33
H index
49
i10 index
6016
Citations
Duke University (90% share) | 33 H index 49 i10 index 6016 Citations RESEARCH PRODUCTION: 58 Articles 52 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 |
Journal of Financial Econometrics | 4 |
The Review of Financial Studies | 3 |
Journal of Financial Economics | 3 |
Journal of Finance | 3 |
Journal of Applied Econometrics | 2 |
Year | Title of citing document | |
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2024 | Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?. (2024). Jia, Ruixin ; Zhang, Yu Yvette ; Liu, Mengqiao. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343698. Full description at Econpapers || Download paper | |
2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169. Full description at Econpapers || Download paper | |
2024 | Price Links Among Qualitatively Differentiated Meats: Evidence from The UK Wholesale Beef Market. (2024). Fousekis, Panos. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:344846. Full description at Econpapers || Download paper | |
2024 | Tail Dependence of Commodity Futures Returns in the Agricultural and Energy Sectors. (2024). Lach, Agnieszka. In: Roczniki (Annals). RePEc:ags:paaero:348657. Full description at Econpapers || Download paper | |
2024 | Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022. Full description at Econpapers || Download paper | |
2024 | Frequentist properties of Bayesian inequality tests. (2024). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393. Full description at Econpapers || Download paper | |
2024 | Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2024 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2024 | Estimations of the Local Conditional Tail Average Treatment Effect. (2024). Chen, Le-Yu ; Yen, Yu-Min. In: Papers. RePEc:arx:papers:2109.08793. Full description at Econpapers || Download paper | |
2025 | Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2024 | A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2024 | E-backtesting. (2024). Wang, Ruodu ; Ziegel, Johanna. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper | |
2024 | Prediction intervals for economic fixed-event forecasts. (2024). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2025 | A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2024 | The limitations of comonotonic additive risk measures: a literature review. (2024). Righi, Marcelo ; Santos, Samuel Solgon ; de Oliveira, Eduardo. In: Papers. RePEc:arx:papers:2212.13864. Full description at Econpapers || Download paper | |
2024 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2024 | Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy. (2024). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593. Full description at Econpapers || Download paper | |
2024 | Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper | |
2024 | Forecasting with Feedback. (2024). Lieli, Robert P ; Nieto-Barthaburu, Augusto. In: Papers. RePEc:arx:papers:2308.15062. Full description at Econpapers || Download paper | |
2024 | Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2024). Tang, Siu Hin ; Rosenbaum, Mathieu ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727. Full description at Econpapers || Download paper | |
2024 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper | |
2025 | Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper | |
2024 | Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers || Download paper | |
2024 | Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195. Full description at Econpapers || Download paper | |
2024 | Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701. Full description at Econpapers || Download paper | |
2024 | Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030. Full description at Econpapers || Download paper | |
2024 | Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134. Full description at Econpapers || Download paper | |
2024 | Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2404.00864. Full description at Econpapers || Download paper | |
2024 | A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2024 | Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235. Full description at Econpapers || Download paper | |
2024 | HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041. Full description at Econpapers || Download paper | |
2024 | CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619. Full description at Econpapers || Download paper | |
2024 | A GCN-LSTM Approach for ES-mini and VX Futures Forecasting. (2024). Howison, Sam ; Michael, Nikolas ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2408.05659. Full description at Econpapers || Download paper | |
2024 | Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863. Full description at Econpapers || Download paper | |
2024 | Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437. Full description at Econpapers || Download paper | |
2024 | Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588. Full description at Econpapers || Download paper | |
2024 | Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010. Full description at Econpapers || Download paper | |
2025 | Robust Elicitable Functionals. (2025). Pesenti, Silvana M ; Miao, Kathleen E. In: Papers. RePEc:arx:papers:2409.04412. Full description at Econpapers || Download paper | |
2024 | Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets. (2024). Ramdas, Tejas ; Wells, Martin T. In: Papers. RePEc:arx:papers:2409.05192. Full description at Econpapers || Download paper | |
2024 | COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning. (2024). Wang, Zian ; Lu, Xinyi. In: Papers. RePEc:arx:papers:2409.08356. Full description at Econpapers || Download paper | |
2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516. Full description at Econpapers || Download paper | |
2024 | How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165. Full description at Econpapers || Download paper | |
2025 | Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773. Full description at Econpapers || Download paper | |
2024 | A New Way: Kronecker-Factored Approximate Curvature Deep Hedging and its Benefits. (2024). Enkhbayar, Tsogt-Ochir. In: Papers. RePEc:arx:papers:2411.15002. Full description at Econpapers || Download paper | |
2024 | Probabilistic 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. Full description at Econpapers || Download paper | |
2024 | From 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. Full description at Econpapers || Download paper | |
2024 | Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092. Full description at Econpapers || Download paper | |
2024 | Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517. Full description at Econpapers || Download paper | |
2024 | Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791. Full description at Econpapers || Download paper | |
2024 | VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278. Full description at Econpapers || Download paper | |
