Andrew Patton : Citation Profile

Are you Andrew Patton?

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

32

H index

47

i10 index

5226

Citations

RESEARCH PRODUCTION:

58

Articles

47

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 227
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 636.    Total self citations: 51 (0.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2023-11-04    RAS profile: 2023-09-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Quaedvlieg, Rogier (5)

Bollerslev, Tim (3)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Abudy, Menachem (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Theissen, Erik (2)

Bohorquez Correa, Santiago (2)

Moinas, Sophie (2)

Harris, Jeffrey (2)

Smales, Lee (2)

Horenstein, Alex (2)

Ødegaard, Bernt (2)

Regis, Luca (2)

Adrian, Tobias (2)

Walther, Thomas (2)

Dreber, Anna (2)

Patel, Vinay (2)

Bouri, Elie (2)

Menkveld, Albert (2)

Hjalmarsson, Erik (2)

Schuerhoff, Norman (2)

Ait-Sahalia, Yacine (2)

Scaillet, Olivier (2)

Schenk-Hoppé, Klaus (2)

Gehrig, Thomas (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Alexeev, Vitali (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Pasquariello, Paolo (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Stefanova, Denitsa (2)

Frömmel, Michael (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Wilhelmsson, Anders (2)

Roy, Saurabh (2)

Chow, Nikolai Sheung-Chi (2)

Schwarz, Marco (2)

Kearney, Fearghal (2)

Lof, Matthijs (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Verousis, Thanos (2)

Liew, Chee (2)

Sojli, Elvira (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Pastor, Lubos (2)

van Kervel, Vincent (2)

Ferrara, Gerardo (2)

Sarno, Lucio (2)

Deev, Oleg (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Bos, Charles (2)

Foucault, Thierry (2)

Caporin, Massimiliano (2)

Hurlin, Christophe (2)

Brownlees, Christian (2)

PASCUAL, ROBERTO (2)

Colliard, Jean-Edouard (2)

FERROUHI, EL MEHDI (2)

Hautsch, Nikolaus (2)

He, Xuezhong (Tony) (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

Tonks, Ian (2)

Kassner, Bernhard (2)

Chernov, Mikhail (2)

Mihet, Roxana (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Xia, Shuo (2)

Rakowski, David (2)

Frijns, Bart (2)

Dumitrescu, Ariadna (2)

LINTON, OLIVER (2)

Palan, Stefan (2)

Pelizzon, Loriana (2)

Taylor, Nick (2)

Rinne, Kalle (2)

Park, Andreas (2)

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

Is cited by:

Lyócsa, Štefan (59)

Lucas, Andre (53)

Zhang, Yaojie (51)

GUPTA, RANGAN (50)

Clements, Michael (43)

Gallo, Giampiero (38)

Clements, Adam (37)

Koopman, Siem Jan (35)

Molnár, Peter (31)

Reboredo, Juan (31)

Fantazzini, Dean (30)

Cites to:

Bollerslev, Tim (120)

Diebold, Francis (82)

Andersen, Torben (66)

Shephard, Neil (62)

Hansen, Peter (57)

Engle, Robert (52)

Lunde, Asger (44)

West, Kenneth (32)

Newey, Whitney (31)

Chen, Xiaohong (23)

Meddahi, Nour (23)

Main data

Where Andrew Patton has published?

Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics11
The Journal of Financial Econometrics4
Journal of Financial Economics3
Journal of Finance3
Review of Financial Studies3
Journal of Applied Econometrics2

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

Recent works citing Andrew Patton (2023 and 2022)

YearTitle of citing document
2023.

Full description at Econpapers || Download paper

2022Autocalibration by balance correction in nonlife insurance pricing. (2022). Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022041.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Scoring 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Using 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Realised 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

2023Nonparametric 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

Full description at Econpapers || Download paper

2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Efficient 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

2022Measuring 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

2022The 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

2023Isotonic 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

2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

Full description at Econpapers || Download paper

2023Realized 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

2023Co-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

2023Elicitability of Return Risk Measures. (2023). Laeven, Roger ; Bellini, Fabio ; Aygun, Mucahit. In: Papers. RePEc:arx:papers:2302.13070.

Full description at Econpapers || Download paper

2023Tail 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

2023Optimal 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

2023Efficient 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

2023Hierarchical 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

2023Copula 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

2023Volatility 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

2023Modeling 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

2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

Full description at Econpapers || Download paper

2023A 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

2023Machine 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

2023Comparing 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

2023Multivariate 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

2023Fast 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

2023Graph 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

2023Efficient 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

2023Characterizing 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

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2023Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062.

