Andrew J. Patton

Duke University - Department of Economics

213 Social Sciences Building

Box 90097

Durham, NC 27708-0204

United States

http://econ.duke.edu/~ap172/

SCHOLARLY PAPERS

41

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16,266

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515

CROSSREF CITATIONS

635

Scholarly Papers (41)

1.

Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

UCSD Discussion Paper No. 01-09
Number of pages: 52 Posted: 24 Jul 2001
Andrew J. Patton
Duke University - Department of Economics
Downloads 1,615 (12,838)
Citation 67

Abstract:

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time series, copulas, dependence, exchange rates

2.
Downloads 1,390 ( 16,286)
Citation 19

Change You Can Believe In? Hedge Fund Data Revisions

Journal of Finance, Forthcoming
Number of pages: 87 Posted: 30 Sep 2011 Last Revised: 21 Mar 2018
Andrew J. Patton, Tarun Ramadorai and Michael Streatfield
Duke University - Department of Economics, Imperial College London and University of Oxford - Said Business School
Downloads 1,387 (16,024)
Citation 4

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hedge funds, disclosure, asymmetric information, finance regulation, performance

Change You Can Believe in? Hedge Fund Data Revisions

CEPR Discussion Paper No. DP8898
Number of pages: 75 Posted: 04 Apr 2012
Andrew J. Patton, Tarun Ramadorai and Michael Streatfield
Duke University - Department of Economics, Imperial College London and University of Oxford - Said Business School
Downloads 3 (767,255)
Citation 10
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asymmetric information, disclosure, finance regulation, hedge funds, performance

3.

Are 'Market Neutral' Hedge Funds Really Market Neutral?

Number of pages: 33 Posted: 23 Jun 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 1,390 (16,286)
Citation 12

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hedge funds, market neutrality, dependence, correlation, risk, portfolio decisions, copulas

4.

What You See Is Not What You Get: The Costs of Trading Market Anomalies

Journal of Financial Economics (JFE), Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 255
Number of pages: 79 Posted: 12 Sep 2017 Last Revised: 04 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 992 (26,866)
Citation 10

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Trading Costs, Performance Evaluation, Mutual Funds, Market Efficiency

5.

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

London Economics Financial Markets Group Working Paper No. 483
Number of pages: 37 Posted: 06 Mar 2004
Xiaohong Chen, Yanqin Fan and Andrew J. Patton
Yale University - Cowles Foundation, Vanderbilt University - College of Arts and Science - Department of Economics and Duke University - Department of Economics
Downloads 953 (28,512)
Citation 45

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Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH

6.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Andrew J. Patton and Kevin Sheppard
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 888 (31,526)
Citation 73

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realized variance, semivariance, volatility forecasting, jumps, leverage effect

7.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Lily Y. Liu, Andrew J. Patton and Kevin Sheppard
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 813 (35,553)
Citation 43

Abstract:

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realized variance, volatility forecasting, high frequency data

8.
Downloads 732 ( 41,070)
Citation 5

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
Downloads 732 (40,470)
Citation 3

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hedge funds, liquidity, return predictability, equities, bonds, currencies.

The Impact of Hedge Funds on Asset Markets

CEPR Discussion Paper No. DP10151
Number of pages: 66 Posted: 25 Sep 2014
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
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bonds, currencies, equities, hedge funds, liquidity, return predictability

9.

Does Beta Move with News? Firm-Specific Information Flows and Learning About Profitability

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 23 Mar 2009 Last Revised: 11 Mar 2012
Andrew J. Patton and Michela Verardo
Duke University - Department of Economics and London School of Economics & Political Science (LSE)
Downloads 694 (44,124)
Citation 48

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Beta, comovement, earnings, announcements, information spillovers, realized covariance, realized volatility, high-frequency data.

10.

Estimation of Copula Models for Time Series of Possibly Different Lengths

U of California, Econ. Disc. Paper No. 2001-17
Number of pages: 50 Posted: 11 Dec 2001
Andrew J. Patton
Duke University - Department of Economics
Downloads 660 (47,220)
Citation 32

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copulas, maximum likelihood, two-stage estimation, exchange rates, missing data

Impacts of Trades in an Error-Correction Model of Quote Prices

UCSD Economics Working Paper No. 2000-26; Twelfth Annual Utah Winter Finance Conference
Number of pages: 40 Posted: 17 Apr 2001
Andrew J. Patton and Robert F. Engle
Duke University - Department of Economics and New York University (NYU) - Department of Finance
Downloads 566 (56,832)
Citation 18

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market microstructure, error-correction, vector autoregression, price dynamics

Impacts of Trades in an Error-Correction Model of Quote Prices

NYU Working Paper No. FIN-00-033
Number of pages: 52 Posted: 04 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 71 (388,803)
Citation 3

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market microstructure, error-correction, vector autoregression, price dynamics

12.
Downloads 619 ( 51,304)

What Good is a Volatility Model?

