Andrew Patton's curriculum vitae

Curriculum vitae:  short PDF  ||  long PDF  (last updated September 2016) 


Contact Information

 

Andrew J. Patton

Department of Economics

Duke University

213 Social Sciences Building, Box 90097

Durham  NC  27708-0097

USA



Email:
Phone: 
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andrew.patton@duke.edu

+1 919 660 1849

+1 919 684 8974

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

https://goo.gl/7JA7Kf



Academic Employment
 

2016 – present

Zelter Family Professor of Economics

Duke University

2013 – present 

Professor of Finance (secondary appointment)

 

2015 – 2016

Professor of Finance

New York University

2013 – 2016

Professor of Economics

Duke University

2009 –2013 

Associate Professor of Economics

 

2010 – 2013 

Associate Professor of Finance (secondary appointment)

 

2007 – 2009

Reader in Economics

University of Oxford

2007

Reader in Finance

London School of Economics

2002 – 2007

Lecturer in Finance

 



Education


University of California, San Diego (1998 - 2002)

Ph.D. in Economics, 2002

M.A. in Economics, 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 (1994 - 1997)

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

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



Awards and grants
 

Invited speaker: International Association for Applied Econometrics meeting, Milan, 2016

Review of Asset Pricing Studies keynote paper, SFS Finance Cavalcade, Toronto, 2016

Boxer Faculty Fellow, Stern School of Business, New York University, 2015-16

Invited speaker: Nordic Econometric Society meeting, Helsinki, 2015

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)

 

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, with Dong Hwan Oh, working paper, revised May 2015, Forthcoming in the Journal of Business and Economic Statistics.
----- The supplemental appendix for this paper is available here.

Modelling Dependence in High Dimensions with Factor Copulas, with Dong Hwan Oh, working paper, May 2011. Revised May 2015. Forthcoming in the Journal of Business and Economic Statistics.
----- The supplemental appendix for this paper is available here.

High Dimension Copula-Based Distributions with Mixed Frequency Data, with Dong Hwan Oh, 2016, Journal of Econometrics, 193, 349-366.
----- The supplemental appendix for this paper is available here.

Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions, with Tim Bollerslev and Wenjing Wang, 2016, Journal of Applied Econometrics, 31, 1005-1025.
----- The supplemental appendix for this paper is available here.

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, with Tim Bollerslev and Rogier Quaedvlieg, 2016, Journal of Econometrics, 192, 1-18.

The Impact of Hedge Funds on Asset Markets, with Mathias Kruttli and Tarun Ramadorai, 2015, Review of Asset Pricing Studies, 5(2), 185-226.
----- The supplemental appendix for this paper is available here.
----- Illiquidity measure time series (Text file)

Does Anything Beat 5-Minute RV?  A Comparison of Realized Measures Across Multiple Asset Classes, with Lily Liu and Kevin Sheppard, 2015, Journal of Econometrics, 187(1), 293-311.
----- The supplemental appendix for this paper is available here.

Dynamic Copula Models and High Frequency Data, with Irving De Lira Salvatierra, 2015, Journal of Empirical Finance, 30(1), 120-135.
----- The supplemental appendix for this paper is available here.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility, with Kevin Sheppard, 2015, Review of Economics and Statistics, 97(3), 683-697.
----- The supplemental appendix for this paper is available here.

Change You Can Believe In? Hedge Fund Data Revisions, with Tarun Ramadorai and Michael Streatfield, 2015, Journal of Finance, 70(3), 963-999.
----- 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).

Copulas in Econometrics, with Yanqin Fan, 2014. Annual Review of Economics, 6, 179-200.

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.
----- The teachnical appendix for this paper is available here.

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 “Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings,” by Ehm, Gneiting, Jordan and Krüger, Journal of the Royal Statistical Society, 78(3), 505-562.

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, 33(1), 22-24.

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

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, (with Tim Bollerslev and Rogier Quaedvlieg), April 2016, working paper.

Asymptotic Inference about Predictive Accuracy using High Frequency Data, with Jia Li, working paper, September 2013, revised May 2015.
----- The supplemental appendix for this paper is available here.

Evaluating and Comparing Possibly Misspecified Forecasts, working paper, September 2014, revised March 2015.
----- The supplemental appendix for this paper is available here.



