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Andrew Patton : Citation Profile


Are you Andrew Patton?

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

21

H index

29

i10 index

1973

Citations

RESEARCH PRODUCTION:

35

Articles

42

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2000 - 2016). See details.
   Cites by year: 123
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 216.    Total self citations: 27 (1.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2018-02-17    RAS profile: 2017-04-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Ramadorai, Tarun (5)

Quaedvlieg, Rogier (3)

Bollerslev, Tim (3)

Liu, Lily (2)

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

Is cited by:

Lucas, Andre (27)

Reboredo, Juan (22)

McAleer, Michael (20)

Koopman, Siem Jan (19)

Baruník, Jozef (19)

Hautsch, Nikolaus (17)

Christoffersen, Peter (16)

van Dijk, Dick (16)

Clements, Michael (15)

Bauwens, Luc (13)

Fantazzini, Dean (13)

Cites to:

Bollerslev, Tim (83)

Diebold, Francis (61)

Andersen, Torben (57)

Hansen, Peter (41)

Shephard, Neil (39)

White, Halbert (33)

Lunde, Asger (33)

Engle, Robert (31)

Barndorff-Nielsen, Ole (29)

West, Kenneth (26)

Meddahi, Nour (21)

Main data


Where Andrew Patton has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics4
Journal of Finance3
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Working Papers / Duke University, Department of Economics5
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
Working Papers / Warwick Business School, Finance Group3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Andrew Patton (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). Stentoft, Lars ; Violante, Francesco . In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017The Social Cost of Near-Rational Investment. (2017). Hassan, Tarek ; Mertens, Thomas M. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:4:p:1059-1103.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2017Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2017Decoupling 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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2018Dependent Defaults and Losses with Factor Copula Models. (2017). Ackerer, Damien ; Vatter, Thibault . In: Papers. RePEc:arx:papers:1610.03050.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios. (2017). Chatsanga, Nonthachote ; Parkes, Andrew J. In: Papers. RePEc:arx:papers:1704.01174.

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2018Multivariate Geometric Expectiles. (2017). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius . In: Papers. RePEc:arx:papers:1704.01503.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2017). Fouque, Jean-Pierre ; Hu, Ruimeng . In: Papers. RePEc:arx:papers:1706.03139.

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2017Portfolio Risk Assessment using Copula Models. (2017). Semenov, Mikhail ; Smagulov, Daulet . In: Papers. RePEc:arx:papers:1707.03516.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets. (2017). de Carvalho, Miguel ; Wadsworth, Jennifer ; Camilo, Daniela Castro . In: Papers. RePEc:arx:papers:1709.01198.

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2018Testing if the market microstructure noise is a function of the limit order book. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1709.02502.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017Counterparty 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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2018Dynamic and granular loss reserving with copulae. (2018). MacIak, Mat'Uvs ; Pevsta, Michal ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1801.01792.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Wang, Chou-Wen ; Tan, Ken Seng ; Zhu, Wenjun ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:477-493.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:037.

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2017Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation. (2017). Kasimati, Evangelia ; Veraros, Nikolaos. In: Working Papers. RePEc:bog:wpaper:230.

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2017Behavioral Biases in Firms Growth Expectations. (2017). Koga, Maiko ; Kato, Haruko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e09.

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2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

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2017The Effect of Disaggregate Information on the Expectation Formation of Firms. (2017). Buchheim, Lukas ; Link, Sebastian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6768.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark . In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2017Bank-Specific Shocks and House Price Growth in the U.S.. (2017). Noth, Felix ; Bremus, Franziska ; Krause, Thomas. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1636.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen . In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Pang, Tianxiao ; Ding, Yue . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil. (2017). Kliber, Agata ; Puciennik, Piotr . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:313-323.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2017The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141.

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2017Rationality and seasonality: Evidence from inflation forecasts. (2017). Goldstein, Nathan ; Zilberfarb, Ben-Zion . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:86-90.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Li, Jia ; Tauchen, George ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Pan, Zhiyuan ; Yin, Libo ; Wu, Chongfeng ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Siegmann, Arjen ; Stefanova, Denitsa . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Roubaud, David ; Mensi, walid ; Al-Yahyaee, Khamis ; Bouri, Elie ; Tiwari, Aviral. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

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2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Gong, XU ; Lin, Boqiang. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2017Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas. (2017). Shahbaz, Muhammad ; Mensi, walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:476-495.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2017Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. (2017). Liu, Bing-Yue ; Fan, Ying ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:53-65.

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2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

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2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis. (2017). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:152-164.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2017Monetary policy and financial stability in the long run: A simple game-theoretic approach. (2017). Cao, Jin ; Chollete, Loran . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:125-142.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2017Recent advances in explaining hedge fund returns: Implicit factors and exposures. (2017). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:69-87.

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2017On a bivariate copula with both upper and lower full-range tail dependence. (2017). Hua, Lei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:94-104.

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2017An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Li, Yuyi ; Bu, Ruijun . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Systematic errors in growth expectations over the business cycle. (2017). Jannsen, Nils ; Dovern, Jonas. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:760-769.

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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.
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paper4
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
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paper5
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.
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paper17
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 17
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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
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paper5
2014Copulas in Econometrics In: Annual Review of Economics.
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article4
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
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article56
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
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article7
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 7
article
2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
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article72
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
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article27
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 27
paper
2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
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article0
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
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article0
2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula In: University of California at San Diego, Economics Working Paper Series.
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paper24
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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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.
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paper7
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
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paper57
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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article
2005Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series.
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paper0
2005Testable implications of forecast optimality.(2005) In: LSE Research Online Documents on Economics.
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paper
2014The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers.
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paper4
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
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paper
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
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paper11
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
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This paper has another version. Agregated cites: 11
paper
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
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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.
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paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 5
article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
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paper1
2013Dynamic Copula Models and High Frequency Data In: Working Papers.
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paper16
2015Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance.
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2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers.
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paper18
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
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chapter10
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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article36
2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 36
paper
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
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article53
2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 53
paper
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
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article314
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
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This paper has another version. Agregated cites: 314
paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
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article11
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
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article25
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: 25
paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
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article2
2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 2
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2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
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article29
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
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article28
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
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article75
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
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article65
2009Does beta move with news?: Systematic risk and firm-specific information flows In: LSE Research Online Documents on Economics.
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paper1
2009Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows.(2009) In: FMG Discussion Papers.
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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.
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paper16
2004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 16
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2004Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics.
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paper26
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: 26
article
2002On the out-of-sample importance of skewness and asymetric dependence for asset allocation In: LSE Research Online Documents on Economics.
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paper133
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 133
article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
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paper3
2002(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation In: FMG Discussion Papers.
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paper0
2004(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 In: FMG Discussion Papers.
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paper9
2004(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? In: FMG Discussion Papers.
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paper0
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
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article466
2004Modelling Asymmetric Exchange Rate Dependence.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 466
paper
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article89
2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: Review of Financial Studies.
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article29
2008Copula-Based Models for Financial Time Series In: OFRC Working Papers Series.
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paper12
2008Evaluating Volatility and Correlation Forecasts In: OFRC Working Papers Series.
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paper8
2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
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article28
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
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article8
2012Rejoinder In: Journal of Business & Economic Statistics.
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article0
2015Comment In: Journal of Business & Economic Statistics.
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article0
2001What good is a volatility model? In: Quantitative Finance.
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article116
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
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article30
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
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