Full description at Econpapers || Download paper

2023What 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

2023Narrative-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

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

Full description at Econpapers || Download paper

2023The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach. (2023). Romero, José ; Ramirez-Gonzalez, Mahicol Stiben ; Melo-Velandia, Luis Fernando. In: Borradores de Economia. RePEc:bdr:borrec:1231.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2022Information Acquisition ahead of Monetary Policy Announcements. (2022). Ehrmann, Michael ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:897.

Full description at Econpapers || Download paper

2023The 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

2022Agricultural diversification, productivity, and food security across time and space. (2022). Capitanio, Fabian ; de Luca, Giovanni ; di Falco, Salvatore ; Rivieccio, Giorgia ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:53:y:2022:i:s1:p:41-58.

Full description at Econpapers || Download paper

2023Boosting 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

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

Full description at Econpapers || Download paper

2023The 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Unconventional policies effects on stock market volatility: The MAP approach. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Testing for Asymmetric Comovements. (2022). Taamouti, Abderrahim ; Song, Xiaojun ; Chuang, Ochia. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1153-1180.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Testing 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

2023Estimating 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Realized 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

2023Augmenting 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

2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

Full description at Econpapers || Download paper

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

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]		paper29
2013Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2016Daily House Price Indices: Construction, Modeling, and Longer?run Predictions.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper147
2016Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 147		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper43
2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		article
2014Copulas in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]		article48
2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) In: Papers.
[Full Text][Citation analysis]		paper100
2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk).(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 100		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 another version. Agregated cites: 0		article
2023Testing Forecast Rationality for Measures of Central Tendency In: Papers.
[Full Text][Citation analysis]		paper1
2020Testing forecast rationality for measures of central tendency.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2023Generalized Autoregressive Score Trees and Forests In: Papers.
[Full Text][Citation analysis]		paper1
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article104
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article37
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		article
2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. In: The Financial Review.
[Citation analysis]		article95
2013On the High-Frequency Dynamics of Hedge Fund Risk Exposures In: Journal of Finance.
[Full Text][Citation analysis]		article64
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		paper
2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]		article21
2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum In: Journal of Finance.
[Full Text][Citation analysis]		article21
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]		paper51
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2001Estimation of Copula Models for Time Series of Possibly Different Length In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		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]		paper73
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		article
2005Testable Implications of Forecast Optimality In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper1
2005Testable implications of forecast optimality.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014The Impact of Hedge Funds on Asset Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2010On the Dynamics of Hedge Fund Risk Exposures In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper73
2011Forecast Rationality Tests Based on Multi-Horizon Bounds.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		article
2012Forecast Rationality Tests Based on Multi-Horizon Bounds.(2012) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper10
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper52
2015Dynamic copula models and high frequency data.(2015) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads In: Working Papers.
[Full Text][Citation analysis]		paper99
2018Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads.(2018) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 99		article
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter91
2022Equity clusters through the lens of realized semicorrelations In: Economics Letters.
[Full Text][Citation analysis]		article0
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2003Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article85
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]		article675
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 675		paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]		article248
2013Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 248		paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data.(2015) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2020Multivariate leverage effects and realized semicovariance GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article72
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article10
2022Realized semibetas: Disentangling “good” and “bad” downside risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article0
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
[Full Text][Citation analysis]		article98
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article215
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article197
2009Does beta move with news? Systematic risk and firm-specific information flows In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2004Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper43
2004Are market neutral hedge funds really market neutral? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper60
2009Are Market Neutral Hedge Funds Really Market Neutral?.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		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]		paper272
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.(2004) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 272		article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper69
2017Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69		article
2022Dynamic Factor Copula Models with Estimated Cluster Assignments In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2021Better the Devil You Know: Improved Forecasts from Imperfect Models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE In: International Economic Review.
[Full Text][Citation analysis]		article908
2006Estimation of multivariate models for time series of possibly different lengths In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article166
2006Estimation of multivariate models for time series of possibly different lengths.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166		article
2017Introduction to the 2016 Hal White Memorial Lecture In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2018Editorial In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2019Farewell Editorial In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability In: Review of Financial Studies.
[Full Text][Citation analysis]		article105
2022Risk Price Variation: The Missing Half of Empirical Asset Pricing In: Review of Financial Studies.
[Full Text][Citation analysis]		article1
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.
[Full Text][Citation analysis]
This paper has another 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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2020Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper1
2022Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
[Full Text][Citation analysis]		article63
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article27
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]		article13
2023Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2001What good is a volatility model? In: Quantitative Finance.
[Full Text][Citation analysis]		article226
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article302
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article10
2016Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2022A consistent specification test for dynamic quantile models In: Quantitative Economics.
[Full Text][Citation analysis]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team