Andrew Patton's curriculum vitae

Curriculum vitae:  short PDF  ||  long PDF  (last updated July 2014) 


Contact Information

 

Andrew J. Patton

Department of Economics

Duke University

213 Social Sciences Building, Box 90097

Durham  NC  27708-0097

USA


Email:  andrew.patton@duke.edu
Phone:  +1 919 660 1849
Fax:      +1 919 684 8974
Web: http://econ.duke.edu/~ap172



Academic Employment
 

Mar 2013 – present 

Professor of Economics, Duke University

Mar 2013 – present 

Professor of Finance (secondary appointment), Duke University

Aug 2009 – Mar 2013 

Associate Professor of Economics, Duke University

Aug 2010 – Mar 2013 

Associate Professor of Finance (secondary appointment), Duke University

Sep 2007 – July 2009

Reader in Economics, University of Oxford

Feb 2007 – Aug 2007

Reader in Finance, London School of Economics

Sep 2002 – Jan 2007

Lecturer in Finance, London School of Economics



Education


University of California, San Diego (August 1998 - June 2002)

Ph.D. in Economics, May 2002.

M.A. in Economics, June 2000.

Dissertation title: Applications of Copula Theory in Financial Econometrics.

Committee members: Professors Robert Engle, Allan Timmermann, Sir Clive Granger, Bruce Lehmann and Dimitris Politis.

 

University of Technology, Sydney (March 1994 - December 1997)

B.Business (Finance and Economics), with First Class Honours, December 1997.

B.Business (Finance and Statistics), with Distinction, December 1996.



Awards and grants
 

Napa Conference on Financial Markets Research best paper award, 2014

Fellow of the Society for Financial Econometrics, 2013

Invited speaker:  Symposium on Econometric Theory and Applications (SETA), 2013

US Junior Oberwolfach Fellow, 2012

Journal of Business and Economic Statistics invited paper, 2011

Invited speaker: Society for Financial Econometrics (SoFiE) annual conference, 2010

Journal of Financial Econometrics' Engle Prize, 2007

Inquire UK Research Grant, 2005-06.

The Leverhulme Trust Research Grant F/0004/AF, 2005-07.

Inquire UK, Best Paper award, 2004.

Engineering and Physical Sciences Research Grant EP/C522958/1, 2005-07. (Joint with Ron Anderson, Joachim Inkmann and Antonio Mele.)

Zellner Thesis Award in Business and Economic Statistics, Honorable Mention, 2004.

UCSD Project in Econometric Analysis Fellowship, 2000-2001 and 2001-2002.

Walter P. Heller Prize for the Best Third Year Research Paper, 2001.

Dean of Social Sciences Travel Grant, 2001.

University Medal, University of Technology, Sydney, (awarded to the top student in each graduating class), 1997.

University of Technology, Sydney Honours Scholarship, 1997.

Commonwealth Bank of Australia - R.A.P. Jackson Scholarship, 1994-1996.



Publications in academic journals
The following papers may be downloaded from http://econ.duke.edu/~ap172/research.html

            ----- BibTeX list of these papers (text file)

 

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility, with Kevin Sheppard, November 2013. Forthcoming in the Review of Economics and Statistics.
----- The supplemental appendix for this paper is available here.

Copulas in Econometrics, with Yanqin Fan, October 2013. Forthcoming in the Annual Review of Economics.

Change You Can Believe In? Hedge Fund Data Revisions, with Tarun Ramadorai and Michael Streatfield, working paper, September 2011. Revised March 2013. Forthcoming in the Journal of Finance.
-----  Previously circulated as The Reliability of Voluntary Disclosures: Evidence from Hedge Funds. 
----- The supplemental appendix for this paper is available here.
----- This paper was reviewed in The Telegraph (Nov 2011), BBC News (June 2012), The Economist (April 2013).

Simulated Method of Moments Estimation for Copula-Based Multivariate Models, with Dong Hwan Oh, 2013, Journal of the American Statistical Association, 108(502), 689-700.
----- The supplemental appendix for this paper is available here.

On the High Frequency Dynamics of Hedge Fund Risk Exposures, with Tarun Ramadorai, 2013, Journal of Finance, 68(2), 597-635.
----- An earlier version of this paper was circulated as On the Dynamics of Hedge Fund Risk Exposures, April 2010.
----- The web appendix for this paper is available here.

Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability, with Michela Verardo, 2012, Review of Financial Studies, 25(9), 2789-2839
----- An early version of this paper was circulated as Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows, FMG Discussion paper 630, March 2009.

A Review of Copula Models for Economic Time Series, 2012, Journal of Multivariate Analysis, 110, 4-18.

Forecast Rationality Tests Based on Multi-Horizon Bounds, with Allan Timmermann, 2012, Journal of Business and Economic Statistics, 30(1), 1-17.
----- This was the JBES Invited Address at the 2011 ASSA meetings.
----- The discussions (Croushore, Lahiri, Rossi, Hoogerheide-Ravazzolo-van Dijk, West) and rejoinder are available here.

Data-Based Ranking of Realised Volatility Estimators, 2011, Journal of Econometrics, 161(2), 284-303.

Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach, with Allan Timmermann, 2011, Journal of Business and Economic Statistics, 29(3), 397-410.
---- Some of the results in this paper and the 2010 JME paper below were previously presented in “Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts”, Centre for Economic Policy Research Discussion Paper DP6526.

Volatility Forecast Comparison using Imperfect Volatility Proxies, 2011, Journal of Econometrics, 160(1), 246-256.
-----  Longer working paper version: Volatility Forecast Comparison using Imperfect Volatility Proxies, April 2006, Quantitative Finance Research Centre, University of Technology Sydney, Research Paper 175.

Why do Forecasters Disagree? Lessons from the Term Structure of Cross-Sectional Dispersion, with Allan Timmermann, 2010, Journal of Monetary Economics, 57(7), 803-820.

Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM and Portfolios Sorts, with Allan Timmermann, 2010, Journal of Financial Economics, 98(3), 605-625.
----- An earlier version of this paper was circulated as Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns, February 2008.

Optimal Combinations of Realised Volatility Estimators, with Kevin Sheppard, 2009, International Journal of Forecasting, 25(2), 218-238.

Are "Market Neutral" Hedge Funds Really Market Neutral?, 2009, Review of Financial Studies, 22(7), 2495-2530.
-----  This paper was reviewed in the Financial Times: 27may05, 9may05, 30apr04 
-----  This paper was awarded the Inquire UK best paper award, 2004.

Testing Forecast Optimality under Unknown Loss, with Allan Timmermann, 2007, Journal of the American Statistical Association, 102(480), 1172-1184.

Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity, with Allan Timmermann, 2007, Journal of Econometrics, 140(2), 884-918. 

Modelling Asymmetric Exchange Rate Dependence, 2006, International Economic Review, 47(2), 527-556.
-----  Previously circulated as Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula, UCSD Discussion Paper 01-09. 

Common Factors in Conditional Distributions for Bivariate Time Series, 2006, with Clive W. J. Granger and Timo Teräsvirta, Journal of Econometrics, 132 (1), 43-57.  

Estimation of Multivariate Models for Time Series of Possibly Different Lengths, 2006, Journal of Applied Econometrics, 21(2), 147-173.
-----  Previously circulated as Estimation of Copula Models for Time Series of Possibly Different Lengths, UCSD Discussion Paper 01-17. 

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, 2004, Journal of Financial Econometrics, 2(1), 130-168.  
-----  9 June, 2003: This paper was reviewed in the Financial Times: june03 

Impacts of Trades in an Error-Correction Model of Quote Prices, with Robert F. Engle,  2004, Journal of Financial Markets, 7(1), 1-25. 

What Good is a Volatility Model?, with Robert F. Engle, 2001, Quantitative Finance, 1(2), 237-245. 
----- Re-printed in: Forecasting Volatility in the Financial Markets, Third Edition, 2007, J. Knight and S. Satchell (eds), Butterworth-Heinemann.
----- Re-printed in: Beyond Equilibrium and Efficiency, 2007, J.D. Farmer and J. Geanakoplos (eds), Oxford University Press.

Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary Union, with Colm Kearney, 2000, The Financial Review, 35(1), 25-46. 



Other publications

Discussion of “Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests” by F. X. Diebold, 2014, Journal of Business & Economic Statistics, forthcoming.

