Andrew Patton : Citation Profile

Are you Andrew Patton?

Duke University (90% share)
London School of Economics (LSE) (5% share)

31

H index

43

i10 index

4797

Citations

RESEARCH PRODUCTION:

55

Articles

46

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 218
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 744.    Total self citations: 50 (1.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa34
   Updated: 2023-03-02    RAS profile: 2023-01-05    
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Relations with other researchers

Works with:

Quaedvlieg, Rogier (5)

Bollerslev, Tim (3)

Palan, Stefan (2)

Deku, Solomon (2)

Chow, Nikolai Sheung-Chi (2)

Colliard, Jean-Edouard (2)

FERROUHI, EL MEHDI (2)

Chernov, Mikhail (2)

Johannesson, Magnus (2)

Talavera, Oleksandr (2)

Lof, Matthijs (2)

Gehrig, Thomas (2)

Wolff, Christian (2)

Bouri, Elie (2)

Rakowski, David (2)

Rinne, Kalle (2)

Schenk-Hoppé, Klaus (2)

Brownlees, Christian (2)

Lopez-Lira, Alejandro (2)

Frijns, Bart (2)

Sarno, Lucio (2)

Putnins, Talis (2)

Hjalmarsson, Erik (2)

Patel, Vinay (2)

Wong, Wing-Keung (2)

Wilhelmsson, Anders (2)

Schwarz, Marco (2)

Deev, Oleg (2)

Gerritsen, Dirk (2)

Caporin, Massimiliano (2)

Regis, Luca (2)

Vilkov, Grigory (2)

Kassner, Bernhard (2)

Mihet, Roxana (2)

Pasquariello, Paolo (2)

Hurlin, Christophe (2)

Sojli, Elvira (2)

Gorbenko, Arseny (2)

Smales, Lee (2)

Ferrara, Gerardo (2)

Liew, Chee (2)

Horenstein, Alex (2)

Zhou, Chen (2)

Alexeev, Vitali (2)

Jones, Charles (2)

Dumitrescu, Ariadna (2)

PASCUAL, ROBERTO (2)

Pelizzon, Loriana (2)

Scaillet, Olivier (2)

Abudy, Menachem (2)

Tonks, Ian (2)

Roy, Saurabh (2)

Walther, Thomas (2)

Hautsch, Nikolaus (2)

Moinas, Sophie (2)

Reitz, Stefan (2)

Vogel, Sebastian (2)

Bohorquez Correa, Santiago (2)

Lajaunie, Quentin (2)

Theissen, Erik (2)

Dimpfl, Thomas (2)

Ranaldo, Angelo (2)

van Kervel, Vincent (2)

Jurkatis, Simon (2)

Kearney, Fearghal (2)

Adrian, Tobias (2)

Jalkh, Naji (2)

Menkveld, Albert (2)

Dreber, Anna (2)

Harris, Jeffrey (2)

Foucault, Thierry (2)

LINTON, OLIVER (2)

Ait-Sahalia, Yacine (2)

Bos, Charles (2)

Holzmeister, Felix (2)

Xia, Shuo (2)

Prokopczuk, Marcel (2)

He, Xuezhong (Tony) (2)

Xiu, Dacheng (2)

Stefanova, Denitsa (2)

Pastor, Lubos (2)

Nielsson, Ulf (2)

Heath, Davidson (2)

Davies, Ryan (2)

Taylor, Nick (2)

Park, Andreas (2)

CAPELLE-BLANCARD, Gunther (2)

Verousis, Thanos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew Patton.

Is cited by:

Lyócsa, Štefan (59)

Lucas, Andre (52)

Zhang, Yaojie (49)

GUPTA, RANGAN (48)

Clements, Michael (39)

Koopman, Siem Jan (34)

Clements, Adam (34)

Gallo, Giampiero (31)

Molnár, Peter (31)

Reboredo, Juan (31)

Fantazzini, Dean (29)

Cites to:

Bollerslev, Tim (115)

Diebold, Francis (79)

Andersen, Torben (64)

Shephard, Neil (62)

Hansen, Peter (56)

Engle, Robert (49)

Lunde, Asger (43)

Barndorff-Nielsen, Ole (40)

White, Halbert (33)

Christoffersen, Peter (25)

Chen, Xiaohong (23)

Main data

Where Andrew Patton has published?

Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics8
The Journal of Financial Econometrics4
Review of Financial Studies3
Journal of Finance3
Journal of Financial Economics3
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers7
Working Papers / Duke University, Department of Economics5
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
Economics Series Working Papers / University of Oxford, Department of Economics4
Papers / arXiv.org3
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Andrew Patton (2022 and 2021)

YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2022Autocalibration by balance correction in nonlife insurance pricing. (2022). Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022041.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021The Expectations Gap: An Alternative Measure of Economic Slack. (2021). Schibuola, Alex ; Martinez, Andrew . In: Working Papers. RePEc:ajw:wpaper:11284.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2021Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2021A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2022Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

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2021Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Vector copulas and vector Sklar theorem. (2020). Henry, Marc ; Fan, Yanqin. In: Papers. RePEc:arx:papers:2009.06558.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2021Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (2021). Westmacott, Graham ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2101.02760.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021Deep Hedging, Generative Adversarial Networks, and Beyond. (2021). Kim, Hyunsu. In: Papers. RePEc:arx:papers:2103.03913.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Order flow in the financial markets from the perspective of the Fractional L\{e}vy stable motion. (2021). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2105.02057.

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2021Asset volatility forecasting:The optimal decay parameter in the EWMA model. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2105.14382.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations. (2021). Tjostheim, Dag ; Berentsen, Geir Drage ; Otneim, Haakon ; Stove, Baard ; Sleire, Anders D ; Haugen, Sverre Hauso. In: Papers. RePEc:arx:papers:2106.12425.

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2022Estimation and Inference in Factor Copula Models with Exogenous Covariates. (2021). Wied, Dominik ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2107.03366.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2021Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718.

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2021Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Implicit Generative Copulas. (2021). Steinke, Florian ; Ghanmi, Mohamed ; Janke, Tim. In: Papers. RePEc:arx:papers:2109.14567.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2021Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919.

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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2022Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

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2021Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach. (2021). Medeiros, Marcelo C ; Ferreira, Iuri H. In: Papers. RePEc:arx:papers:2112.15108.

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2022A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources. (2022). Durante, Fabrizio ; Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2201.01132.

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2022NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Dong, Ruihai ; Li, Jiazheng ; Yang, Linyi ; Smyth, Barry ; Zhang, Yue. In: Papers. RePEc:arx:papers:2201.01770.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104.

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2022A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model. (2022). Furtuna, Titus Felix ; Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.01370.

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2022The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horv, Mat'Uvs ; Stavsek, Daniel ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2205.05985.

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2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting. (2022). Hautsch, Nikolaus ; Bayer, Xandro ; Reisenhofer, Rafael. In: Papers. RePEc:arx:papers:2205.07719.

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2022Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179.

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2022On the universality of the volatility formation process: when machine learning and rough volatility agree. (2022). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2206.14114.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467.

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2022Characterizing M-estimators. (2022). Ziegel, Johanna ; Fissler, Tobias ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2208.08108.

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2022Comparing and quantifying tail dependence. (2022). Weiss, Gregor ; Strothmann, Christopher ; Siburg, Karl Friedrich . In: Papers. RePEc:arx:papers:2208.10319.

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2022E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2022Monte-Carlo Estimation of CoVaR. (2022). Hong, Jeff L ; Lin, Nifei ; Huang, Weihuan. In: Papers. RePEc:arx:papers:2210.06148.

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2022Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2022Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2022The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864.

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2023Isotonic Recalibration under a Low Signal-to-Noise Ratio. (2023). Ziegel, Johanna ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:2301.02692.

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2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

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2021Unraveling the Exogenous Forces Behind Analysts’ Macroeconomic Forecasts. (2021). Naranjo-Saldarriaga, Sara ; Moreno-Arias, Nicolas ; Forero-Alvarado, Santiago ; de Castro-Valderrama, Marcela. In: Borradores de Economia. RePEc:bdr:borrec:1184.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2021Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed. (2021). Hurn, Stan ; Tian, Jing ; Xu, Lina. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:319:p:525-547.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021When two anomalies meet: Volume and timing effects on earnings announcements. (2021). Cheung, Adrian (Wai Kong) ; Hu, Wei ; Wong, Mark. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:355-380.

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2022Global financial crisis versus COVID?19: Evidence from sentiment analysis. (2022). Abdoh, Hussein ; Maghyereh, Aktham. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:218-248.

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2021Information Consumption and Asset Pricing. (2021). Israelsen, Ryan ; Carlin, Bruce I ; Benrephael, Azi ; Da, Zhi. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:357-394.

