Andrew Patton : Citation Profile

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

33

H index

49

i10 index

5950

Citations

RESEARCH PRODUCTION:

58

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 247
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 385.    Total self citations: 49 (0.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa34
   Updated: 2025-04-05    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Bollerslev, Tim (5)

Quaedvlieg, Rogier (4)

Xia, Shuo (2)

Wolff, Christian (2)

Heath, Davidson (2)

Vogel, Sebastian (2)

Pastor, Lubos (2)

Bjønnes, Geir (2)

Palan, Stefan (2)

CAPELLE-BLANCARD, Gunther (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Mihet, Roxana (2)

Deku, Solomon (2)

Vilkov, Grigory (2)

Jalkh, Naji (2)

Patel, Vinay (2)

Ødegaard, Bernt (2)

Rakowski, David (2)

Park, Andreas (2)

Schwarz, Marco (2)

Rinne, Kalle (2)

Zhou, Chen (2)

Alexeev, Vitali (2)

Reitz, Stefan (2)

Prokopczuk, Marcel (2)

FERROUHI, EL MEHDI (2)

Voigt, Stefan (2)

Degryse, Hans (2)

Gerritsen, Dirk (2)

Pasquariello, Paolo (2)

Holzmeister, Felix (2)

LINTON, OLIVER (2)

Adrian, Tobias (2)

Schuerhoff, Norman (2)

Walther, Thomas (2)

Taylor, Nick (2)

Talavera, Oleksandr (2)

Bos, Charles (2)

Harris, Jeffrey (2)

Kearney, Fearghal (2)

Pelizzon, Loriana (2)

PASCUAL, ROBERTO (2)

Ait-Sahalia, Yacine (2)

Gehrig, Thomas (2)

Bouri, Elie (2)

Moinas, Sophie (2)

Jurkatis, Simon (2)

Huang, Wenqian (2)

Tonks, Ian (2)

Abudy, Menachem (2)

Caporin, Massimiliano (2)

Nielsson, Ulf (2)

Dumitrescu, Ariadna (2)

Sojli, Elvira (2)

Scaillet, Olivier (2)

Dreber, Anna (2)

Stefanova, Denitsa (2)

Renault, Thomas (2)

Chernov, Mikhail (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Kassner, Bernhard (2)

Davies, Ryan (2)

Foucault, Thierry (2)

Zhang, S. Sarah (2)

Füllbrunn, Sascha (2)

Lopez-Lira, Alejandro (2)

Hautsch, Nikolaus (2)

Horenstein, Alex (2)

Menkveld, Albert (2)

Schenk-Hoppé, Klaus (2)

Dimpfl, Thomas (2)

Deev, Oleg (2)

Roy, Saurabh (2)

Bohorquez Correa, Santiago (2)

Shachar, Or (2)

Frijns, Bart (2)

Wilhelmsson, Anders (2)

Frömmel, Michael (2)

Ferrara, Gerardo (2)

Regis, Luca (2)

He, Xuezhong (Tony) (2)

Brownlees, Christian (2)

Liew, Chee (2)

Johannesson, Magnus (2)

Roy, Saurabh (2)

Verousis, Thanos (2)

Lof, Matthijs (2)

van Kervel, Vincent (2)

Putnins, Talis (2)

Xiu, Dacheng (2)

Smales, Lee (2)

Sarno, Lucio (2)

Hjalmarsson, Erik (2)

Gorbenko, Arseny (2)

Korajczyk, Robert (2)

Wong, Wing-Keung (2)

Colliard, Jean-Edouard (2)

Hurlin, Christophe (2)

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

Is cited by:

Zhang, Yaojie (78)

Lyócsa, Štefan (64)

Lucas, Andre (59)

GUPTA, RANGAN (57)

Clements, Michael (47)

Wang, Yudong (45)

Gallo, Giampiero (44)

Clements, Adam (40)

Koopman, Siem Jan (36)

Okhrin, Ostap (33)

Bauwens, Luc (33)

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

Production by document typepaperchapterarticle2000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 33Most cited documents123456789101112131415161718192021222324252627282930313233343505001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Andrew Patton has published?

Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics11
Journal of Financial Econometrics4
Journal of Finance3
Journal of Financial Economics3
The Review of Financial Studies3
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
Papers / arXiv.org4
Economics Series Working Papers / University of Oxford, Department of Economics4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2024Tail Dependence of Commodity Futures Returns in the Agricultural and Energy Sectors. (2024). Lach, Agnieszka. In: Roczniki (Annals). RePEc:ags:paaero:348657.

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2024Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024Realised 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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2024Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A 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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2024E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2024Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2024An 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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2025A 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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2024The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864.

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2024Co-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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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024A 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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2024Efficient 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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2024Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062.

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2024Forecasting 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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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2025Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024A New Way: Kronecker-Factored Approximate Curvature Deep Hedging and its Benefits. (2024). Enkhbayar, Tsogt-Ochir. In: Papers. RePEc:arx:papers:2411.15002.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2024VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Online Generalized Method of Moments for Time Series. (2025). Shao, Xiaofeng ; Chan, Kin Wai ; Leung, Man Fung. In: Papers. RePEc:arx:papers:2502.00751.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Using machine learning to aggregate apartment prices: Comparing the performance of different Luxembourg indices Abstract: This paper presents three different methods to estimate an apartment price index or Luxembourg and evaluates their performance by comparing volatility, proneness to revisions, coherence and out-of-sample fit. In addition to the standard hedonic and repeat sales methods, we apply a machine learning algorithm (the interpretable random forest approach) to produce a new index for Luxembourg. The three methods indicate similar trends in residential property prices. The new random forest index closely tracks the two more traditional indices, providing evidence supporting the viability of this new approach. In comparing the three methods, the random forest index is more stable and therefore provides information that is easier to interpret. However, all three methods are subject to revisions when new observations are released and these tend to be larger for the random forest than for traditional indices.. (2025). Kremer, David ; Kaempff, Bob. In: BCL working papers. RePEc:bcl:bclwop:bclwp194.

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2024.

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2024.

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2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

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2024.

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2024.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Learning about the Long Run. (2024). Farmer, Leland E ; Steinsson, JN ; Nakamura, Emi. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2024Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach. (2024). Rault, Christophe ; Nouira, Ridha ; Zayati, Montassar ; ben Salem, Leila. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10989.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024Robust portfolio selection with subjective risk aversion under dependence uncertainty. (2024). Li, Yuhan ; Su, Xiaoshan. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000233.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Jin ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?. (2024). Zhang, Yulian ; Liu, Tiantian ; Hamori, Shigeyuki. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000743.

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2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

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2024.

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2024Diversification value of green Bonds: Fresh evidence from China. (2024). Huang, Ziling ; Zhou, You ; Lin, Lichao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797.

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2024Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946.

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2024Which daily equity returns improve output forecasts?. (2024). Lang, William J ; Jahan-Pavar, Mohammad R. In: Economics Letters. RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003811.

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2024The efficiency of the Japanese government’s revenue projections. (2024). Yamamoto, Yohei ; Arai, Natsuki ; Iizuka, Nobuo. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005196.

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2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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

Works by Andrew Patton:

Year  ↓Title  ↓Type  ↓Cited  ↓
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper31
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2016Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper193
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 193		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper60
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
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2014Copulas in Econometrics In: Annual Review of Economics.
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2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
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2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
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2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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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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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.(2005) In: LSE Research Online Documents on Economics.
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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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2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2010On the Dynamics of Hedge Fund Risk Exposures In: CEPR Discussion Papers.
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2008Evaluating Volatility and Correlation Forecasts.(2008) In: OFRC Working Papers Series.
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