Copula Methods for Forecasting Multivariate Time Series, 2013, in G. Elliott and A. Timmermann  (eds.) Handbook of Economic Forecasting, Volume 2, Springer Verlag.

Generalized Forecast Errors, A Change of Measure, and Forecast Optimality, with Allan Timmermann, 2010, in Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, edited by T. Bollerslev, J.R. Russell and M.W. Watson, Oxford University Press.

Evaluating Volatility and Correlation Forecasts, with Kevin Sheppard, 2009, in T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch  (eds.) Handbook of Financial Time Series, Springer Verlag.

Copula-Based Models for Financial Time Series, 2009, in T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch  (eds.) Handbook of Financial Time Series, Springer Verlag.

Correction to “Automatic Block-Length Selection for the Dependent Bootstrap, with Dimitris N. Politis and Halbert White, Econometric Reviews, 2009, 28(4), 372-375.

Non-Linearities and Stress Testing, with Mathias Drehmann and Steffen Sorensen, March 2006, forthcoming in the Proceedings of the Fourth Joint Central Bank Research Conference on Risk Measurement and Systemic Risk.

Book review: "Copula Methods in Finance", by U. Cherubini, E. Luciano and W. Vecchiato, 2004, John Wiley & Sons. In RISK, June 2005, 18(6).

 

Working papers

Modelling Dependence in High Dimensions with Factor Copulas, with Dong Hwan Oh, working paper, May 2011. Revised December 2012.

Does Anything Beat 5-Minute RV?  A Comparison of Realized Measures Across Multiple Asset Classes, with Lily Liu and Kevin Sheppard, December 2012.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, with Dong Hwan Oh, working paper, May 2013. Revised July 2014.

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions, with Tim Bollerslev and Wenjing Wang, working paper, June 2013. Revised January 2014.

Dynamic Copula Models and High Frequency Data, with Irving De Lira Salvatierra, working paper, June 2013.

The Impact of Hedge Funds on Asset Markets, with Mathias Kruttli and Tarun Ramadorai, working paper, June 2013.

Asymptotic Inference about Predictive Accuracy using High Frequency Data, with Jia Li, working paper, September 2013.

High Dimension Copula-Based Distributions with Mixed Frequency Data, with Dong Hwan Oh, working paper, July 2014.



Teaching experience
 

Duke University
Forecasting Financial Markets, undergraduate elective course
Time Series Econometrics, MA course
Econometrics II, first-year PhD course
Econometrics III, second-year PhD course
Empirical Methods for Macro and Forecasting, second-year PhD course
Multivariate Models and Copulas, second-year PhD course

University of Oxford
Econometrics, final-year undergraduate course
Financial Econometrics, MSc (Financial Economics) course
Hedge Fund Analysis, MSc (Financial Economics) course
Time Series Econometrics, First-year MPhil (Economics) course
Advanced Econometrics, Second-year MPhil (Economics) course

London School of Economics
Quantitative Finance, final year undergraduate course
Financial Econometrics, MSc (Finance and Economics) course
Forecasting Financial Time Series, MSc (Finance and Economics) course
Empirical Finance, PhD course

UC-San Diego and University of Technology, Sydney
Teaching assistant in econometrics, statistics, microeconomics, macroeconomics, investments and corporate finance.

Student Supervision / Examination
PhD thesis examiner for:
Ryan Love (London School of Economics, Dept of Economics), May 2005
Freyan Panthaki (London School of Economics, Dept of Finance), September 2005
Emese Lazar (University of Reading, Dept of Finance), November 2006
Peng Yu (Lancaster University, Dept of Finance), March 2007
George Lentzas (University of Oxford, Dept of Economics), December 2007

Rafael Velasco Fluentes (University of Essex, Dept of Economics), February 2009

Thijs Markwat (Erasmus University Rotterdam, Econometric Institute), March 2011

Cavit Pakel (University of Oxford, Dept of Economics), June 2012

Jakob Stöber (Technische Universität München), May 2013

Pekka Tolonen (University of Oulu), February 2014



Other employment and affiliations
 

Mar 2012 – present

Associate Member, Financial Markets Group, LSE

Aug 2009 – present

Associate Member, Oxford-Man Institute of Quantitative Finance

Aug 2009 – present

Research Affiliate, Volatility Institute, NYU

Jan 2009 – present

Associate Member, Nuffield College Oxford

December 2013

Visiting Professor of Finance, University of Sydney

Sep 2007 – Sep 2008 

Official Fellow, St John's College Oxford

Oct 2004 – July 2008

Academic Advisor, Financial Stability, Bank of England

July 2003

Visiting Scholar, University of Technology, Sydney

Dec 1996 – Feb 1997

Business Analyst, Macquarie Bank (Project and Structured Finance)

