Andrew Patton : Citation Profile

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

33

H index

49

i10 index

6016

Citations

RESEARCH PRODUCTION:

58

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 250
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 386.    Total self citations: 49 (0.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2025-05-10    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Bollerslev, Tim (5)

Quaedvlieg, Rogier (4)

Putnins, Talis (2)

He, Xuezhong (Tony) (2)

Gerritsen, Dirk (2)

Holzmeister, Felix (2)

Xia, Shuo (2)

Schenk-Hoppé, Klaus (2)

Bos, Charles (2)

Kassner, Bernhard (2)

Abudy, Menachem (2)

Kearney, Fearghal (2)

CAPELLE-BLANCARD, Gunther (2)

Reitz, Stefan (2)

Bouri, Elie (2)

Vilkov, Grigory (2)

van Kervel, Vincent (2)

Ranaldo, Angelo (2)

Vogel, Sebastian (2)

Huang, Wenqian (2)

Liew, Chee (2)

Dreber, Anna (2)

Bohorquez Correa, Santiago (2)

Caporin, Massimiliano (2)

Brownlees, Christian (2)

Davies, Ryan (2)

Ferrara, Gerardo (2)

Zhou, Chen (2)

Regis, Luca (2)

FERROUHI, EL MEHDI (2)

Mihet, Roxana (2)

Scaillet, Olivier (2)

Moinas, Sophie (2)

Alexeev, Vitali (2)

Park, Andreas (2)

Roy, Saurabh (2)

Smales, Lee (2)

Dimpfl, Thomas (2)

Hurlin, Christophe (2)

Talavera, Oleksandr (2)

Harris, Jeffrey (2)

Heath, Davidson (2)

Lajaunie, Quentin (2)

Hjalmarsson, Erik (2)

Gehrig, Thomas (2)

Hautsch, Nikolaus (2)

Pelizzon, Loriana (2)

Patel, Vinay (2)

Korajczyk, Robert (2)

Sarno, Lucio (2)

LINTON, OLIVER (2)

Söderlind, Paul (2)

Jalkh, Naji (2)

Tonks, Ian (2)

Colliard, Jean-Edouard (2)

Theissen, Erik (2)

Shachar, Or (2)

Verousis, Thanos (2)

Zhang, S. Sarah (2)

Dumitrescu, Ariadna (2)

Wolff, Christian (2)

Foucault, Thierry (2)

Prokopczuk, Marcel (2)

Ødegaard, Bernt (2)

Schwarz, Marco (2)

Voigt, Stefan (2)

Degryse, Hans (2)

Renault, Thomas (2)

Jurkatis, Simon (2)

Ait-Sahalia, Yacine (2)

Wilhelmsson, Anders (2)

Lof, Matthijs (2)

Gorbenko, Arseny (2)

Frömmel, Michael (2)

Sojli, Elvira (2)

Johannesson, Magnus (2)

Rakowski, David (2)

Walther, Thomas (2)

Nielsson, Ulf (2)

Roy, Saurabh (2)

PASCUAL, ROBERTO (2)

Chernov, Mikhail (2)

Xiu, Dacheng (2)

Deku, Solomon (2)

Pasquariello, Paolo (2)

Frijns, Bart (2)

Bjønnes, Geir (2)

Lopez-Lira, Alejandro (2)

Wong, Wing-Keung (2)

Pastor, Lubos (2)

Adrian, Tobias (2)

Horenstein, Alex (2)

Stefanova, Denitsa (2)

Deev, Oleg (2)

Taylor, Nick (2)

Menkveld, Albert (2)

Füllbrunn, Sascha (2)

Schuerhoff, Norman (2)

Rinne, Kalle (2)

Palan, Stefan (2)

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

Is cited by:

Zhang, Yaojie (83)

Lyócsa, Štefan (64)

Lucas, Andre (59)

GUPTA, RANGAN (57)

Clements, Michael (47)

Wang, Yudong (45)

Gallo, Giampiero (44)

Clements, Adam (40)

Koopman, Siem Jan (36)

Bauwens, Luc (33)

Okhrin, Ostap (33)

Cites to:

Bollerslev, Tim (120)

Diebold, Francis (82)

Andersen, Torben (67)

Shephard, Neil (62)

Hansen, Peter (57)

Engle, Robert (52)

Lunde, Asger (44)

West, Kenneth (32)

Newey, Whitney (31)

Meddahi, Nour (23)

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 Statistics11
Journal of Financial Econometrics4
The Review of Financial Studies3
Journal of Financial Economics3
Journal of Finance3
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers7
Working Papers / Duke University, Department of Economics5
Papers / arXiv.org4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
Economics Series Working Papers / University of Oxford, Department of Economics4
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Andrew Patton (2025 and 2024)

YearTitle of citing document
2024Is 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.

