Last updated: 28 June 2013 @article{PattonRamadoraiStreatfield::11, author = {Patton, A. J. and T. Ramadorai and M. Streatfield}, title = {The Reliability of Voluntary Disclosures: Evidence from Hedge Funds}, year = {2013}, journal = {Journal of Finance}, note = {forthcoming}, } @article{OhPattonSMM::11, author = {Oh, D.-H. and A. J. Patton}, title = {Simulated method of moments estimation for copula-based multivariate models}, year = {2013}, volume = {108}, number = {502}, pages = {689-700}, journal = {Journal of the American Statistical Association}, } @article{PattonRamadorai::12, author = {Patton, A. J. and T. Ramadorai}, title = {On the High Frequency Dynamics of Hedge Fund Risk Exposures}, journal = {Journal of Finance}, year = {2013}, volume = {68}, number = {2}, pages = {597-635}, } @article{PattonVerardo::12, author = {Patton, A. J. and M. Verardo}, title = {Does Beta Move with News? {F}irm-Specific Information Flows and Learning about Profitability}, journal = {Review of Financial Studies}, year = {2012}, volume = {25}, number = {9}, pages = {2789-2839}, } @article{PattonJMVA::12, author = {Patton, A. J.}, title = {A review of copula models for economic time series}, journal = {Journal of Multivariate Analysis}, year = {2012}, volume = {110}, pages = {4-18}, } @article{PattonTimmermann::12, author = {Patton, A. J. and A. Timmermann}, title = {Forecast Rationality Tests Based on Multi-Horizon Bounds}, journal = {Journal of Business and Economic Statistics}, year = {2012}, volume = {30}, number = {1}, pages = {1-17}, } @article{PattonTimmermann::11, author = {Patton, A. J. and A. Timmermann}, title = {Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach}, journal = {Journal of Business and Economic Statistics}, year = {2011}, volume = {29}, number = {3}, pages = {397-410}, } @article{PattonRANKING::11, author = {Patton, A. J.}, title = {Data-Based Ranking of Realised Volatility Estimators}, journal = {Journal of Econometrics}, year = {2011}, volume = {161}, number = {2}, pages = {284-303}, } @article{PattonPROXY::11, author = {Patton, A. J.}, title = {Volatility Forecast Comparison using Imperfect Volatility Proxies}, journal = {Journal of Econometrics}, year = {2011}, volume = {160}, number = {1}, pages = {246-256}, } @article{PattonTimmermannJME::10, author = {Patton, A. J. and A. Timmermann}, title = {Why do Forecasters Disagree? {L}essons from the Term Structure of Cross-Sectional Dispersion}, journal = {Journal of Monetary Economics}, year = {2010}, volume = {57}, number = {7}, pages = {803-820}, } @article{PattonTimmermannJFE::10, author = {Patton, A. J. and A. Timmermann}, title = {Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the {CAPM} and Portfolios Sorts}, journal = {Journal of Financial Economics}, year = {2010}, volume = {98}, number = {3}, pages = {605-625}, } @article{PattonRFS::09, author = {Patton, A. J.}, title = {Are "Market Neutral" Hedge Funds Really Market Neutral?}, journal = {Review of Financial Studies}, volume = {22}, number = {7}, year = {2009}, pages = {2495-2530}, } @article{PattonSheppard::09, author = {Patton, A. J. and K. Sheppard}, title = {Optimal Combinations of Realised Volatility Estimators}, journal = {International Journal of Forecasting}, volume = {25}, number = {2}, year = {2009}, pages = {218-238}, } @article{PattonTimmermannJASA::07, author = {Patton, A. J. and A. Timmermann}, title = {Testing Forecast Optimality under Unknown Loss}, journal = {Journal of the American Statistical Association}, volume = {102}, number = {480}, year = {2007}, pages = {1172-1184}, } @article{PattonTimmermannJOE::07, author = {Patton, A. J. and A. Timmermann}, title = {Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity}, journal = {Journal of Econometrics}, volume = {140}, number = {2}, year = {2007}, pages = {884-918}, } @article{PattonIER::06, author = {Patton, A. J.}, title = {Modelling Asymmetric Exchange Rate Dependence}, journal = {International Economic Review}, volume = {47}, number = {2}, year = {2006}, pages = {527-556}, } @article{PattonJAE::06, author = {Patton, A. J.}, title = {Estimation of Multivariate Models for Time Series of Possibly Different Lengths}, journal = {Journal of Applied Econometrics}, volume = {21}, number = {2}, year = {2006}, pages = {147-173}, } @article{Patton::04, author = {Patton, A. J.