Dec 1995 – Feb 1996

Analyst, Andersen Consulting

Feb 1994 – June 1994

Business Analyst, Price Waterhouse



Professional activities
 

Editorships and Research Committees

Jan 2013 – present

Co-Editor, The Econometrics Journal

July 2012 – present

Co-Editor, Journal of Financial Econometrics

Jan 2010 – present

Associate Editor, Journal of Applied Econometrics

July 2009 – present

Associate Editor, Journal of Business and Economic Statistics

Mar 2008 – Dec 2012

Associate Editor, The Econometrics Journal

July 2007 – June 2010

Associate Editor, International Journal of Forecasting

Mar 2006 – Feb 2009

Associate Editor, Studies in Nonlinear Dynamics and Econometrics

June 2007 – July 2009

Executive Committee, Oxford-Man Institute of Quantitative Finance

Jan 2006 – Apr 2009

Research Committee, Inquire UK

 

Conference Committees

European Finance Association, Maastricht (August 2004)
European Finance Association Doctoral Seminar, Maastricht (August 2004)
Global Finance conference, Dublin (June 2005)
European Finance Association Doctoral Seminar, Moscow (August 2005)
Global Finance conference, Rio (June 2006)
European Econometric Society meetings, Vienna (August 2006)
(EC)2 Conference: The Econometrics of Monetary Policy and Financial Decision-Making, Rotterdam (December 2006)
London-Oxford Financial Econometrics Study Group (Nov 2006, Mar 2007, Nov 2007, Mar 2008)
Sargent-Sims Colloquium: Alternative Perspectives on Macro Econometric Policy Evaluation (May 2007)

Econometric Society European meetings, Budapest (August 2007)
European Finance Association Doctoral Seminar, Ljubljana (August 2007)

Econometric Society European meetings, Milan (August 2008)

Society for Financial Econometrics (SoFiE) conference (2009, 2012, 2013, 2014)

Econometric Society European meetings, Barcelona (August 2009)

Oxford-Man Institute Hedge Fund Conference, Oxford (2009, 2010, 2011)

(EC)2 Conference: Real Time Econometrics, Aarhus (December 2009)

NBER-NSF Time Series conference, Duke University (October 2010)

Conference on Hedge Funds, Paris (January 2011, 2012, 2013, 2014)

Humboldt-Copenhagen (HUKU) financial econometrics conference (May 2011)

 

 

Refereeing

 