2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069. Full description at Econpapers || Download paper | |
2025 | Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730. Full description at Econpapers || Download paper | |
2025 | Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490. Full description at Econpapers || Download paper | |
2025 | Online Generalized Method of Moments for Time Series. (2025). Shao, Xiaofeng ; Chan, Kin Wai ; Leung, Man Fung. In: Papers. RePEc:arx:papers:2502.00751. Full description at Econpapers || Download paper | |
2025 | Improving 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. Full description at Econpapers || Download paper | |
2025 | Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065. Full description at Econpapers || Download paper | |
2025 | Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978. Full description at Econpapers || Download paper | |
2025 | The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549. Full description at Econpapers || Download paper | |
2025 | Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851. Full description at Econpapers || Download paper | |
2025 | Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080. Full description at Econpapers || Download paper | |
2025 | Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767. Full description at Econpapers || Download paper | |
2024 | Heterogeneous Expectations among Professional Forecasters. (2024). Lahiri, Kajal ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0754. Full description at Econpapers || Download paper | |
2025 | Using machine learning to aggregate apartment prices: Comparing the performance of different Luxembourg indices. (2025). Kremer, David ; Kaempff, Bob. In: BCL working papers. RePEc:bcl:bclwop:bclwp194. Full description at Econpapers || Download paper | |
2024 | Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965. Full description at Econpapers || Download paper | |
2025 | Lumpy Forecasts. (2025). Turen, Javier ; Baley, Isaac. In: Working Papers. RePEc:bge:wpaper:1476. Full description at Econpapers || Download paper | |
2024 | Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128. Full description at Econpapers || Download paper | |
2024 | The Bitcoin‐agricultural commodities nexus: Fresh insight from COVID‐19 and 2022 Russia–Ukraine war. (2024). Lu, Ran ; Zeng, Hongjun ; Ahmed, Abdullahi D. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:68:y:2024:i:3:p:653-677. Full description at Econpapers || Download paper | |
2024 | Is 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. Full description at Econpapers || Download paper | |
2024 | A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882. Full description at Econpapers || Download paper | |
2024 | Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43. Full description at Econpapers || Download paper | |
2024 | Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058. Full description at Econpapers || Download paper | |
2024 | Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24. Full description at Econpapers || Download paper | |
2024 | Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp. Full description at Econpapers || Download paper | |
2024 | Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach. (2024). Rault, Christophe ; Ben Salem, Leila ; Nouira, Ridha ; Zayati, Montassar. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10989. Full description at Econpapers || Download paper | |
2024 | Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024. Full description at Econpapers || Download paper | |
2024 | Fitting complex stochastic volatility models using Laplace approximation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43947. Full description at Econpapers || Download paper | |
2024 | Inflation (de-)anchoring in the euro area. (2024). De Backer, Bruno ; Burban, Valentin ; Vladu, Andreea Liliana. In: Working Paper Series. RePEc:ecb:ecbwps:20242964. Full description at Econpapers || Download paper | |
2024 | Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach. (2024). van der Lecq, Max ; van Vuuren, Gary. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-1. Full description at Econpapers || Download paper | |
2024 | Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029. Full description at Econpapers || Download paper | |
2024 | Robust 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. Full description at Econpapers || Download paper | |
2024 | Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019. Full description at Econpapers || Download paper | |
2024 | Pricing 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. Full description at Econpapers || Download paper | |
2024 | Robust 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. Full description at Econpapers || Download paper | |
2025 | A 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. Full description at Econpapers || Download paper | |
2024 | Preschool and child health: Evidence from Chinas universal child care reform. (2024). Ren, Meiqing. In: Economics of Education Review. RePEc:eee:ecoedu:v:100:y:2024:i:c:s0272775724000347. Full description at Econpapers || Download paper | |
2024 | Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420. Full description at Econpapers || Download paper | |
2024 | Dynamic 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. Full description at Econpapers || Download paper | |
2024 | Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Yan ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354. Full description at Econpapers || Download paper | |
2024 | Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378. Full description at Econpapers || Download paper | |
2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper | |
2024 | Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731. Full description at Econpapers || Download paper | |
2024 | Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?. (2024). Hamori, Shigeyuki ; Zhang, Yulian ; Liu, Tiantian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000743. Full description at Econpapers || Download paper | |
2024 | Evaluation of volatility spillovers for asymmetric realized covariance. (2024). Maki, Daiki. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001025. Full description at Econpapers || Download paper | |
2024 | Volatility 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. Full description at Econpapers || Download paper | |
2024 | Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market. (2024). Li, Xianhua ; Wang, Qin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001554. Full description at Econpapers || Download paper | |
2024 | Diversification 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. Full description at Econpapers || Download paper | |
2024 | Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946. Full description at Econpapers || Download paper | |
2024 | Which 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. 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 | 31 |