}, title = {On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation}, journal = {Journal of Financial Econometrics}, volume = {2}, number = {1}, year = {2004}, pages = {130-168}, } @article{EnglePatton::04, author = {Engle, R. F. and A. J. Patton}, title = {Impacts of Trades in an Error-Correction Model of Quote Prices}, journal = {Journal of Financial Markets}, volume = {7}, number = {1}, year = {2004}, pages = {1-25}, } @article{EnglePatton::01, author = {Engle, R. F. and A. J. Patton}, title = {What Good is a Volatility Model?}, journal = {Quantitative Finance}, volume = {1}, number = {2}, year = {2001}, pages = {237-245}, } @article{KearneyPatton::00, author = {Kearney, C. and A. J. Patton}, title = {Multivariate {GARCH} Modeling of Exchange Rate Volatility Transmission in the {E}uropean Monetary System}, journal = {The Financial Review}, volume = {35}, number = {1}, year = {2000}, pages = {25-46}, } @book{Patton::02, author = {Patton, A. J.}, title = {Applications of Copula Theory in Financial Econometrics}, year = {2002}, publisher = {Unpublished {Ph.D.} dissertation}, address = {University of California, San Diego}, } @incollection{PattonHBOOK::09, author = {Patton, A. J.}, title = {Copula-based models for financial time series}, booktitle = {Handbook of Financial Time Series}, editor = {T. G. Andersen and R. A. Davis and J.-P. Krei\ss and T. Mikosch}, year = {2009}, publisher = {Springer}, address = {Berlin}, } @incollection{PattonSheppardHBOOK::09, author = {Patton, A. J. and K. Sheppard}, title = {Evaluating Volatility and Correlation Forecasts}, booktitle = {Handbook of Financial Time Series}, editor = {T. G. Andersen and R. A. Davis and J.-P. Krei\ss and T. Mikosch}, year = {2009}, publisher = {Springer}, address = {Berlin}, } @incollection{PattonTimmermannFEST::10, author = {Patton, A. J. and A. Timmermann}, title = {Generalized Forecast Errors, A Change of Measure, and Forecast Optimality Conditions}, booktitle = {Volatility and Time Series Econometrics: Essays in Honor of {R}obert {F}. {E}ngle}, editor = {T. Bollerslev and J. R. Russell and M. W. Watson}, year = {2010}, publisher = {Oxford University Press}, address = {Oxford}, } @incollection{PattonHBOOK::12, author = {Patton, A. J.}, title = {Copula Methods for Forecasting Multivariate Time Series}, booktitle = {Handbook of Economic Forecasting, Volume 2}, editor = {G. Elliott and A. Timmermann}, year = {2012}, publisher = {Elsevier}, address = {Oxford}, note = {Forthcoming}, } @unpublished{LiPatton::07, author = {Li, S. and A. J. Patton}, title = {Time-Varying Liquidity in Hedge Fund Returns}, year = {2007}, note = {Oxford-Man Institute of Quantitative Finance working paper OMI03/07}, } @unpublished{PattonSheppard::11, author = {Patton, A. J. and K. Sheppard}, title = {Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility}, year = {2011}, note = {Working paper, Duke University}, } @unpublished{OhPattonFACTOR::11, author = {Oh, D.-H. and A. J. Patton}, title = {Modelling dependence in high dimensions with factor copulas}, year = {2011}, note = {Working paper, Duke University}, } @unpublished{LiuPattonSheppard::12, author = {Liu, L. and A. J. Patton and K. Sheppard}, title = {Does anything beat 5-minute {RV}? {A} comparison of realized measures across multiple asset classes}, year = {2012}, note = {Working paper, Duke University}, } @unpublished{OhPatton::13, author = {Oh, D.-H. and A. J. Patton}, title = {Time-Varying Systemic Risk: {E}vidence from a dynamic copula model of {CDS} spreads}, year = {2013}, note = {Working paper, Duke University}, } @unpublished{BollerslevPattonWang::13, author = {Bollerslev, T. and A. J. Patton and W. Wang}, title = {Daily House Price indexes: {C}onstruction, Modeling, and Longer-Run Predictions}, year = {2013}, note = {Working paper, Duke University}, } @unpublished{DLSPatton::13, author = {De {L}ira {S}alvatierra, I. and A. J. Patton}, title = {Dynamic copula models and high frequency data}, year = {2013}, note = {Working paper, Duke University}, } @unpublished{KPR::13, author = {Kruttli, M. and A. J. Patton and T. Ramadorai}, title = {The impact of hedge funds on asset markets}, year = {2013}, note = {Working paper, Duke University}, } @unpublished{OhPatton::14, author = {Oh, D. H. and A. J. Patton}, title = {High dimension copula-based distributions with mixed frequency data}, year = {2014}, note = {Working paper, Duke University}, } @unpublished{LiPatton::13, author = {Li, J. and A. J. Patton}, title = {Asymptotic inference about predictive accuracy using high frequency data}, year = {2013}, note = {Working paper, Duke University}, } @article{FanPatton::14, author = {Fan, Y. and and A. J. Patton}, title = {Copulas in Econometrics}, year = {2014}, journal = {Annual Review of Economics}, note = {forthcoming}, }