American Economic Review

Annals of Finance

Annals of Statistics

Australian Research Council

Biometrika

Canadian Journal of Economics

Communications in Statistics

Computational Statistics & Data Analysis

Econometric Reviews

Econometric Theory

Econometrica

The Econometrics Journal 

Economica

Economic & Social Science Research Council

The Economic Journal 

Economics Letters 

Emerging Markets Review

Empirical Economics

The Energy Journal 

Engineering & Physical Sciences Research Council

The European Journal of Finance 

The European Physics Journal B 

The Financial Review 

Fonds Québécois de Recherche sur la Société
et la Culture

Global Finance Journal 

IMF Staff Papers

International Economic Review 

International Journal of Forecasting 

International Review of Economics & Finance

International Review of Finance

John Wiley & Sons

Journal of the American Statistical Association

Journal of Applied Econometrics

Journal of Business & Economic Statistics

Journal of Econometrics

Journal of Economic Behavior & Organization

Journal of Economic Dynamics & Control 

Journal of Empirical Finance

Journal of the European Economic Association

Journal of Finance

Journal of Financial & Quantitative Analysis

Journal of Financial Econometrics

Journal of Financial Economics

Journal of Financial Markets 

Journal of Financial Research

Journal of Forecasting

Journal of Futures Markets 

Journal of International Economics

Journal of International Money & Finance

Journal of Macroeconomics

Journal of Multivariate Analysis

Journal of Risk

Journal of the Royal Statistical Society

Journal of Statistical Planning & Inference

Journal of Time Series Analysis

Management Science

National Science Foundation

Princeton University Press

Quantitative Economics

Quantitative Finance

Quarterly Journal of Economics

Research Council of Hong Kong

Review of Economic Studies

Review of Economics & Statistics

Review of Finance

Review of Financial Studies

Scandinavian Journal of Statistics

Social Sciences & Humanities Research Council of Canada

Studies in Nonlinear Dynamics & Econometrics

Swiss National Science Foundation

Taylor & Francis/CRC Press

U.S.-Israel Binational Science Foundation



Presentations

2014

University College London, Department of Economics (March 2014)

University of Cambridge, Faculty of Economics (March 2014)

University of Maryland, Smith School of Business (March 2014)

Napa Conference on Financial Markets Research (April 2014)

Q Group Spring conference, Charleston (April 2014)

Global ARC conference, London (May 2014)

Joint Statistical Meetings, Boston (August, 2014)

 

2013

Econometric Society North American winter meetings, San Diego (January 2013)

Multivariate Time Series Modelling and Forecasting conference, Monash University (February 2013)

University of Technology Sydney, Discipline of Finance (February 2013)

University of New South Wales, School of Banking and Finance (February 2013)

University of Sydney, Discipline of Finance (February 2013)

Humboldt - Copenhagen Conference in Financial Econometrics, Berlin (March 2013)

Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis (April 2013)

New York University, Stern School of Business (April 2013)

CIREQ conference on Financial and Time Series Econometrics, Montreal (May 2013)

ITAM Finance Conference, Mexico City (June 2013)

NBER Summer Institute, Forecasting and Empirical Methods, Boston (July 2013)

Renmin University, Hanqing Institute of Economics and Finance, Beijing (July 2013)

International Symposium on Econometric Theory and Applications (SETA), Seoul (July 2013)

OMI-SoFiE Financial Econometrics Summer School, Oxford (July 2013)

Sveriges Riksbank, Stockholm (September 2013)

SCOR/IDEI Conference on Dependence and Extreme Risks, Paris (September 2013)

Financial Econometrics workshop, Natal, Brazil (October 2013)

University of Pennsylvania, Department of Economics (October 2013)

2012

Mathematics and Statistics of Quantitative Risk Management meeting, Oberwolfach Germany (January 2012)

NC State University, Department of Economics (February 2012)

University of California, San Diego, Rady School of Management (February 2012)

University of California, Riverside, Department of Economics (March 2012)

University at Buffalo, Department of Finance (April 2012)

Volatility Institute conference, NYU-Stern (April 2012)

Federal Reserve Board (May 2012)

High Frequency Data and Algorithmic Trading conference, Isle of Skye (June 2012)

Cass Business School, City University London, Faculty of Finance (June 2012)

University of Aarhus, Center for Research in Econometric Analysis of Time Series (June 2012)

Conference in Honor of Timo Teräsvirta, Ebeltoft (June 2012)

Society for Financial Econometrics (SoFiE) conference, Oxford (June 2012)

NBER Summer Institute, Forecasting and Empirical Methods, Boston (July 2012)
Joint Statistical Meetings, San Diego (July 2012)

Princeton University, Department of Economics (September 2012)

University of Chicago, Booth School of Business (October 2012)

University of North Carolina, Chapel Hill, Kenan-Flagler Business School (November 2012)

 

2011

American Economic Association North American winter meetings, Denver (January 2011)

Copulas in econometrics conference, Erasmus University Rotterdam (March 2011)

Michigan State University, Department of Finance (April 2011)

Humboldt - Copenhagen Conference in Financial Econometrics (May 2011)

Handbook of Economic Forecasting Volume II conference, St Louis (May 2011)

Copula Models and Dependence workshop, Montreal (June 2011)

Western Finance Association meetings, Santa Fe (June 2011)

Econometric Society Australasian meetings, Adelaide (July 2011)

Recent Trends and Advances in Econometrics workshop, Monash University (July 2011)

Frontiers of Financial Econometrics workshop, Queensland University of Technology (July 2011)

Vanderbilt University, Department of Economics (October 2011)

