Andrew Patton : Citation Profile

Are you Andrew Patton?

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

33

H index

47

i10 index

5354

Citations

RESEARCH PRODUCTION:

58

Articles

47

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 232
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 320.    Total self citations: 51 (0.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa34
   Updated: 2024-01-16    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Quaedvlieg, Rogier (4)

Brownlees, Christian (2)

Gerritsen, Dirk (2)

Zhou, Chen (2)

Wolff, Christian (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Caporin, Massimiliano (2)

Xia, Shuo (2)

Bollerslev, Tim (2)

Ferrara, Gerardo (2)

Menkveld, Albert (2)

Vogel, Sebastian (2)

Talavera, Oleksandr (2)

Harris, Jeffrey (2)

Frijns, Bart (2)

Abudy, Menachem (2)

Hautsch, Nikolaus (2)

Dumitrescu, Ariadna (2)

Jalkh, Naji (2)

Nielsson, Ulf (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Hurlin, Christophe (2)

Rakowski, David (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Putnins, Talis (2)

Pelizzon, Loriana (2)

Frömmel, Michael (2)

Regis, Luca (2)

Jurkatis, Simon (2)

Holzmeister, Felix (2)

van Kervel, Vincent (2)

Park, Andreas (2)

Deev, Oleg (2)

Wilhelmsson, Anders (2)

Kassner, Bernhard (2)

Ait-Sahalia, Yacine (2)

Sojli, Elvira (2)

Korajczyk, Robert (2)

Chernov, Mikhail (2)

Liew, Chee (2)

Palan, Stefan (2)

Lopez-Lira, Alejandro (2)

Mihet, Roxana (2)

Söderlind, Paul (2)

Heath, Davidson (2)

Hjalmarsson, Erik (2)

Bohorquez Correa, Santiago (2)

Walther, Thomas (2)

Theissen, Erik (2)

Roy, Saurabh (2)

Smales, Lee (2)

Lajaunie, Quentin (2)

LINTON, OLIVER (2)

Horenstein, Alex (2)

CAPELLE-BLANCARD, Gunther (2)

Bos, Charles (2)

Taylor, Nick (2)

Schwarz, Marco (2)

Xiu, Dacheng (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Renault, Thomas (2)

Chow, Nikolai Sheung-Chi (2)

Dreber, Anna (2)

Colliard, Jean-Edouard (2)

Gorbenko, Arseny (2)

Schenk-Hoppé, Klaus (2)

Ødegaard, Bernt (2)

Deku, Solomon (2)

Füllbrunn, Sascha (2)

Davies, Ryan (2)

PASCUAL, ROBERTO (2)

Wong, Wing-Keung (2)

Schuerhoff, Norman (2)

Patel, Vinay (2)

Prokopczuk, Marcel (2)

Gehrig, Thomas (2)

Pasquariello, Paolo (2)

Reitz, Stefan (2)

Rinne, Kalle (2)

Dimpfl, Thomas (2)

Sarno, Lucio (2)

Alexeev, Vitali (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Ranaldo, Angelo (2)

Lof, Matthijs (2)

Johannesson, Magnus (2)

Moinas, Sophie (2)

Adrian, Tobias (2)

Pastor, Lubos (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 (53)

Zhang, Yaojie (51)

GUPTA, RANGAN (50)

Clements, Michael (43)

Gallo, Giampiero (38)

Clements, Adam (37)

Koopman, Siem Jan (35)

Molnár, Peter (31)

Reboredo, Juan (31)

Fantazzini, Dean (30)

Cites to:

Bollerslev, Tim (120)

Diebold, Francis (82)

Andersen, Torben (66)

Shephard, Neil (62)

Hansen, Peter (57)

Engle, Robert (52)

Lunde, Asger (44)

West, Kenneth (32)

Newey, Whitney (31)

Chen, Xiaohong (23)

Meddahi, Nour (23)

Main data

Where Andrew Patton has published?

Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics11
The Journal of Financial Econometrics4
Journal of Financial Economics3
Review of Financial Studies3
Journal of Finance3
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
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.org4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Andrew Patton (2024 and 2023)

YearTitle of citing document
2023.

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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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2023Scoring 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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2023Using 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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2023Generative Learning of Heterogeneous Tail Dependence. (2020). Yan, Xing ; Sun, Xiangqian ; Wu, QI. In: Papers. RePEc:arx:papers:2011.13132.

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

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2023A 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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2023E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2023Prediction 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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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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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Elicitability of Return Risk Measures. (2023). Laeven, Roger ; Bellini, Fabio ; Aygun, Mucahit. In: Papers. RePEc:arx:papers:2302.13070.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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2023A Localized Neural Network with Dependent Data: Estimation and Inference. (2023). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593.

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2023Machine Learning and Hamilton-Jacobi-Bellman Equation for Optimal Decumulation: a Comparison Study. (2023). Li, Yuying ; Forsyth, Peter A ; Shirazi, Mohammad ; Chen, Marc. In: Papers. RePEc:arx:papers:2306.10582.

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2023Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446.

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2023Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects. (2023). Ziel, Florian ; Hirsch, Simon. In: Papers. RePEc:arx:papers:2306.13419.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062.

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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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2023The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Dai, Yun-Shi ; Zhou, Wei-Xing ; Duong, Kiet Tuan. In: Papers. RePEc:arx:papers:2310.16850.