NYU Working Paper No. S-DRP-01-03
Number of pages: 29 Posted: 07 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 619 (50,622)
Citation 7

Abstract:

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volatility modelling, ARCH, GARCH, volatility forecasting

What Good is a Volatility Model?

NYU Working Paper No. FIN-01-028
Posted: 03 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University (NYU) - Department of Finance and Duke University - Department of Economics

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volatility modelling, ARCH, GARCH, volatility forecasting

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Number of pages: 62 Posted: 29 Jun 2011 Last Revised: 15 Jan 2014
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 553 (58,552)
Citation 12

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beta, time-varying risk, performance evaluation, window-dressing, hedge funds, mutual funds

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

CEPR Discussion Paper No. DP8479
Number of pages: 49 Posted: 20 Jul 2011
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 2 (778,733)
Citation 25
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beta, hedge funds, mutual funds, performance evaluation, time-varying risk, window-dressing

14.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Number of pages: 43 Posted: 24 May 2013 Last Revised: 16 Nov 2013
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 416 (83,902)
Citation 50

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correlation, tail risk, …financial crises, DCC

15.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Number of pages: 38 Posted: 06 Apr 2016
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 387 (91,175)
Citation 16

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Common risks, realized covariances, forecasting, asset allocation, portfolio construction

16.

Risk Price Variation: The Missing Half of Empirical Asset Pricing

Economic Research Initiatives at Duke (ERID) Working Paper No. 274
Number of pages: 62 Posted: 21 Jun 2018 Last Revised: 27 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 345 (103,954)

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Risk Premia, Market Segmentation, Clustering, Expectation Maximization

17.

Volatility Forecast Comparison Using Imperfect Volatility Proxies

University of Technology Quantitative Finance Research Centre Research Paper No. 175
Number of pages: 45 Posted: 02 Apr 2010
Andrew J. Patton
Duke University - Department of Economics
Downloads 331 (108,958)
Citation 123

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Forecast Evaluation, Forecast Comparison, Loss Functions, Realised Variance, Range

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Number of pages: 41 Posted: 06 Mar 2004
Andrew J. Patton
Duke University - Department of Economics
Downloads 331 (108,264)
Citation 18

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Stock returns, forecasting, density forecasting, normality, asymmetry, copulas

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 130-168, 2004
Posted: 29 Feb 2008
Andrew J. Patton
Duke University - Department of Economics

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asymmetry, copulas, density forecasting, forecasting, normality, stock returns

19.

Realized Semibetas: Signs of Things to Come

Economic Research Initiatives at Duke (ERID) Working Paper Forthcoming
Number of pages: 70 Posted: 16 Mar 2020
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 319 (113,378)
Citation 2

Abstract:

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Cross-sectional return variation; downside risk; semicovariances; semibetas

20.
Downloads 305 (119,044)
Citation 7

On the Dynamics of Hedge Fund Risk Exposures

Number of pages: 50 Posted: 22 Mar 2010 Last Revised: 29 Jun 2011
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 295 (122,558)
Citation 11

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hedge funds, beta, time-varying risk, performance evaluation

On the Dynamics of Hedge Fund Risk Exposures

CEPR Discussion Paper No. DP7780
Number of pages: 52 Posted: 19 May 2010
Andrew J. Patton and Tarun Ramadorai
Duke University - Department of Economics and Imperial College London
Downloads 10 (708,638)
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beta, performance evaluation, structural breaks, time-varying risk

21.

Dynamic Copula Models and High Frequency Data

Economic Research Initiatives at Duke (ERID) Working Paper No. 165
Number of pages: 37 Posted: 26 Jun 2013 Last Revised: 16 Nov 2013
Irving De Lira Salvatierra and Andrew J. Patton
Duke University and Duke University - Department of Economics
Downloads 285 (127,749)
Citation 11

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Realized correlation, realized volatility, dependence, forecasting, tail risk

22.

Realized Semicovariances

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 50 Posted: 08 Sep 2017 Last Revised: 31 Jan 2020
Tim Bollerslev, Jia Li, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 229 (159,130)
Citation 8

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High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting

23.

Common Factors in Conditional Distributions for Bivariate Time Series

UCSD Economics Working Paper No. 2002-19
Number of pages: 21 Posted: 06 Mar 2004
Clive W. J. Granger, Timo Teräsvirta and Andrew J. Patton
University of California, San Diego (UCSD) - Department of Economics, Stockholm School of Economics - Department of Economics and Duke University - Department of Economics
Downloads 225 (161,876)
Citation 8

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Common factors, copulas, business cycles

24.

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions

Economic Research Initiatives at Duke (ERID) Working Paper No. 166
Number of pages: 49 Posted: 15 Jun 2013 Last Revised: 16 Nov 2013
Tim Bollerslev, Andrew J. Patton and Wang Wenjing
Duke University - Finance, Duke University - Department of Economics and Duke University
Downloads 198 (182,446)
Citation 5

Abstract:

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real estate, price indices, repeat sales index, high frequency data

25.

