Andrew Patton : Citation Profile

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

33

H index

48

i10 index

6490

Citations

RESEARCH PRODUCTION:

58

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 270
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 598.    Total self citations: 50 (0.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa34
   Updated: 2025-12-20    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Bollerslev, Tim (5)

Quaedvlieg, Rogier (4)

Rinne, Kalle (2)

Brownlees, Christian (2)

Moinas, Sophie (2)

Walther, Thomas (2)

Roy, Saurabh (2)

Tonks, Ian (2)

Chernov, Mikhail (2)

Pastor, Lubos (2)

Scaillet, Olivier (2)

Hautsch, Nikolaus (2)

Bohorquez Correa, Santiago (2)

Voigt, Stefan (2)

Korajczyk, Robert (2)

He, Xuezhong (Tony) (2)

Verousis, Thanos (2)

Jalkh, Naji (2)

Deku, Solomon (2)

Vogel, Sebastian (2)

Lopez-Lira, Alejandro (2)

Park, Andreas (2)

Gorbenko, Arseny (2)

Wolff, Christian (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Schuerhoff, Norman (2)

CAPELLE-BLANCARD, Gunther (2)

Colliard, Jean-Edouard (2)

Vilkov, Grigory (2)

Dreber, Anna (2)

Regis, Luca (2)

Frömmel, Michael (2)

Xia, Shuo (2)

Kassner, Bernhard (2)

Smales, Lee (2)

Zhou, Chen (2)

Kearney, Fearghal (2)

Shachar, Or (2)

Horenstein, Alex (2)

LINTON, OLIVER (2)

Nielsson, Ulf (2)

Stefanova, Denitsa (2)

Talavera, Oleksandr (2)

Roy, Saurabh (2)

Pasquariello, Paolo (2)

FERROUHI, EL MEHDI (2)

Renault, Thomas (2)

Lajaunie, Quentin (2)

Xiu, Dacheng (2)

Frijns, Bart (2)

Lof, Matthijs (2)

Mihet, Roxana (2)

Caporin, Massimiliano (2)

Huang, Wenqian (2)

Heath, Davidson (2)

Foucault, Thierry (2)

Taylor, Nick (2)

Davies, Ryan (2)

Bos, Charles (2)

Degryse, Hans (2)

Wilhelmsson, Anders (2)

Liew, Chee (2)

Abudy, Menachem (2)

Dumitrescu, Ariadna (2)

Pelizzon, Loriana (2)

Prokopczuk, Marcel (2)

Ødegaard, Bernt (2)

Putnins, Talis (2)

Gehrig, Thomas (2)

Theissen, Erik (2)

Menkveld, Albert (2)

Ait-Sahalia, Yacine (2)

Adrian, Tobias (2)

Söderlind, Paul (2)

Rakowski, David (2)

Sojli, Elvira (2)

Schenk-Hoppé, Klaus (2)

van Kervel, Vincent (2)

Alexeev, Vitali (2)

Hurlin, Christophe (2)

Ranaldo, Angelo (2)

Jurkatis, Simon (2)

Ferrara, Gerardo (2)

Hjalmarsson, Erik (2)

Sarno, Lucio (2)

Johannesson, Magnus (2)

Füllbrunn, Sascha (2)

Reitz, Stefan (2)

Wong, Wing-Keung (2)

Harris, Jeffrey (2)

Deev, Oleg (2)

Gerritsen, Dirk (2)

Palan, Stefan (2)

Bjønnes, Geir (2)

Bouri, Elie (2)

Patel, Vinay (2)

Schwarz, Marco (2)

Dimpfl, Thomas (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 (91)

Lyócsa, Štefan (79)

GUPTA, RANGAN (63)

Lucas, Andre (60)

Wang, Yudong (51)

Clements, Michael (48)

Gallo, Giampiero (45)

Clements, Adam (43)

Koopman, Siem Jan (36)

Tiwari, Aviral (34)

Degiannakis, Stavros (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)

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
Journal of Financial Econometrics4
Journal of Finance3
Journal of Financial Economics3
The 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
Economics Series Working Papers / University of Oxford, Department of Economics4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
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 (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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2024Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?. (2024). Liu, Mengqiao ; Jia, Ruixin ; Zhang, Yu Yvette. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343698.

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2025Hedging Effectiveness of China’s Hog Futures: A National and Provincial Assessment Using Copula-Based Strategies. (2025). Shi, Longzhong ; Chen, Xuan ; Liang, Pan. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360694.

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2025Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches. (2025). Pede, Valerien O ; Okou, Cyrille Guei ; Jeremy, Ronald ; Amar, Amine. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360696.

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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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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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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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2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728.

