, K Sheppard Handbook of financial time series, 801-838, 2009	298	2009
Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system C Kearney, AJ Patton Financial Review 35 (1), 29-48, 2000	287	2000

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