← All authors Andrew J. Patton Duke University (from arXiv:2305.18991, 2023) · ORCID · OpenAlex
58 papers in scope · 58 published · 1 on the econ.EM arXiv · 9,857 citations · h-index 37 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Junye Li S. De Bie Trong Nghia-Nguyen Minh-Ngoc Tran Robert Kohn Tobias Fissler Nikolaus Hautsch Rafael Reisenhofer Xandro Bayer Timo Dimitriadis Tra Ngoc Vy Nguyen Yannick Hoga Johanna F. Ziegel Jingyu He Yasin Şimşek David Gunawan Jasper Rennspies Jeannine Polivka Sina Streicher Chen Liu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 58)
Bespoke realized volatility: Tailored measures of risk for volatility prediction
published 2025 · Journal of Econometrics · 5 citations · first circulated 2022
with Haozhe Zhang
Granular betas and risk premium functions
published 2025 · Journal of Econometrics · 5 citations · first circulated 2022
with Tim Bollerslev, Rogier Quaedvlieg
Dynamic factor copula models with estimated cluster assignments
published 2023 · Journal of Econometrics · 28 citations · first circulated 2021
with Dong Hwan Oh
published 2023 · Journal of Business and Economic Statistics · 5 citations
published 2022 · Journal of Business and Economic Statistics · 8 citations · first circulated 2019
with Brian Weller
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
published 2022 · Journal of Business and Economic Statistics · 10 citations
Risk Price Variation: The Missing Half of Empirical Asset Pricing
published 2022 · Review of Financial Studies · 30 citations
with Brian Weller
A consistent specification test for dynamic quantile models
published 2022 · Quantitative Economics · 7 citations
Equity clusters through the lens of realized semicorrelations
published 2021 · Economics Letters · 4 citations
with Tim Bollerslev, Haozhe Zhang
From zero to hero: Realized partial (co)variances
published 2021 · Journal of Econometrics · 22 citations
Editorial for special issue in honor of Francis X. Diebold
published 2021 · Journal of Econometrics
Better the Devil You Know: Improved Forecasts from Imperfect Models
published 2021 · Finance and Economics Discussion Series · 7 citations
with Dong Hwan Oh
Realized semibetas: Disentangling “good” and “bad” downside risks
published 2021 · Journal of Financial Economics · 75 citations
with Tim Bollerslev, Rogier Quaedvlieg
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
published 2021 · Journal of Business and Economic Statistics · 3 citations
What you see is not what you get: The costs of trading market anomalies
published 2020 · Journal of Financial Economics · 83 citations · first circulated 2017
with Brian Weller
Multivariate leverage effects and realized semicovariance GARCH models
published 2020 · Journal of Econometrics · 37 citations · first circulated 2018
with Tim Bollerslev, Rogier Quaedvlieg
Realized Semicovariances
published 2020 · Econometrica · 73 citations
Comparing Possibly Misspecified Forecasts
published 2019 · Journal of Business and Economic Statistics · 86 citations
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
published 2019 · Journal of Econometrics · 272 citations · first circulated 2017
published 2019 · The Review of Economics and Statistics · 3 citations
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
published 2018 · Journal of Econometrics
with Tim Bollerslev, Rogier Quaedvlieg
Asymptotic inference about predictive accuracy using high frequency data
published 2018 · Journal of Econometrics · 27 citations · first circulated 2013
with Jia Li
High-dimensional copula-based distributions with mixed frequency data
published 2016 · Journal of Econometrics · 87 citations · first circulated 2015
with Dong Hwan Oh
The Mathematics and Statistics of Quantitative Risk Management
published 2016 · Oberwolfach Reports · 3 citations · first circulated 2009
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
published 2016 · Journal of Business and Economic Statistics · 275 citations · first circulated 2013
with Dong Hwan Oh
Exploiting the errors: A simple approach for improved volatility forecasting
published 2015 · Journal of Econometrics · 459 citations
with Tim Bollerslev, Rogier Quaedvlieg
The Impact of Hedge Funds on Asset Markets
published 2015 · The Review of Asset Pricing Studies · 49 citations · first circulated 2013
with Mathias S. Kruttli, Tarun Ramadorai, Matthias Kruttli