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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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2025Principal 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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2025Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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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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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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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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2025Machine 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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2025Cross-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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2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

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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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2025VAR 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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2025Risk Measures for DC Pension Plan Decumulation. (2025). Li, Yuying ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2502.16364.

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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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2025Semiparametric Dynamic Copula Models for Portfolio Optimization. (2025). Ghosh, Sujit K ; Pareek, Savita. In: Papers. RePEc:arx:papers:2504.12266.

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2025Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH. (2025). Suresh, Sathvika Thorali ; Singh, Aryan ; Reilly, Paul O ; Sharif, Daim ; Haughey, Patrick ; Kumar, Adarsh Sajeev ; Anvar, Aakhil ; McCarthy, Eoghan. In: Papers. RePEc:arx:papers:2505.06950.

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2025Sequential Scoring Rule Evaluation for Forecast Method Selection. (2025). Poskitt, Donald ; Frazier, David T. In: Papers. RePEc:arx:papers:2505.09090.

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2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

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2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Forecasting Probability Distributions of Financial Returns with Deep Neural Networks. (2025). Micha, Jakub. In: Papers. RePEc:arx:papers:2508.18921.

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2025Forecasting in small open emerging economies Evidence from Thailand. (2025). Aunsri, Nattapol ; Taveeapiradeecharoen, Paponpat. In: Papers. RePEc:arx:papers:2509.14805.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2025Economic uncertainty and exchange rates linkage revisited: modelling tail dependence with high frequency data. (2025). Nefzi, Nourhaine ; Abid, Abir. In: Papers. RePEc:arx:papers:2511.05315.

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2025FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting. (2025). Zeng, Yilong ; Tang, Boyan ; Lee, Raymond ; Wu, Jianghua ; Zhou, Sherry Zhefang ; Ren, Xuanhao. In: Papers. RePEc:arx:papers:2511.10365.

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2025Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation. (2025). Akgun, Oguzhan ; Okui, Ryo. In: Papers. RePEc:arx:papers:2511.18550.

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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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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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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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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]		paper32
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]		paper218
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: 218		article
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper66
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: 66		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]		paper161
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: 161		article
2019Testing for Unobserved Heterogeneity via k-means Clustering In: Papers.
[Full Text][Citation analysis]		paper2
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: 2		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]		article108
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article52
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: 52		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]		article71
2011On the High-Frequency Dynamics of Hedge Fund Risk Exposures.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2015Change You Can Believe In? Hedge Fund Data Revisions In: Journal of Finance.
[Full Text][Citation analysis]		article26
2015Change You Can Believe In? Hedge Fund Data Revisions: Erratum.(2015) In: Journal of Finance.
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2012Change You Can Believe In? Hedge Fund Data Revisions.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
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]		paper54
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 nother 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]		paper78
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
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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]		paper11
2013The Impact of Hedge Funds on Asset Markets.(2013) In: Working Papers.
[Full Text][Citation analysis]
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2015The Impact of Hedge Funds on Asset Markets.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
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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]		paper91
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: 91		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: 91		article
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper15
2018Asymptotic inference about predictive accuracy using high frequency data.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2013Dynamic Copula Models and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper56
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]		paper126
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 nother version. Agregated cites: 126		article
2013Copula Methods for Forecasting Multivariate Time Series In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter106
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
.() In: .
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2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article92
2011Volatility forecast comparison using imperfect volatility proxies In: Journal of Econometrics.
[Full Text][Citation analysis]		article804
2006Volatility Forecast Comparison using Imperfect Volatility Proxies.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 804		paper
2011Data-based ranking of realised volatility estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2015Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes In: Journal of Econometrics.
[Full Text][Citation analysis]		article344
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: 344		paper
2016High-dimensional copula-based distributions with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
2015High-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: 31		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]		article85
2020What you see is not what you get: The costs of trading market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article19
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]		article106
2012A review of copula models for economic time series In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article250
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article233
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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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]		paper63
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: 63		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]		paper298
2004On 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: 298		article
2015Modelling Dependence in High Dimensions with Factor Copulas In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper98
2017Modeling Dependence in High Dimensions With Factor Copulas.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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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]		article1019
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]		article176
2006Estimation 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: 176		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]		article126
2022Risk Price Variation: The Missing Half of Empirical Asset Pricing In: The Review of Financial Studies.
[Full Text][Citation analysis]		article5
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 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.
[Full Text][Citation analysis]
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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This paper has nother version. Agregated cites: 2		article
2009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White In: Econometric Reviews.
[Full Text][Citation analysis]		article298
2013Simulated Method of Moments Estimation for Copula-Based Multivariate Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article33
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]		article29
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]		article249
2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article411
2020Realized Semicovariances In: Econometrica.
[Full Text][Citation analysis]		article22
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]		article4

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