Andrew Patton : Citation Profile


Are you Andrew Patton?

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

31

H index

42

i10 index

4743

Citations

RESEARCH PRODUCTION:

55

Articles

46

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 215
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 703.    Total self citations: 49 (1.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2023-01-28    RAS profile: 2023-01-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Quaedvlieg, Rogier (5)

Bollerslev, Tim (3)

Abudy, Menachem (2)

Smales, Lee (2)

Xiu, Dacheng (2)

Dumitrescu, Ariadna (2)

Zhou, Chen (2)

Bohorquez Correa, Santiago (2)

Prokopczuk, Marcel (2)

Wilhelmsson, Anders (2)

FERROUHI, EL MEHDI (2)

Holzmeister, Felix (2)

Taylor, Nick (2)

Rinne, Kalle (2)

Vilkov, Grigory (2)

CAPELLE-BLANCARD, Gunther (2)

Verousis, Thanos (2)

Xia, Shuo (2)

Putnins, Talis (2)

Bos, Charles (2)

Nielsson, Ulf (2)

Ranaldo, Angelo (2)

Colliard, Jean-Edouard (2)

Hjalmarsson, Erik (2)

Theissen, Erik (2)

Wong, Wing-Keung (2)

Talavera, Oleksandr (2)

Ait-Sahalia, Yacine (2)

Gorbenko, Arseny (2)

Menkveld, Albert (2)

Pelizzon, Loriana (2)

Harris, Jeffrey (2)

Dreber, Anna (2)

Johannesson, Magnus (2)

LINTON, OLIVER (2)

Alexeev, Vitali (2)

Vogel, Sebastian (2)

Patel, Vinay (2)

Heath, Davidson (2)

van Kervel, Vincent (2)

Jalkh, Naji (2)

Bouri, Elie (2)

Reitz, Stefan (2)

Frijns, Bart (2)

Mihet, Roxana (2)

Pasquariello, Paolo (2)

Rakowski, David (2)

Adrian, Tobias (2)

Roy, Saurabh (2)

Caporin, Massimiliano (2)

Chow, Nikolai Sheung-Chi (2)

Walther, Thomas (2)

Moinas, Sophie (2)

Davies, Ryan (2)

Jurkatis, Simon (2)

Kassner, Bernhard (2)

Park, Andreas (2)

Wolff, Christian (2)

Tonks, Ian (2)

Jones, Charles (2)

Deev, Oleg (2)

Liew, Chee (2)

Brownlees, Christian (2)

Chernov, Mikhail (2)

Deku, Solomon (2)

Scaillet, Olivier (2)

Dimpfl, Thomas (2)

Schwarz, Marco (2)

Lof, Matthijs (2)

Horenstein, Alex (2)

Lajaunie, Quentin (2)

PASCUAL, ROBERTO (2)

Stefanova, Denitsa (2)

Schenk-Hoppé, Klaus (2)

Ferrara, Gerardo (2)

Foucault, Thierry (2)

Lopez-Lira, Alejandro (2)

Palan, Stefan (2)

Hautsch, Nikolaus (2)

Gerritsen, Dirk (2)

Sarno, Lucio (2)

He, Xuezhong (Tony) (2)

Kearney, Fearghal (2)

Hurlin, Christophe (2)

Regis, Luca (2)

Gehrig, Thomas (2)

Pastor, Lubos (2)

Sojli, Elvira (2)

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

Is cited by:

Lyócsa, Štefan (59)

Lucas, Andre (52)

Zhang, Yaojie (49)

GUPTA, RANGAN (48)

Clements, Michael (39)

Clements, Adam (34)

Koopman, Siem Jan (33)

Reboredo, Juan (31)

Molnár, Peter (31)

Gallo, Giampiero (30)

Storti, Giuseppe (29)

Cites to:

Bollerslev, Tim (104)

Diebold, Francis (72)

Andersen, Torben (59)

Shephard, Neil (59)

Hansen, Peter (53)

Engle, Robert (48)

Lunde, Asger (41)

Barndorff-Nielsen, Ole (39)

White, Halbert (33)

Christoffersen, Peter (25)

Chen, Xiaohong (23)

Main data


Where Andrew Patton has published?


Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics8
The Journal of Financial Econometrics4
Journal of Finance3
Journal of Financial Economics3
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
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
Economics Series Working Papers / University of Oxford, Department of Economics4
Papers / arXiv.org3
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Andrew Patton (2022 and 2021)


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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

Full description at Econpapers || Download paper

2021The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy. (2021). Ziyi, Zhang ; Jie, LI ; Ping, LI. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:9:y:2021:i:5:p:469-497:n:2.

Full description at Econpapers || Download paper

2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

Full description at Econpapers || Download paper

2021On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3.

Full description at Econpapers || Download paper

2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

Full description at Econpapers || Download paper

2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

Full description at Econpapers || Download paper

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

Works by Andrew Patton:


YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
[Full Text][Citation analysis]
paper6
2015Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper28
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2016Daily House Price Indices: Construction, Modeling, and Longer?run Predictions.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]
paper134
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 134
article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper34
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
2014Copulas in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]
article40
2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers.
[Full Text][Citation analysis]
paper85
2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85
article
2019Testing for Unobserved Heterogeneity via k-means Clustering In: Papers.
[Full Text][Citation analysis]
paper0
2021Testing Forecast Rationality for Measures of Central Tendency In: Papers.
[Full Text][Citation analysis]
paper1
2020Testing forecast rationality for measures of central tendency.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article99
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article34
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
[Citation analysis]
article94
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
[Full Text][Citation analysis]
article61
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]
article18
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
[Full Text][Citation analysis]
article18
2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper48
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2001Estimation of Copula Models for Time Series of Possibly Different Length In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper12
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper72
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
article
2005Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]
paper1
2005Testable implications of forecast optimality.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2014The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper9
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper4
2010On the Dynamics of Hedge Fund Risk Exposures In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]
paper9
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]
paper48
2015Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers.
[Full Text][Citation analysis]
paper92
2018Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads.(2018) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
article
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter82
2022Equity clusters through the lens of realized semicorrelations In: Economics Letters.
[Full Text][Citation analysis]
article0
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article40
2003Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]
article83
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]
article620
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 620
paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]
article28
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]
article206
2013Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 206
paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]
article69
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]
article0
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
[Full Text][Citation analysis]
article92
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article193
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article173
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]
paper57
2009Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
article
2002On the out-of-sample importance of skewness and asymetric dependence for asset allocation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper259
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 259
article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper60
2017Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
article
2022Dynamic Factor Copula Models with Estimated Cluster Assignments In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper0
2021Better the Devil You Know: Improved Forecasts from Imperfect Models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
[Full Text][Citation analysis]
article860
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article154
2006Estimation of multivariate models for time series of possibly different lengths.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
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]
article94
2022Risk Price Variation: The Missing Half of Empirical Asset Pricing In: Review of Financial Studies.
[Full Text][Citation analysis]
article0
2008Copula-Based Models for Financial Time Series In: Economics Series Working Papers.
[Citation analysis]
paper23
2008Copula-Based Models for Financial Time Series.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2008Evaluating Volatility and Correlation Forecasts In: Economics Series Working Papers.
[Citation analysis]
paper12
2008Evaluating Volatility and Correlation Forecasts.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2020Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter In: Economics Series Working Papers.
[Full Text][Citation analysis]
paper0
2022Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
[Full Text][Citation analysis]
article58
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article25
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]
article10
2001What good is a volatility model? In: Quantitative Finance.
[Full Text][Citation analysis]
article219
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article268
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]
article6
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
[Full Text][Citation analysis]
article0
2022A consistent specification test for dynamic quantile models In: Quantitative Economics.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team