Hedge Fund Conference, Owen Graduate School of Management, Vanderbilt University (October 2011)

Bank of Canada, Ottawa (October 2011)

HEC Montreal, Department of Finance (October 2011)

McGill University, Department of Mathematics and Statistics (October 2011)

Oxford-Man Institute Hedge Fund conference (November 2011)

Triangle Econometrics Conference, Durham (December 2011)

 

2010

Econometrics of Hedge Funds conference, Paris (January 2010)

Econometrics and Forecasting in Macro and Finance, Federal Reserve Bank of St. Louis (April 2010)

Université de Montréal, Department of Economics (April 2010)

Society for Financial Econometrics (SoFiE) conference, Melbourne (June 2010)

FIRN Master class, University of Technology Sydney, School of Finance and Economics (July 2010)

Econometric Society World Congress, Shanghai (August 2010)

University of Michigan, Department of Economics (November 2010)

 

2009

Econometrics of Hedge Funds conference, Paris (January 2009)

University of Warwick, Department of Economics (March 2009)

Recent Developments in Financial Econometrics, Berlin (March 2009)

Financial Econometrics Conference, Toulouse School of Economics (May 2009)

Humboldt University, School of Business and Economics (May 2009)

University of Copenhagen, Department of Economics (May 2009)

CREST Finance and Econometrics seminar, Paris (May 2009)

Society for Financial Econometrics (SoFiE) conference, Geneva (June 2009)

Western Finance Association meeting, San Diego (June 2009)

Frontiers in Financial Econometrics conference, Princeton University (September 2009)

Oxford-Man Institute Hedge Fund Conference, Oxford (October 2009)

University of Massachusetts Amherst, Isenberg School of Management (October 2009)

New York University, Stern School of Business (November 2009)

Triangle Econometrics Conference, Durham (December 2009)

University of Tasmania, School of Economics and Finance (December 2009)

 

2008
Econometric Society North American winter meetings, New Orleans (January 2008)

University of Oxford, Department of Economics (January 2008)

Workshop on Nonlinear Economics and Finance, Keele University (February 2008)

Joint UK CFA Society, Inquire UK, Institute of Actuaries seminar (March 2008)

Econometrics and Forecasting in Macro and Finance, Federal Reserve Bank of St. Louis (March 2008)

Man Investments Quant Forum, Oxford (March 2008)

Ente Einaudi Research Center, Bank of Italy (April 2008)

Tinbergen Institute Amsterdam, Econometrics seminar (April 2008)

University of Chicago, Graduate School of Business (May 2008)

Financial Econometrics conference, Imperial College London (May 2008)

Integrating Historical Data and Expectations in Financial Econometrics, London School of Economics (May 2008)

Society for Financial Econometrics (SoFiE) Inaugural conference, New York (June 2008)

Conference in Honor of Rob Engle’s 65th Birthday, La Jolla (June 2008)

Volatility Symposium, University of Aarhus, Center for Research in Econometric Analysis of Time Series (Aug 2008)

Econometric Society European meetings, Milan (August 2008)

Queensland University of Technology, School of Economics and Finance (October 2008)

Duke University, Department of Economics (October 2008)

London School of Economics, Department of Economics (October 2008)

Erasmus University Rotterdam, Finance seminar (November 2008)
Forecasting Under Model Instability workshop, University of Cambridge (November 2008)

University of Piraeus, Department of Banking and Financial Management (December 2008)
Athens University of Economics and Business (December 2008)


2007
Forecasting conference, Duke University (March 2007)
University College Dublin, Banking and Finance group (April 2007)
Board of Governors of the Federal Reserve, International Finance division (April 2007)
University of Essex, Centre for Computational Finance (April 2007)
Heriot-Watt University, Actuarial Mathematics and Statistics seminar (May 2007)
Financial Econometrics conference, University of York (May 2007)
SITE workshop, Stanford University (June 2007)
NBER Summer Institute, Forecasting and Empirical Methods, Boston (July 2007)
University of Aarhus, Center for Research in Econometric Analysis of Time Series (Aug 2007)
Econometric Society European meetings, Budapest (August 2007)
Oxford-Man Institute of Quantitative Finance (October 2007)
Multivariate Volatility Models conference, Faro (October 2007)
Workshop on Model Evaluation and Predictive Ability, Paris (November 2007)
Adam Smith Asset Pricing conference, Imperial College London (November 2007)
London-Oxford Financial Econometrics Workshop, Imperial College London (November 2007)
University of Lugano, Faculty of Economics (November 2007)
ECB Workshop on Forecasting Techniques, Frankfurt (December 2007)

