32
H index
47
i10 index
5226
Citations
Duke University (90% share) | 32 H index 47 i10 index 5226 Citations RESEARCH PRODUCTION: 58 Articles 47 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew Patton. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 12 |
Journal of Business & Economic Statistics | 11 |
The Journal of Financial Econometrics | 4 |
Journal of Financial Economics | 3 |
Journal of Finance | 3 |
Review of Financial Studies | 3 |
Journal of Applied Econometrics | 2 |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2022 | Autocalibration by balance correction in nonlife insurance pricing. (2022). Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022041. Full description at Econpapers || Download paper | |
2022 | Should 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 | |
2023 | Dynamic 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 | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | Scoring 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 | |
2022 | Dimension 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 | |
2022 | Roughness 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 | |
2022 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
2023 | Using 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 | |
2022 | Incorporating 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 | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2022 | Backtesting 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 | |
2022 | Estimation 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 | |
2023 | Realised 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 | |
2023 | Nonparametric 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 | |
2022 | Volatility 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 | |
2022 | A 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 | |
2022 | NumHTML: 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 | |
2022 | Evaluating 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 | |
2023 | Volatility 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 | |
2022 | Risk 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 | |
2022 | Vulnerability-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 | |
2022 | Reducing 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 | |
2022 | High-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 | |
2022 | The 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 | |
2022 | A 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 | |
2022 | The 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 | |
2022 | HARNet: 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 | |
2022 | Russias 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 | |
2022 | On 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 | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2022 | Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467. Full description at Econpapers || Download paper | |
2022 | Characterizing M-estimators. (2022). Ziegel, Johanna ; Fissler, Tobias ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2208.08108. Full description at Econpapers || Download paper | |
2022 | Comparing 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 | |
2023 | E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper | |
2022 | Monte-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 | |
2023 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
2023 | An 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 | |
2023 | A 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 | |
2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
2022 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper | |
2022 | Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2023 | Isotonic Recalibration under a Low Signal-to-Noise Ratio. (2023). Ziegel, Johanna ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:2301.02692. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Co-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. Full description at Econpapers || Download paper | |
2023 | Elicitability of Return Risk Measures. (2023). Laeven, Roger ; Bellini, Fabio ; Aygun, Mucahit. In: Papers. RePEc:arx:papers:2302.13070. Full description at Econpapers || Download paper | |
2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper | |
2023 | Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297. Full description at Econpapers || Download paper | |
2023 | Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093. Full description at Econpapers || Download paper | |
2023 | A Localized Neural Network with Dependent Data: Estimation and Inference. (2023). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593. Full description at Econpapers || Download paper | |
2023 | Machine Learning and Hamilton-Jacobi-Bellman Equation for Optimal Decumulation: a Comparison Study. (2023). Li, Yuying ; Forsyth, Peter A ; Shirazi, Mohammad ; Chen, Marc. In: Papers. RePEc:arx:papers:2306.10582. Full description at Econpapers || Download paper | |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
2023 | Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects. (2023). Ziel, Florian ; Hirsch, Simon. In: Papers. RePEc:arx:papers:2306.13419. Full description at Econpapers || Download paper | |
2023 | Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Efficient 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. Full description at Econpapers || Download paper | |
2023 | Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062. Full description at Econpapers || Download paper | |
2023 | What consistent responses on future inflation by consumers can reveal. (2023). Sabourin, Patrick ; Miller, Sarah. In: Discussion Papers. RePEc:bca:bocadp:23-7. Full description at Econpapers || Download paper | |
2023 | Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media. (2023). Song, Wenting ; MacAulay, Alistair. In: Staff Working Papers. RePEc:bca:bocawp:23-23. Full description at Econpapers || Download paper | |
2022 | Flash 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 | |
2023 | The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach. (2023). Romero, José ; Ramirez-Gonzalez, Mahicol Stiben ; Melo-Velandia, Luis Fernando. In: Borradores de Economia. RePEc:bdr:borrec:1231. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Information Acquisition ahead of Monetary Policy Announcements. (2022). Ehrmann, Michael ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:897. Full description at Econpapers || Download paper | |
2023 | The term structure of inflation forecasts disagreement and monetary policy transmission. (2023). Zhu, Sonya ; Xia, Dora ; Barbera, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:1114. Full description at Econpapers || Download paper | |
2022 | Agricultural diversification, productivity, and food security across time and space. (2022). Capitanio, Fabian ; de Luca, Giovanni ; di Falco, Salvatore ; Rivieccio, Giorgia ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:53:y:2022:i:s1:p:41-58. Full description at Econpapers || Download paper | |
2023 | Boosting distributional copula regression. (2023). Mayr, Andreas ; Schneider, Michael ; Faschingbauer, Florian ; Klein, Nadja ; Hans, Nicolai. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:3:p:2298-2310. Full description at Econpapers || Download paper | |
2022 | A 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 | |
2023 | The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376. Full description at Econpapers || Download paper | |
2022 | Stock 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 | |
2022 | Global 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 | |
2022 | Unconventional policies effects on stock market volatility: The MAP approach. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265. Full description at Econpapers || Download paper | |
2022 | The 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 | |
2022 | Next 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 | |
2022 | Periodic 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 | |
2022 | Distributional 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 | |
2022 | Testing for Asymmetric Comovements. (2022). Taamouti, Abderrahim ; Song, Xiaojun ; Chuang, Ochia. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1153-1180. Full description at Econpapers || Download paper | |
2022 | Revisiting 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 | |
2022 | Foreign 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 | |
2023 | Testing the validity of purchasing power parity for China: Evidence from the Fourier quantile unit root test. (2023). Lai, Jennifer ; Liang, Xiaoyi ; Chan, Kenneth S. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:464-492. Full description at Econpapers || Download paper | |
2023 | Estimating Lower Tail Dependence Between Pairs of Poverty Dimensions in Europe. (2023). Guegan, Dominique ; de Luca, Giovanni ; Dagostino, Antonella. In: Review of Income and Wealth. RePEc:bla:revinw:v:69:y:2023:i:2:p:419-442. Full description at Econpapers || Download paper | |