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

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2024Price 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.

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

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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

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

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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

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

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2024The 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.

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2024Co-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.

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

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2024Localized 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.

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2024Large 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.

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

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2024Forecasting 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.

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

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

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

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2024Principal 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.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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

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

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

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024HARd 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.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024A GCN-LSTM Approach for ES-mini and VX Futures Forecasting. (2024). Howison, Sam ; Michael, Nikolas ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2408.05659.

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2024Machine 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.

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2024Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

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2024Loss-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.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2025Robust Elicitable Functionals. (2025). Pesenti, Silvana M ; Miao, Kathleen E. In: Papers. RePEc:arx:papers:2409.04412.

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2024Bellwether 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.

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2024COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning. (2024). Wang, Zian ; Lu, Xinyi. In: Papers. RePEc:arx:papers:2409.08356.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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

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

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

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

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

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

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

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

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

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

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

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

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

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2025Using 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.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2024Heterogeneous Expectations among Professional Forecasters. (2024). Lahiri, Kajal ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0754.

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2025Using 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.

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2024Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965.

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2025Lumpy Forecasts. (2025). Turen, Javier ; Baley, Isaac. In: Working Papers. RePEc:bge:wpaper:1476.

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2024Higher‐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.

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2024The 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.

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

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2024A 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.

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2024Smooth 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.

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2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

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

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

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

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024Fitting 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.

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2024Inflation (de-)anchoring in the euro area. (2024). De Backer, Bruno ; Burban, Valentin ; Vladu, Andreea Liliana. In: Working Paper Series. RePEc:ecb:ecbwps:20242964.

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2024Estimating 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.

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2024Sustainable 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.

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

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

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

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

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

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2024Preschool 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.

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2024Improving 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.

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

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

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). 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.

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2024Systemic 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.

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

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2024Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?. (2024). 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.

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2024Evaluation 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.

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

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2024Copula-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.

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

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

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

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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]		paper31
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
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2016Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.(2016) In: Journal of Applied Econometrics.
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2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper197
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 197		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper60
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2014Copulas in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]		article56
2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers.
[Full Text][Citation analysis]		paper148
2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 148		article
2019Testing for Unobserved Heterogeneity via k-means Clustering In: Papers.
[Full Text][Citation analysis]		paper0
2023Testing 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
2024Testing 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.
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This paper has nother version. Agregated cites: 1		paper
2023Generalized Autoregressive Score Trees and Forests In: Papers.
[Full Text][Citation analysis]		paper2
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article106
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article43
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 nother version. Agregated cites: 43		article
2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
[Citation analysis]		article100
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
[Full Text][Citation analysis]		article70
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
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2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]		article25
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
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2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
[Full Text][Citation analysis]		article25
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]		paper53
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]
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2001Estimation of Copula Models for Time Series of Possibly Different Length In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper14
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]		paper78
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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2005Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper1
2005Testable implications of forecast optimality.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
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2014The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
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2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
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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 nother 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]		paper84
2011Forecast 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
2012Forecast 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
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper13
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
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2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper54
2015Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
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2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers.
[Full Text][Citation analysis]		paper119
2018Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads.(2018) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 119		article
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter102
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]		article44
2003Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics.
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.() In: .
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2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]		article774
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 774		paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]		article308
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 nother version. Agregated cites: 308		paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 29		paper
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article80
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
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]		article102
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article246
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article222
2009Does beta move with news? Systematic risk and firm-specific information flows In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
.() In: .
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This paper has nother version. Agregated cites: 1		paper
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]		paper42
2004Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper62
2009Are 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
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]		paper295
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 295		article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper93
2017Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics.
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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.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
[Full Text][Citation analysis]		article994
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper14
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article174
2006Estimation of multivariate models for time series of possibly different lengths.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 174		article
2017Introduction to the 2016 Hal White Memorial Lecture In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2018Editorial In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2019Farewell Editorial In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: The Review of Financial Studies.
[Full Text][Citation analysis]		article123
2022Risk Price Variation: The Missing Half of Empirical Asset Pricing In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
2008Copula-Based Models for Financial Time Series In: Economics Series Working Papers.
[Citation analysis]		paper24
2008Copula-Based Models for Financial Time Series.(2008) In: OFRC Working Papers Series.
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This paper has nother version. Agregated cites: 24		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.
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This paper has nother 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]		paper2
2022Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.(2022) In: Journal of Business & Economic Statistics.
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2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
[Full Text][Citation analysis]		article66
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article32
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]		article24
2023Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2001What good is a volatility model? In: Quantitative Finance.
[Full Text][Citation analysis]		article242
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article383
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article19
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
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2022A consistent specification test for dynamic quantile models In: Quantitative Economics.
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