2006
North American Econometric Society Meetings, Boston (January 2006)
CIREQ Financial Econometrics conference, Montreal (May 2006)
Manchester Business School, Accounting and Finance group (May 2006)
Financial econometrics workshop, CREST, Paris (May 2006)
Multivariate Modelling in Finance, Sandbjerg (June 2006)
NBER Summer Institute, Forecasting and Empirical Methods, Boston (July 2006)
Econometric Society European Meetings, Vienna (August 2006)
LSE Financial Markets Group (October 2006)
University of Cambridge, Faculty of Economics (October 2006)
City University, London, Department of Economics (November 2006)
Lancaster Management School, Accounting and Finance group (November 2006)
Adam Smith Asset Pricing conference, Oxford (November 2006)

2005
North American Econometric Society Meetings, Philadelphia (January 2005)
LSE Financial Markets Group (February 2005)
University of Pennsylvania, Department of Economics ( February 2005)
University of York, Department of Economics (March 2005)
Workshop on Measuring Dependence in Finance, Cass Business School, London (March 2005)
Nonlinear Dynamics and Econometrics Annual Symposium, London (March 2005)
Bank of England ( May 2005)
Concordia Hedge Fund Investor conference, Bermuda (June 2005)
Global Finance conference, Dublin (June 2005)
Econometric Society World Congress, London (August 2005)
International Conference on Finance, University of Copenhagen (September 2005)
Warwick Business School, Finance Group (October 2005)
Hedge 2005 conference, London (October 2005)
University of Reading, ISMA Centre (October 2005)
University of Sydney, Disciplines of Econometrics and Finance (November 2005)
Australian National University, Faculty of Economics and Commerce (November 2005)
University of Toronto, Department of Economics (December 2005)
(EC)2 Conference: Econometrics of Financial and Insurance Risks, Istanbul (December 2005)
T.N. Thiele Symposium on Stochastic Volatility, University of Copenhagen (December 2005) 

2004
North American Econometric Society Meetings, San Diego (Jan 2004)
Deloitte Risk Management Conference, University of Antwerp, keynote (March 2004)
University of Technology, Sydney, School of Finance and Economics (April 2004)
LSE Financial Markets Group 2nd Hedge Fund conference (May 2004)
Aarhus School of Business, Department of Finance, (May 2004)
University of Amsterdam, Finance Group, (May 2004)
Tilburg University, Finance Department, (May 2004)
European Finance Association Annual Meeting, Maastricht, (August 2004)
INQUIRE UK Seminar, Edinburgh (September 2004)
NYU Stern School of Business Innovations in Financial Econometrics conference (October 2004)
UC Berkeley, Department of Economics (October 2004)
Bank of England (October 2004)
Queen Mary, University of London, Department of Economics (November 2004)
Erasmus University Rotterdam, Econometric Institute (November 2004)
University of Venice, Department of Economics (November 2004)
London School of Economics, Department of Economics ( December 2004)

2003
North American Econometric Society Meetings, Washington D.C. (January 2003)
LSE Financial Markets Group (March 2003, November 2003)
Cass Business School, City University, London (March 2003)
University of Southampton, Department of Economics (March 2003)
Brown University, Department of Economics (April 2003)
LSE Financial Markets Group Empirical Finance conference (May 2003)
Université Catholique de Louvain, CORE Econometrics seminar (May 2003)
Warwick Business School, Finance Group (May 2003)
Marmara University, Department of Economics, Turkey (June, 2003)
Econometric Society Australasian Meetings, Sydney (July 2003)
University of Technology, Sydney, School of Finance and Economics (July 2003)
Monash University, Department of Econometrics (July 2003)
London School of Economics, Department of Economics ( December 2003)
Imperial College London ( December, 2003)