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

New York University

Statistics for Business Control and Regression Models, first-year undergraduate 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

Dec 2013, Nov 2014:

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

 

July 2016 – present

Associate Editor, Review of Asset Pricing Studies

July 2015 – present

Managing Editor, Journal of Financial Econometrics

July 2015 - present

Co-Editor, Journal of Applied Econometrics

Jan 2015 – present

Associate Editor, Journal of Econometrics

Aug 2014 – present

Associate Editor, Journal of the American Statistical Association

Aug 2013 – present

Assessor, Australian Research Council

July 2009 – present

Associate Editor, Journal of Business and Economic Statistics

Jan 2013 – June 2015

Co-Editor, The Econometrics Journal

Jan 2010 – June 2015

Associate Editor, Journal of Applied Econometrics

July 2012 – June 2015

Co-Editor, Journal of Financial Econometrics

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

Volatility Institute conference, New York University (2016)

Midwest Finance Association (2016)

Mathematics and Statistics of Quantitative Risk Management, Oberwolfach (2015)

International Association for Applied Econometrics annual conference (2015)

Napa Conference on Financial Markets Research (2015, 2016)

Finance Down Under conference (March 2015, 2016)

CREST Conference on Hedge Funds, Paris (January 2011, 2012, 2013, 2014, 2015, 2016, 2017)

Society for Financial Econometrics (SoFiE) conference (2009, 2012, 2013, 2014, 2015, 2016)

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

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

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

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

Econometric Society European meetings, Barcelona (2009)

Econometric Society European meetings, Milan (2008)

European Finance Association Doctoral Seminar, Ljubljana (2007)

Econometric Society European meetings, Budapest (2007)
Sargent-Sims Colloquium: Alternative Perspectives on Macro Econometric Policy Evaluation (2007)

London-Oxford Financial Econometrics Study Group (2006, 2007x2, 2008)
(EC)2 Conference: The Econometrics of Monetary Policy and Financial Decision-Making, Rotterdam (2006)
European Econometric Society meetings, Vienna (2006)
Global Finance conference, Rio (2006)
European Finance Association Doctoral Seminar, Moscow (2005)
Global Finance conference, Dublin (2005)
European Finance Association Doctoral Seminar, Maastricht (2004)
European Finance Association, Maastricht (2004)

 

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 

Financial Analysts Journal

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

2017

Financial Econometrics and Risk Management conference, London Ontario (8 April 2017)

Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL, Lausanne (29 May – 2 June 2017)

Society for Financial Econometrics annual meeting, New York (21-23 June 2017)

Bundesbank Forecasting Workshop, Frankfurt (9 September 2017)

Dependence Modeling Tools for Risk Management, Montreal (2-5 October 2017)

 

2016

University of Southern California, Department of Economics

Frontiers in Financial Econometrics conference, Hitotsubashi University

Bank of Japan

National Graduate Institute for Policy Studies, Tokyo

University of Illinois Urbana-Champaign, Department of Economics

Northwestern University, Department of Finance

Federal Reserve Bank of New York

Dependence and Risk conference, Columbia University

Society for Financial Econometrics annual meeting, Hong Kong

International Association for Applied Econometrics annual meeting, Milan

Boston College, Department of Economics

CEMFI, Madrid

French Econometrics Conference, Paris


2015

New York University, Stern School of Business

University of Southern California, Marshall School of Business

University of Pennsylvania, Department of Economics

Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis

Aalto University, Department of Finance

Nordic Econometric Society meeting, Helsinki

NBER Summer Institute, Forecasting and Empirical Methods
11th World Congress of the Econometric Society, Montreal
Mathematics and Statistics of Quantitative Risk Management meeting, Oberwolfach

Princeton University, Department of Economics

Tinbergen Institute, Amsterdam

Swiss Finance Institute Annual Meeting, Zurich

Lisbon Finance Seminar

Columbia University, Department of Economics

New York University, Stern School of Business

 

2014

University of California, San Diego, Rady School of Management

University College London, Department of Economics

University of Cambridge, Faculty of Economics

University of Maryland, Smith School of Business

Napa Conference on Financial Markets Research

Q Group Spring conference, Charleston

Global ARC conference, London

Joint Statistical Meetings, Boston

Duke University, Department of Economics

Global ARC conference, Boston

University of Sydney, Discipline of Finance

High Frequency Data Conference, University of Montreal

New Horizons in Copula Modeling, University of Montreal

                                  

2013

Econometric Society North American winter meetings, San Diego

Multivariate Time Series Modelling and Forecasting conference, Monash University

University of Technology Sydney, Discipline of Finance

University of New South Wales, School of Banking and Finance

University of Sydney, Discipline of Finance

Humboldt - Copenhagen Conference in Financial Econometrics, Berlin

Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis

New York University, Stern School of Business

CIREQ conference on Financial and Time Series Econometrics, Montreal

ITAM Finance Conference, Mexico City

NBER Summer Institute, Forecasting and Empirical Methods,

Renmin University, Hanqing Institute of Economics and Finance, Beijing

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

OMI-SoFiE Financial Econometrics Summer School, Oxford

Sveriges Riksbank, Stockholm

SCOR/IDEI Conference on Dependence and Extreme Risks, Paris

Financial Econometrics workshop, Natal, Brazil

University of Pennsylvania, Department of Economics

2012

Mathematics and Statistics of Quantitative Risk Management meeting, Oberwolfach Germany