Asymptotic Inference about Predictive Accuracy Using High Frequency Data

Economic Research Initiatives at Duke (ERID) Working Paper No. 163
Number of pages: 70 Posted: 07 Jul 2013 Last Revised: 16 Nov 2013
Jia Li and Andrew J. Patton
Duke University and Duke University - Department of Economics
Downloads 182 (196,824)
Citation 2

Abstract:

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Forecast evaluation, realized variance, volatility, jumps, semimartingale

26.
Downloads 145 (238,237)
Citation 1

Testable Implications of Forecast Optimality

LSE STICERD Discussion Paper No. EM/05/485
Number of pages: 36 Posted: 15 Apr 2005
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 113 (289,240)
Citation 4

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forecast evaluation, loss function, rationality tests

Testable Implications of Forecast Optimality

LSE STICERD Research Paper No. EM485
Number of pages: 39 Posted: 21 Jul 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 32 (550,676)

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27.

Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)

Economic Research Initiatives at Duke (ERID) Working Paper No. 250
Number of pages: 50 Posted: 18 Jul 2017
Andrew J. Patton, Johanna Ziegel and Rui Chen
Duke University - Department of Economics, University of Bern and Duke University
Downloads 125 (267,475)
Citation 32

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Risk Management, Tails, Crashes, Forecasting, Generalized Autoregressive Score

28.

Modelling Dependence in High Dimensions with Factor Copulas

FEDS Working Paper No. 2015-0511, http://dx.doi.org/10.17016/FEDS.2015.0511
Number of pages: 42 Posted: 26 Jul 2015
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 120 (275,724)
Citation 14

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copulas, correlation, dependence, systemic risk, tail dependence

29.

Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Number of pages: 49 Posted: 17 Apr 2018
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 117 (280,767)
Citation 6

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High-Frequency Data, Realized Volatility, Realized Correlation, Semivariance, Asymmetric Dependence

30.

The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast

CREATES Research Paper No. 2008-54
Number of pages: 36 Posted: 21 Sep 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 69 (390,408)
Citation 4

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Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data

31.

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

FEDS Working Paper No. 2015-050, http://dx.doi.org/10.17016/FEDS.2015.050
Number of pages: 54 Posted: 26 Jul 2015
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 46 (471,891)
Citation 4

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composite likelihood, forecasting, high frequency data, nonlinear dependence

32.

Testing Forecast Rationality for Measures of Central Tendency

Number of pages: 65 Posted: 17 Oct 2019 Last Revised: 30 Sep 2020
Timo Dimitriadis, Andrew J. Patton and Patrick Schmidt
University of Hohenheim, Duke University - Department of Economics and Heidelberg Institute for Theoretical Studies (HITS) gGmbH
Downloads 41 (493,575)

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forecast evaluation, weak identification, survey forecasts, mode forecasts

33.

Testing for Unobserved Heterogeneity via K-Means Clustering

Number of pages: 37 Posted: 18 Jul 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 36 (516,715)
Citation 1

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model selection, overfitting, machine learning, classification methods

34.

Properties of Optimal Forecasts

Number of pages: 42 Posted: 22 Oct 2003
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 32 (537,170)
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Forecast evaluation, loss function, rationality, efficient markets

35.

Dynamic Factor Copula Models with Estimated Cluster Assignments

Number of pages: 49 Posted: 09 Jan 2021
Dong Hwan Oh and Andrew J. Patton
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 29 (553,391)

Abstract:

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correlation, tail risk, multivariate density forecast

36.

Modelling Asymmetric Exchange Rate Dependence

International Economic Review, Vol. 47, No. 2, pp. 527-556, May 2006
Number of pages: 30 Posted: 08 May 2006
Andrew J. Patton
Duke University - Department of Economics
Downloads 13 (659,379)
Citation 32
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37.

Forecast Rationality Tests Based on Multi-Horizon Bounds

CEPR Discussion Paper No. DP8194
Number of pages: 52 Posted: 31 Jan 2011
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 1 (757,379)
Citation 8
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forecast horizon, forecast optimality, real-time data, survey forecasts

38.

Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts

CEPR Discussion Paper No. DP6526
Number of pages: 60 Posted: 05 Jun 2008
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 1 (757,379)
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real time learning, survey forecasts, term structure of forecasts

39.

Copulas in Econometrics

Annual Review of Economics, Vol. 6, pp. 179-200, 2014
Posted: 08 Aug 2014
Yanqin Fan and Andrew J. Patton
University of Washington - Department of Economics and Duke University - Department of Economics

Abstract:

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40.

Are “Market Neutral” Hedge Funds Really Market Neutral?

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2295-2330, 2009
Posted: 22 Jun 2009
Andrew J. Patton
Duke University - Department of Economics

Abstract:

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G11, G23

41.

Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System

Posted: 18 Feb 2000
Colm Kearney and Andrew J. Patton
Monash University - Monash Business School and Duke University - Department of Economics

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