2002
Michigan State University, Department of Economics (January 2002)
Purdue University, Department of Economics (February 2002)
UCLA, Department of Economics (February 2002)
Board of Governors of the Federal Reserve, Division of International Finance (February 2002)
Yale University, Department of Economics (February 2002)
Princeton University, Department of Economics (February 2002)
University of Chicago, Graduate School of Business (February 2002)
Texas A&M University, Department of Economics (February 2002)
London School of Economics, Department of Accounting and Finance (February 2002)
University of Oxford, Nuffield College (February 2002)
Applications of Copulas in Finance workshop, London (March 2002)
University of Pennsylvania, Department of Economics (April 2002)
Multi-Moment Capital Asset Pricing Models Workshop, Paris (April 2002)
North American Econometric Society Meetings, Los Angeles (June 2002)
Econometric Society European Meetings, Venice (August 2002)
European Investment Review Annual Conference, London (September 2002)
INQUIRE UK Seminar, Bournemouth (September 2002)
NSF/NBER Time Series Conference, Philadelphia (September 2002)
LSE FMG Research Frontiers in Hedge Fund Management (Oct 2002)
Workshop in Financial Econometrics, Montreal (October 2002)
University of California, San Diego, Department of Economics ( November 2002)
London School of Economics, Department of Economics (November 2002)
(EC)2 Conference: Model Selection and Evaluation, Bologna (December 2002)
Quantitative Methods in Finance Conference, Sydney (December 2002)

pre 2002
University of Technology, Sydney, School of Finance and Economics (Dec 1997, July 2000, March 2001)
Forecasting Financial Markets Annual Conference, London (May 1998)
Monash University, Department of Econometrics (March 2001)
Commonwealth Scientific and Industrial Research Organisation (CSIRO), Sydney, (March 2001)
University of California, San Diego, Department of Economics (May 2001, Oct 2001)
Advanced Computing for Financial Markets Conference, Wales (June 2001)
University of California, Riverside, Department of Economics (June 2001)
 Econometric Society North American Meetings, Maryland (June 2001)
Western Economic Association 76th Annual Conference, San Francisco (July 2001)

Discussions
Western Finance Association Annual Meeting, Idaho (June 2000)
LSE FMG Research Frontiers in Hedge Fund Management (October 2002)
Econometric Society North American Meetings, Washington D.C. (January 2003)
Econometric Society North American Meetings, San Diego (January 2004)
American Finance Association Meetings, San Diego (January 2004)
European Finance Association Doctoral student seminar, Maastricht, (August 2004)
European Finance Association Annual Meeting, Maastricht, (August 2004)
INQUIRE UK Seminar, Edinburgh (September 2004)
Econometric Society North American Meetings, Philadelphia (January 2005)
CIREQ Time Series conference, Montreal (December 2005)
Measuring Dependence in Finance workshop, Cass Business School, London (March 2006)
Dependence or Contagion? workshop, Cass Business School, London (October 2006)
London-Oxford Financial Econometrics workshop, London (October 2006)
American Finance Association annual meeting, New Orleans (January 2008)
Adam Smith Asset Pricing workshop, London School of Economics (June 2008)

Recent Advances in High Frequency Financial Econometrics, LSE (November 2008)

Oxford-Man Institute Hedge Fund Conference, Oxford (October 2009)

BIS conference on Systemic Risk, Bank Behaviour and Regulation over the Business Cycle, Buenos Aires (March 2010)

Volatility and Systemic Risk conference, NYU Stern (April 2010)

Financial Econometrics conference, Toulouse School of Economics (May 2010)

Oxford-Man Institute Hedge Fund Conference, Oxford (November 2010)

Nonlinear and Financial Econometrics conference, A Tribute to Ron Gallant, Toulouse (May 2011)

Volatility Institute conference, NYU-Stern (April 2013)

Econometric Society North American winter meetings, Philadelphia (January 2014)

 


Personal Information

Nationality:

Australian  (US permanent resident)

Date of birth:

26 March, 1976.


_____________________________________________

Contact Information

Andrew Patton
Department of Economics

Duke University

213 Social Sciences Building

Durham  NC  27708-0097

USA


Email:  andrew.patton@duke.edu
Phone:  +1 919 660 1849
Fax:      +1 919 684 8974
Web: http://econ.duke.edu/~ap172

_____________________________________________


Go to Andrew's main page.

Last updated: July 2014.

wordpress hit counter