33
H index
49
i10 index
5566
Citations
Duke University (90% share) | 33 H index 49 i10 index 5566 Citations RESEARCH PRODUCTION: 58 Articles 47 Papers 1 Chapters RESEARCH ACTIVITY: 23 years (2000 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppa34 |
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 |
Journal of Financial Economics | 3 |
Journal of Finance | 3 |
The 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 | |
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 | |
2024 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. 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 | |
2023 | Generative Learning of Heterogeneous Tail Dependence. (2020). Yan, Xing ; Sun, Xiangqian ; Wu, QI. In: Papers. RePEc:arx:papers:2011.13132. 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 | |
2024 | Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793. Full description at Econpapers || Download paper | |
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 | |
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 | |
2024 | 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 | |
2023 | E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper | |
2024 | 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 | |
2024 | 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 | |
2023 | 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 | |
2023 | 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 | |
2024 | 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 | |
2024 | 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 | |
2024 | 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 | |
2024 | Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062. Full description at Econpapers || Download paper | |
2023 | Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435. Full description at Econpapers || Download paper | |
2023 | The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Dai, Yun-Shi ; Zhou, Wei-Xing ; Duong, Kiet Tuan. In: Papers. RePEc:arx:papers:2310.16850. Full description at Econpapers || Download paper | |
2023 | Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658. Full description at Econpapers || Download paper | |
2024 | Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2023). Rosenbaum, Mathieu ; Tang, Siu Hin ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727. Full description at Econpapers || Download paper | |
2024 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper | |
2023 | Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper | |
2023 | Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers || Download paper | |
2024 | Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. 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). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. 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 | |
2023 | The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach. (2023). Romero, José ; Melo-Velandia, Luis ; Ramirez-Gonzalez, Mahicol Stiben. 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 | |
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 | |
2023 | Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices. (2023). Polbin, Andrey ; Kulikov, Alexander ; Bedin, Andrey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:82:y:2023:i:3:p:87-109. 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 | |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. 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 | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . 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 | |
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 | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper | |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. 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 ; Nouira, Ridha ; Zayati, Montassar ; ben Salem, Leila. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10989. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308. Full description at Econpapers || Download paper | |
2023 | The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018. Full description at Econpapers || Download paper | |
2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper | |
2023 | Twitter sentiment and stock return volatility of US travel and leisure firms. (2023). Ferrer, Roman ; Bouri, Elie ; Hussain, Syed Jawad. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00414. Full description at Econpapers || Download paper | |
2023 | Information acquisition ahead of monetary policy announcements. (2023). Hubert, Paul ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20232770. Full description at Econpapers || Download paper | |
2023 | Public money as a store of value, heterogeneous beliefs, and banks: implications of CBDC. (2023). Soons, Oscar ; Muoz, Manuel A. In: Working Paper Series. RePEc:ecb:ecbwps:20232801. Full description at Econpapers || Download paper | |
2023 | Dynamic vulnerability assessment of maize under low temperature and drought concurrent stress in Songliao Plain. (2023). Zhao, Chunli ; Zhang, Jiquan ; Tong, Zhijun ; Liu, Xingping ; Guo, Ying ; Na, Mula. In: Agricultural Water Management. RePEc:eee:agiwat:v:286:y:2023:i:c:s0378377423002652. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386. Full description at Econpapers || Download paper | |
2023 | Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689. Full description at Econpapers || Download paper | |
2023 | Assessing the World Bank’s growth forecasts. (2023). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:64-84. Full description at Econpapers || Download paper | |
2023 | Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443. Full description at Econpapers || Download paper | |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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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 | 76 |
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: 76 | 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: 76 | article | |
2013 | Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
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: 11 | article | |
2013 | Dynamic Copula Models and High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 53 |
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: 53 | article | |
2013 | Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers. [Full Text][Citation analysis] | paper | 111 |
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: 111 | article | |
2013 | Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 95 |
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 nother version. Agregated cites: 40 | paper | |
2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 86 |
2011 | Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 721 |
2006 | Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 721 | paper | |
2011 | Data-based ranking of realised volatility estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
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 | 274 |
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: 274 | 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 nother version. Agregated cites: 21 | paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2022 | From zero to hero: Realized partial (co)variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2004 | Impacts of trades in an error-correction model of quote prices In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 71 |
2009 | Optimal combinations of realised volatility estimators In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 78 |
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 | 11 |
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 | 99 |
2012 | A review of copula models for economic time series In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 229 |
2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 204 |
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 | 61 |
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: 61 | 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 | 279 |
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: 279 | article | |
2015 | Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 84 |
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: 84 | 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 | 14 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2002 | Common factors in conditional distributions In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 2 |
2006 | MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review. [Full Text][Citation analysis] | article | 945 |
2006 | Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 170 |
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: 170 | 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 | 116 |
2022 | Risk Price Variation: The Missing Half of Empirical Asset Pricing In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 2 |
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 | 64 |
2013 | Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 29 |
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 | 17 |
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 | 230 |
2015 | Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 335 |
2020 | Realized Semicovariances In: Econometrica. [Full Text][Citation analysis] | article | 15 |
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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