2022 | Semiparametric 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 | |
2022 | Oil 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 | |
2022 | Dependence 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 | |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2015 | Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
2013 | Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2016 | Daily 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: 29 | article | |
2015 | Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 147 |
2016 | Exploiting 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: 147 | article | |
2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 43 |
2018 | Modeling 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: 43 | article | |
2014 | Copulas in Econometrics In: Annual Review of Economics. [Full Text][Citation analysis] | article | 48 |
2017 | Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers. [Full Text][Citation analysis] | paper | 100 |
2019 | Dynamic 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: 100 | article | |
2019 | Testing for Unobserved Heterogeneity via k-means Clustering In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Testing for Unobserved Heterogeneity via k-means Clustering.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2023 | Testing Forecast Rationality for Measures of Central Tendency In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Testing 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 | |
2023 | Generalized Autoregressive Score Trees and Forests In: Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 104 |
2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 37 |
2011 | Predictability 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: 37 | article | |
2000 | Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review. [Citation analysis] | article | 95 |
2013 | On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance. [Full Text][Citation analysis] | article | 64 |
2011 | On 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: 64 | paper | |
2015 | Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance. [Full Text][Citation analysis] | article | 21 |
2012 | Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2015 | Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance. [Full Text][Citation analysis] | article | 21 |
2001 | Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 51 |
2002 | Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2002 | Common 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 | |
2001 | Estimation 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] | paper | 14 |
2000 | Impacts 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] | paper | 73 |
2004 | Impacts 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: 73 | article | |
2005 | Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
2005 | Testable 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 | |
2014 | The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2013 | The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2015 | The 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: 10 | article | |
2003 | Properties of Optimal Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2004 | Properties 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 | |
2007 | Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2010 | On the Dynamics of Hedge Fund Risk Exposures In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 73 |
2011 | Forecast 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: 73 | article | |
2012 | Forecast Rationality Tests Based on Multi-Horizon Bounds.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | article | |
2013 | Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2018 | Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2013 | Dynamic Copula Models and High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 52 |
2015 | Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2013 | Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers. [Full Text][Citation analysis] | paper | 99 |
2018 | Time-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: 99 | article | |
2013 | Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 91 |
2022 | Equity clusters through the lens of realized semicorrelations In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 40 |
2003 | Common 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 | |
2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 85 |
2011 | Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 675 |
2006 | Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 675 | paper | |
2011 | Data-based ranking of realised volatility estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
2015 | Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 248 |
2013 | Does 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: 248 | paper | |
2016 | High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2015 | High-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: 21 | paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
2022 | From zero to hero: Realized partial (co)variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2009 | Optimal combinations of realised volatility estimators In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 72 |
2020 | What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 10 |
2022 | Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2010 | Monotonicity 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] | article | 98 |
2012 | A review of copula models for economic time series In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 215 |
2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 197 |
2009 | Does beta move with news? Systematic risk and firm-specific information flows In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2004 | Simple 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] | paper | 43 |
2004 | Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 60 |
2009 | Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | article | |
2002 | On the out-of-sample importance of skewness and asymetric dependence for asset allocation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 272 |
2004 | On 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: 272 | article | |
2015 | Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 69 |
2017 | Modeling 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: 69 | article | |
2022 | Dynamic Factor Copula Models with Estimated Cluster Assignments In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Better the Devil You Know: Improved Forecasts from Imperfect Models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2006 | MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review. [Full Text][Citation analysis] | article | 908 |
2006 | Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 166 |
2006 | Estimation 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: 166 | article | |
2017 | Introduction to the 2016 Hal White Memorial Lecture In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | Editorial In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | Farewell Editorial In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2012 | Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: Review of Financial Studies. [Full Text][Citation analysis] | article | 105 |
2022 | Risk Price Variation: The Missing Half of Empirical Asset Pricing In: Review of Financial Studies. [Full Text][Citation analysis] | article | 1 |
2008 | Copula-Based Models for Financial Time Series In: Economics Series Working Papers. [Citation analysis] | paper | 24 |
2008 | Copula-Based Models for Financial Time Series.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2008 | Evaluating Volatility and Correlation Forecasts In: Economics Series Working Papers. [Citation analysis] | paper | 12 |
2008 | Evaluating Volatility and Correlation Forecasts.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2020 | Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Comparing 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: 1 | article | |
2009 | Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews. [Full Text][Citation analysis] | article | 63 |
2013 | Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 27 |
2012 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2015 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Comparing Possibly Misspecified Forecasts In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 13 |
2023 | Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2001 | What good is a volatility model? In: Quantitative Finance. [Full Text][Citation analysis] | article | 226 |
2015 | Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 302 |
2020 | Realized Semicovariances In: Econometrica. [Full Text][Citation analysis] | article | 10 |
2016 | Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
2022 | A consistent specification test for dynamic quantile models In: Quantitative Economics. [Full Text][Citation analysis] | article | 1 |
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