Modelling Dependence in High Dimensions with Factor Copulas
published 2015 · Journal of Business and Economic Statistics · 248 citations
with Dong Hwan Oh
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
published 2015 · Journal of Applied Econometrics · 66 citations · first circulated 2013
with Tim Bollerslev, Wenjing Wang, Wang Wenjing
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
published 2015 · Journal of Econometrics · 586 citations · first circulated 2012
with Lily Y. Liu, Kevin Sheppard, Lily Liu
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
published 2015 · The Review of Economics and Statistics · 792 citations · first circulated 2013
with Kevin Sheppard
Change You Can Believe In? Hedge Fund Data Revisions: Erratum
published 2015 · The Journal of Finance · 83 citations · first circulated 2012
with Tarun Ramadorai, Michael Streatfield
Comment
published 2015 · Journal of Business and Economic Statistics · 6 citations
Dynamic copula models and high frequency data
published 2014 · Journal of Empirical Finance
with Irving Arturo De Lira Salvatierra
Copulas in Econometrics
published 2014 · Annual Review of Economics · 92 citations
Simulated Method of Moments Estimation for Copula-Based Multivariate Models
published 2013 · Journal of the American Statistical Association · 84 citations
with Dong Hwan Oh
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
published 2012 · The Journal of Finance · 233 citations · first circulated 2011
with Tarun Ramadorai
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
published 2012 · Review of Financial Studies · 251 citations · first circulated 2011
with Michela Verardo
A review of copula models for economic time series
published 2012 · Journal of Multivariate Analysis · 584 citations
Forecast Rationality Tests Based on Multi-Horizon Bounds
published 2012 · Journal of Business and Economic Statistics · 140 citations · first circulated 2011
Rejoinder
published 2012 · Journal of Business and Economic Statistics · 2 citations
Data-based ranking of realised volatility estimators
published 2010 · Journal of Econometrics · 98 citations
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
published 2010 · Journal of Business and Economic Statistics · 65 citations
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
published 2010 · Journal of Monetary Economics · 356 citations
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts☆
published 2010 · Journal of Financial Economics · 306 citations
Optimal combinations of realised volatility estimators
published 2009 · International Journal of Forecasting · 150 citations
with Kevin Sheppard
Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
published 2009 · Econometric Reviews · 373 citations
with Dimitris N. Politis, Halbert White
Are “Market Neutral” Hedge Funds Really Market Neutral?
published 2008 · Review of Financial Studies · 67 citations · first circulated 2004
Testing Forecast Optimality Under Unknown Loss
published 2007 · Journal of the American Statistical Association · 175 citations
Properties of optimal forecasts under asymmetric loss and nonlinearity
published 2006 · Journal of Econometrics · 192 citations · first circulated 2004
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
published 2006 · International Economic Review · 2130 citations · first circulated 2004
Estimation of multivariate models for time series of possibly different lengths
published 2006 · Journal of Applied Econometrics · 429 citations · first circulated 2001
Volatility Forecast Comparison Using Imperfect Volatility Proxies
published 2006 · Journal of Econometrics · 201 citations · first circulated 2005
Common factors in conditional distributions for bivariate time series
published 2005 · Journal of Econometrics · 60 citations · first circulated 2003
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
published 2004 · Journal of Financial Econometrics · 191 citations
Properties of Optimal Forecasts
published 2004 · Econometric Society 2004 North American Winter Meetings · 7 citations · first circulated 2003
no link
Impacts of trades in an error-correction model of quote prices
published 2003 · Journal of Financial Markets · 39 citations · first circulated 2000
with Robert F. Engle
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
published 2000 · Financial Review · 188 citations
with Colm Kearney
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).