NC State University, Department of Economics

University of California, San Diego, Rady School of Management

University of California, Riverside, Department of Economics

University at Buffalo, Department of Finance

Volatility Institute conference, NYU-Stern

Federal Reserve Board

High Frequency Data and Algorithmic Trading conference, Isle of Skye

Cass Business School, City University London, Faculty of Finance

University of Aarhus, Center for Research in Econometric Analysis of Time Series

Conference in Honor of Timo Teräsvirta, Ebeltoft

Society for Financial Econometrics (SoFiE) conference, Oxford

NBER Summer Institute, Forecasting and Empirical Methods, Boston

Joint Statistical Meetings, San Diego

Princeton University, Department of Economics

University of Chicago, Booth School of Business

University of North Carolina, Chapel Hill, Kenan-Flagler Business School

 

2011

American Economic Association North American winter meetings, Denver

Copulas in econometrics conference, Erasmus University Rotterdam

Michigan State University, Department of Finance

Humboldt - Copenhagen Conference in Financial Econometrics

Handbook of Economic Forecasting Volume II conference, St Louis

Copula Models and Dependence workshop, Montreal

Western Finance Association meetings, Santa Fe

Econometric Society Australasian meetings, Adelaide

Recent Trends and Advances in Econometrics workshop, Monash University

Frontiers of Financial Econometrics workshop, Queensland University of Technology

Vanderbilt University, Department of Economics

Hedge Fund Conference, Owen Graduate School of Management, Vanderbilt University

Bank of Canada, Ottawa

HEC Montreal, Department of Finance

McGill University, Department of Mathematics and Statistics

Oxford-Man Institute Hedge Fund conference

Triangle Econometrics Conference, Durham

 

2010

Econometrics of Hedge Funds conference, Paris

Econometrics and Forecasting in Macro and Finance, Federal Reserve Bank of St. Louis

Université de Montréal, Department of Economics

Society for Financial Econometrics (SoFiE) conference, Melbourne

FIRN Master class, University of Technology Sydney, School of Finance and Economics

Econometric Society World Congress, Shanghai

University of Michigan, Department of Economics

 

2009

Econometrics of Hedge Funds conference, Paris

University of Warwick, Department of Economics

Recent Developments in Financial Econometrics, Berlin

Financial Econometrics Conference, Toulouse School of Economics

Humboldt University, School of Business and Economics

University of Copenhagen, Department of Economics

CREST Finance and Econometrics seminar, Paris

Society for Financial Econometrics (SoFiE) conference, Geneva

Western Finance Association meeting, San Diego

Frontiers in Financial Econometrics conference, Princeton University

Oxford-Man Institute Hedge Fund Conference, Oxford

University of Massachusetts Amherst, Isenberg School of Management

New York University, Stern School of Business

Triangle Econometrics Conference, Durham

University of Tasmania, School of Economics and Finance

 

2008
Econometric Society North American winter meetings, New Orleans

University of Oxford, Department of Economics

Workshop on Nonlinear Economics and Finance, Keele University

Joint UK CFA Society, Inquire UK, Institute of Actuaries seminar

Econometrics and Forecasting in Macro and Finance, Federal Reserve Bank of St. Louis

Man Investments Quant Forum, Oxford

Ente Einaudi Research Center, Bank of Italy

Tinbergen Institute Amsterdam, Econometrics seminar

University of Chicago, Graduate School of Business

Financial Econometrics conference, Imperial College London

Integrating Historical Data and Expectations in Financial Econometrics, London School of Economics

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

Conference in Honor of Rob Engle’s 65th Birthday, La Jolla

Volatility Symposium, University of Aarhus, Center for Research in Econometric Analysis of Time Series

Econometric Society European meetings, Milan

Queensland University of Technology, School of Economics and Finance

Duke University, Department of Economics

London School of Economics, Department of Economics

Erasmus University Rotterdam, Finance seminar
Forecasting Under Model Instability workshop, University of Cambridge

University of Piraeus, Department of Banking and Financial Management

Athens University of Economics and Business


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

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

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

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

2003
North American Econometric Society Meetings, Washington D.C.
LSE Financial Markets Group (x2)
Cass Business School, City University, London
University of Southampton, Department of Economics
Brown University, Department of Economics
LSE Financial Markets Group Empirical Finance conference
Université Catholique de Louvain, CORE Econometrics seminar
Warwick Business School, Finance Group
Marmara University, Department of Economics, Turkey
Econometric Society Australasian Meetings, Sydney
University of Technology, Sydney, School of Finance and Economics
Monash University, Department of Econometrics
London School of Economics, Department of Economics
Imperial College London

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

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

Discussions
Financial Econometrics conference, Duke University (September 2016)

Volatility Institute conference, NYU-Stern (April 2010, 2013, 2015, 2016)

Financial Econometrics conference, Toulouse School of Economics (May 2010, 2011, 2014)

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

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

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

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

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

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

Adam Smith Asset Pricing workshop, London School of Economics (June 2008)

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

 


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: November 2016.

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