2013 | Daily 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 | |
2016 | Daily 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 | |
2015 | Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 197 |
2016 | Exploiting 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: 197 | article | |
2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 60 |
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 nother version. Agregated cites: 60 | article | |
2014 | Copulas in Econometrics In: Annual Review of Economics. [Full Text][Citation analysis] | article | 56 |
2017 | Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers. [Full Text][Citation analysis] | paper | 148 |
2019 | Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 148 | 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 nother version. Agregated cites: 0 | article | |
2024 | 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 nother version. Agregated cites: 1 | paper | |
2023 | Generalized Autoregressive Score Trees and Forests In: Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 106 |
2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 43 |
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 nother version. Agregated cites: 43 | article | |
2000 | Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review. [Citation analysis] | article | 100 |
2013 | On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance. [Full Text][Citation analysis] | article | 70 |
2011 | On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2015 | Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance. [Full Text][Citation analysis] | article | 25 |
2012 | Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2015 | Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance. [Full Text][Citation analysis] | article | 25 |
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 | 53 |
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 nother 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 | 78 |
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 nother version. Agregated cites: 78 | 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 nother 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 nother 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 nother 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 nother 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 | 84 |
2011 | Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | article | |
2012 | Forecast Rationality Tests Based on Multi-Horizon Bounds.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | article | |
2013 | Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2018 | Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2013 | Dynamic Copula Models and High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 54 |
2015 | Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | article | |
2013 | Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers. [Full Text][Citation analysis] | paper | 119 |
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 nother version. Agregated cites: 119 | article | |
2013 | Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 102 |
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 | 44 |
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 nother version. Agregated cites: 44 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | ||
2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 89 |
2011 | Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 774 |
2006 | Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 774 | paper | |
2011 | Data-based ranking of realised volatility estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
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 | 308 |
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 nother version. Agregated cites: 308 | paper | |
2016 | High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 29 |
2015 | High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
2022 | From zero to hero: Realized partial (co)variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2009 | Optimal combinations of realised volatility estimators In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 80 |
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 | 14 |
2022 | Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
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 | 102 |
2012 | A review of copula models for economic time series In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 246 |
2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 222 |
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 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
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 | 42 |
2004 | Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 62 |
2009 | Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | 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 | 295 |
2004 | On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 295 | article | |
2015 | Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 93 |
2017 | Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | 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 |
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2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2006 | MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review. [Full Text][Citation analysis] | article | 994 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2006 | Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 174 |
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 nother version. Agregated cites: 174 | article | |
2017 | Introduction to the 2016 Hal White Memorial Lecture In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | Editorial In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | Farewell Editorial In: 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: The Review of Financial Studies. [Full Text][Citation analysis] | article | 123 |
2022 | Risk Price Variation: The Missing Half of Empirical Asset Pricing In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 4 |
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 nother 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 nother 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 | 2 |
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 nother version. Agregated cites: 2 | 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 | 66 |
2013 | Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 32 |
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 | 24 |
2023 | Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 3 |
2001 | What good is a volatility model? In: Quantitative Finance. [Full Text][Citation analysis] | article | 242 |
2015 | Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 383 |
2020 | Realized Semicovariances In: Econometrica. [Full Text][Citation analysis] | article | 19 |
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 | 3 |
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