Andrew Patton : Citation Profile


Are you Andrew Patton?

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

22

H index

30

i10 index

2108

Citations

RESEARCH PRODUCTION:

35

Articles

42

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2000 - 2016). See details.
   Cites by year: 131
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 293.    Total self citations: 27 (1.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2018-06-16    RAS profile: 2017-04-06    
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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)

McAleer, Michael (22)

Reboredo, Juan (22)

Baruník, Jozef (20)

Koopman, Siem Jan (19)

Hautsch, Nikolaus (17)

Christoffersen, Peter (16)

van Dijk, Dick (16)

Chen, Xiaohong (15)

Clements, Michael (15)

Lee, Tae Hwy (13)

Cites to:

Bollerslev, Tim (83)

Diebold, Francis (61)

Andersen, Torben (57)

Hansen, Peter (41)

Shephard, Neil (39)

Lunde, Asger (33)

White, Halbert (33)

Engle, Robert (31)

Barndorff-Nielsen, Ole (29)

West, Kenneth (26)

Chen, Xiaohong (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
OFRC Working Papers Series / Oxford Financial Research Centre2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

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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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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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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2018Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao . In: Papers. RePEc:arx:papers:1607.00393.

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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. (2018). 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. (2018). 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. (2018). 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. (2018). Potiron, Yoann ; Clinet, Simon. 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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2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018A mixture autoregressive model based on Students $t$-distribution. (2018). Saikkonen, Pentti ; Preve, Daniel ; Meitz, Mika. In: Papers. RePEc:arx:papers:1805.04010.

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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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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong . In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius. 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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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Skew and heavy-tail effects on firm performance. (2017). Makino, Shige ; Chan, Christine M. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:8:p:1721-1740.

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2018Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061.

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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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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_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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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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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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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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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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2018Fiscal credibility and disagreement in expectations about inflation: evidence for Brazil. (2018). Montes, Gabriel Caldas ; Acar, Tatiana. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00001.

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2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136.

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2018Resource adequacy risks to the bulk power system in North America. (2018). Murphy, Sinnott ; Sowell, Fallaw ; Moura, John ; Apt, Jay . In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:1360-1376.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Deng, Yongheng ; Joyeux, Roselyne ; Girardin, Eric. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2018Bayesian inference for conditional copulas using Gaussian Process single index models. (2018). Levi, Evgeny ; Craiu, Radu V. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:122:y:2018:i:c:p:115-134.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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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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2017Reserve modelling and the aggregation of risks using time varying copula models. (2017). Araichi, Sawssen ; Belkacem, Lotfi ; de Peretti, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:149-158.

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2017Testing the Gaussian and Students t copulas in a risk management framework. (2017). Lourme, Alexandre ; Maurer, Frantz. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:203-214.

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2018How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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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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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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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). Tauchen, George ; Todorov, Viktor ; Li, Jia. 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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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Darolles, Serge ; Laurent, Sebastien ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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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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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Patari, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville . In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors. (2018). Wing, Tom Pak ; Fu, John ; Li, Ka-Fai . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:98-110.

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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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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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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.
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paper22
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
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paper6
2014Copulas in Econometrics In: Annual Review of Economics.
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article6
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
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article58
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
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article9
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
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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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article33
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.
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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.
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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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paper25
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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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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paper8
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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paper59
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.
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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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paper6
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
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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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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.
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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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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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paper19
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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paper20
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
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chapter12
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article36
2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
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article55
2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity.(2004) In: Working Papers.
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paper
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
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article325
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
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2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
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article12
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
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article32
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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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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2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
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article30
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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article33
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
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article84
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
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article70
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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paper17
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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2004Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics.
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paper28
2009Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies.
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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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paper140
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: Journal of Financial Econometrics.
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article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
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paper4
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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paper10
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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article491
2004Modelling Asymmetric Exchange Rate Dependence.(2004) In: Working Papers.
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2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
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article90
2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: Review of Financial Studies.
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article32
2008Copula-Based Models for Financial Time Series In: OFRC Working Papers Series.
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paper13
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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article29
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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article125
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
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article38
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
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