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2021The Perception of Dependence, Investment Decisions, and Stock Prices. (2021). Weber, Martin ; Ungeheuer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:797-844.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2022Distributional Change: Assessing the Contribution of Household Income Sources. (2022). Van Kerm, Philippe ; Fusco, Alessio ; Kyzyma, Iryna. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:158-184.

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2022Revisiting the return?volatility relationship of exchange rates: New evidence from offshore RMB. (2022). Wu, Ximing ; Lin, Juan ; Chen, Yue. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:3:p:277-294.

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2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

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2021Modeling the dependence structure and systemic risk of all listed insurance companies in the Chinese insurance market. (2021). Cao, Yufei. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:4:p:367-399.

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2021Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589.

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2021Maximum pseudo?likelihood estimation based on estimated residuals in copula semiparametric models. (2021). Neumeyer, Natalie ; Hudecova, Arka ; Omelka, Marek. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1433-1473.

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2022Semiparametric estimation and model selection for conditional mixture copula models. (2022). Cai, Zongwu ; Yang, Bingduo ; Long, Wei ; Liu, Guannan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:287-330.

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2022Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185.

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2022Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas. (2022). Li, Steven ; Hussain, Saiful Izzuan. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:317-335.

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More than 100 citations found, this list is not complete...

Works by Andrew Patton:

YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
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2016Daily House Price Indices: Construction, Modeling, and Longer?run Predictions.(2016) In: Journal of Applied Econometrics.
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2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper136
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2014Copulas in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]		article42
2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers.
[Full Text][Citation analysis]		paper86
2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		article
2019Testing for Unobserved Heterogeneity via k-means Clustering In: Papers.
[Full Text][Citation analysis]		paper0
2021Testing Forecast Rationality for Measures of Central Tendency In: Papers.
[Full Text][Citation analysis]		paper1
2020Testing forecast rationality for measures of central tendency.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article99
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article34
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
[Citation analysis]		article94
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
[Full Text][Citation analysis]		article61
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]		article18
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
[Full Text][Citation analysis]		article18
2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper49
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2001Estimation of Copula Models for Time Series of Possibly Different Length In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper12
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper73
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		article
2005Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper1
2005Testable implications of forecast optimality.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
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2014The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 10		paper
2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
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2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2010On the Dynamics of Hedge Fund Risk Exposures In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper9
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper48
2015Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		article
2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers.
[Full Text][Citation analysis]		paper93
2018Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads.(2018) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 93		article
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter84
2022Equity clusters through the lens of realized semicorrelations In: Economics Letters.
[Full Text][Citation analysis]		article0
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2003Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article83
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]		article627
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
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2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]		article209
2013Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 209		paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
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2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article69
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article0
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
[Full Text][Citation analysis]		article92
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article198
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article174
2009Does beta move with news? Systematic risk and firm-specific information flows In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2004Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper43
2004Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper58
2009Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58		article
2002On the out-of-sample importance of skewness and asymetric dependence for asset allocation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper259
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 259		article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper62
2017Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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2022Dynamic Factor Copula Models with Estimated Cluster Assignments In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2021Better the Devil You Know: Improved Forecasts from Imperfect Models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
[Full Text][Citation analysis]		article867
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article157
2006Estimation of multivariate models for time series of possibly different lengths.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
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2017Introduction to the 2016 Hal White Memorial Lecture In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2018Editorial In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2019Farewell Editorial In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: Review of Financial Studies.
[Full Text][Citation analysis]		article95
2022Risk Price Variation: The Missing Half of Empirical Asset Pricing In: Review of Financial Studies.
[Full Text][Citation analysis]		article1
2008Copula-Based Models for Financial Time Series In: Economics Series Working Papers.
[Citation analysis]		paper23
2008Copula-Based Models for Financial Time Series.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2008Evaluating Volatility and Correlation Forecasts In: Economics Series Working Papers.
[Citation analysis]		paper12
2008Evaluating Volatility and Correlation Forecasts.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2020Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper0
2022Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
[Full Text][Citation analysis]		article58
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article26
2012Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2015Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2020Comparing Possibly Misspecified Forecasts In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article11
2001What good is a volatility model? In: Quantitative Finance.
[Full Text][Citation analysis]		article221
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article272
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article7
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2022A consistent specification test for dynamic quantile models In: Quantitative Economics.
[Full Text][Citation analysis]		article0

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