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2023Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658.

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2023Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2023). Rosenbaum, Mathieu ; Tang, Siu Hin ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727.

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2023Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2023What consistent responses on future inflation by consumers can reveal. (2023). Sabourin, Patrick ; Miller, Sarah. In: Discussion Papers. RePEc:bca:bocadp:23-7.

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2023Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media. (2023). Song, Wenting ; MacAulay, Alistair. In: Staff Working Papers. RePEc:bca:bocawp:23-23.

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2023The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach. (2023). Romero, José ; Melo-Velandia, Luis ; Ramirez-Gonzalez, Mahicol Stiben. In: Borradores de Economia. RePEc:bdr:borrec:1231.

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2023.

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2023The term structure of inflation forecasts disagreement and monetary policy transmission. (2023). Zhu, Sonya ; Xia, Dora ; Barbera, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:1114.

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2023Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices. (2023). Polbin, Andrey ; Kulikov, Alexander ; Bedin, Andrey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:82:y:2023:i:3:p:87-109.

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2023Boosting distributional copula regression. (2023). Mayr, Andreas ; Schneider, Michael ; Faschingbauer, Florian ; Klein, Nadja ; Hans, Nicolai. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:3:p:2298-2310.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376.

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2023Testing the validity of purchasing power parity for China: Evidence from the Fourier quantile unit root test. (2023). Lai, Jennifer ; Liang, Xiaoyi ; Chan, Kenneth S. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:464-492.

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2023Estimating Lower Tail Dependence Between Pairs of Poverty Dimensions in Europe. (2023). Guegan, Dominique ; de Luca, Giovanni ; Dagostino, Antonella. In: Review of Income and Wealth. RePEc:bla:revinw:v:69:y:2023:i:2:p:419-442.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2023Information acquisition ahead of monetary policy announcements. (2023). Hubert, Paul ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20232770.

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2023Public money as a store of value, heterogeneous beliefs, and banks: implications of CBDC. (2023). Soons, Oscar ; Muoz, Manuel A. In: Working Paper Series. RePEc:ecb:ecbwps:20232801.

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2023Dynamic vulnerability assessment of maize under low temperature and drought concurrent stress in Songliao Plain. (2023). Zhao, Chunli ; Zhang, Jiquan ; Tong, Zhijun ; Liu, Xingping ; Guo, Ying ; Na, Mula. In: Agricultural Water Management. RePEc:eee:agiwat:v:286:y:2023:i:c:s0378377423002652.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023Assessing the World Bank’s growth forecasts. (2023). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:64-84.

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2023Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Diligent forecasters can make accurate predictions despite disagreeing with the consensus. (2023). Zheng, Xinye ; An, Zidong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001840.

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2023Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China. (2023). Wang, YU ; Li, Ting ; Pei, Shan. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002158.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074.

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2023Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic. (2023). Yoon, Seong-Min ; Choi, Ki-Hong ; Vo, Xuan Vinh ; Hanif, Waqas ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000487.

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2023Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712.

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2023Monetary policy rules and opinionated markets. (2023). Jia, Pengfei ; Zheng, Shikun ; Shen, Haopeng. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000204.

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2023Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Vector copulas. (2023). Henry, Marc ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:128-150.

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2023PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Change point estimation under a copula-based Markov chain model for binomial time series. (2023). Sun, Li-Hsien ; Lai, Ching-Chieh ; Emura, Takeshi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:120-137.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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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.
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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]		paper155
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 155		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper45
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 45		article
2014Copulas in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]		article49
2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers.
[Full Text][Citation analysis]		paper107
2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 107		article
2019Testing for Unobserved Heterogeneity via k-means Clustering In: Papers.
[Full Text][Citation analysis]		paper0
2023Testing for Unobserved Heterogeneity via k-means Clustering.(2023) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 0		article
2023Testing 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.
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2023Generalized Autoregressive Score Trees and Forests In: Papers.
[Full Text][Citation analysis]		paper1
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article104
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article38
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
[Citation analysis]		article97
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
[Full Text][Citation analysis]		article64
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
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2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]		article21
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
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2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
[Full Text][Citation analysis]		article21
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]		paper51
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.
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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]		paper14
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]		paper74
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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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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2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
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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.
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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]		paper74
2011Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74		article
2012Forecast Rationality Tests Based on Multi-Horizon Bounds.(2012) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74		article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper10
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
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2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper52
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.
[Full Text][Citation analysis]		paper104
2018Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads.(2018) In: Journal of Business & Economic Statistics.
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2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter93
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.
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2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article85
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]		article693
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
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This paper has nother version. Agregated cites: 693		paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]		article259
2013Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes.(2013) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 259		paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
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]		article8
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]		article74
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article10
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]		article98
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article221
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article198
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]		paper60
2009Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		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]		paper275
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 nother version. Agregated cites: 275		article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper73
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]		paper2
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper4
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
[Full Text][Citation analysis]		article926
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article168
2006Estimation of multivariate models for time series of possibly different lengths.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 168		article
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]		article110
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]		paper24
2008Copula-Based Models for Financial Time Series.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		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.
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2020Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper2
2022Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.(2022) In: Journal of Business & Economic Statistics.
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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]		article64
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article28
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]		article14
2023Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2001What good is a volatility model? In: Quantitative Finance.
[Full Text][Citation analysis]		article227
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article319
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article11
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]		article2

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