Andrew J. Patton
213 Social Sciences Building, Box 90097
Durham NC 27708-0097
+1 919 660 1849
+1 919 684 8974
2016 – present
Zelter Family Professor of Economics
2013 – present
Professor of Finance (secondary appointment)
2015 – 2016
Professor of Finance
2013 – 2016
Professor of Economics
Associate Professor of Economics
2010 – 2013
Associate Professor of Finance (secondary appointment)
2007 – 2009
Reader in Economics
Reader in Finance
2002 – 2007
Lecturer in Finance
Ph.D. in Economics, 2002
M.A. in Economics, 2000
Dissertation title: Applications of Copula Theory in Financial Econometrics.
University of Technology, Sydney (1994 - 1997)
B.Business (Finance and Economics), with First Class Honours, 1997
Awards and grants
Invited speaker: International Association for Applied Econometrics meeting, Milan, 2016
Invited speaker: Nordic Econometric Society meeting, Helsinki, 2015
Napa Conference on Financial Markets Research best paper award, 2014
Invited speaker: Symposium on Econometric Theory and Applications (SETA), 2013
US Junior Oberwolfach Fellow, 2012
Journal of Business and Economic Statistics invited paper, 2011
Inquire UK Research Grant, 2005-06.
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.
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.
House Price Indexes: Construction, Modeling, and
Longer-Run Predictions, with Tim Bollerslev and Wenjing
2013, revised March 2015. Forthcoming in the Journal
of Applied Econometrics.
Dependence in High Dimensions with Factor Copulas, with Dong Hwan
working paper, May 2011. Revised May 2015. Forthcoming in the Journal
of Business and Economic Statistics.
The Impact of Hedge
Funds on Asset Markets, with Mathias Kruttli
and Tarun Ramadorai, 2015, Review of Asset Pricing
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.
Models and High Frequency Data, with Irving
De Lira Salvatierra, 2015, Journal
of Empirical Finance, 30(1), 120-135.
Good Volatility, Bad Volatility:
Signed Jumps and the Persistence of Volatility, with Kevin
Sheppard, 2015, Review of Economics and Statistics, 97(3), 683-697.
You Can Believe In? Hedge Fund Data Revisions, with Tarun Ramadorai and Michael
Streatfield, 2015, Journal
of Finance, 70(3), 963-999.
Method of Moments Estimation for Copula-Based Multivariate Models, with Dong Hwan
of the American Statistical Association, 108(502), 689-700.
On the High Frequency Dynamics of Hedge
Fund Risk Exposures, with Tarun Ramadorai, 2013, Journal
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
Forecast Rationality Tests
Based on Multi-Horizon Bounds,
with Allan Timmermann, 2012, Journal
of Business and Economic Statistics, 30(1), 1-17.
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.
Volatility Forecast Comparison using
Imperfect Volatility Proxies, 2011, Journal
of Econometrics, 160(1), 246-256.
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.
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.
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,
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,
Economic Review, 47(2), 527-556.
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,
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,
2004, Journal of Financial
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),
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.
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.
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
Comparing Possibly Misspecified Forecasts, working paper, September 2014, revised
Statistics for Business Control and Regression Models,
first-year undergraduate course
Jakob Stöber (Technische Universität München), May 2013
Pekka Tolonen (University of Oulu), February 2014
Other employment and affiliations
Mar 2012 – present
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:
Sep 2007 – Sep 2008
Official Fellow, St John's College Oxford
Oct 2004 – July 2008
Visiting Scholar, University of Technology, Sydney
Dec 1996 – Feb 1997
Dec 1995 – Feb 1996
Analyst, Andersen Consulting
Feb 1994 – June 1994
Business Analyst, Price Waterhouse
Editorships and Research 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)
Oxford-Man Institute Hedge Fund Conference, Oxford (2009, 2010, 2011)
European Finance Association Doctoral Seminar, Ljubljana (2007)
Financial Econometrics Study Group (2006, 2007x2, 2008)
U.S.-Israel Binational Science Foundation
Financial Econometrics and Risk Management conference, London Ontario (April 2017)
Frontiers in Financial Econometrics conference, Hitotsubashi University (March 2016)
Bank of Japan (March 2016)
National Graduate Institute for Policy Studies, Tokyo (March 2016)
Federal Reserve Bank of New York (May 2016)
Dependence and Risk conference, Columbia University (June 2016)
International Association for Applied Econometrics annual meeting, Milan (June 2016)
Boston College, Department of Economics (24 October 2016)
CEMFI, Madrid (November 2016)
French Econometrics Conference, Paris (November 2016)
University of Southern California, Marshall School of Business (February 2015)
Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis (April 2015)
Nordic Econometric Society meeting, Helsinki (May 2015)
NBER Summer Institute,
Forecasting and Empirical Methods, Boston (July 2015)
11th World Congress of the Econometric Society, Montreal (August 2015)
Mathematics and Statistics of Quantitative Risk Management meeting, Oberwolfach (September 2015)
Tinbergen Institute, Amsterdam (November 2015)
Swiss Finance Institute Annual Meeting, Zurich (November 2015)
Lisbon Finance Seminar (November 2015)
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)
Global ARC conference, Boston (October 2014)
High Frequency Data Conference, University of Montreal (December 2014)
New Horizons in Copula Modeling, University of Montreal (December 2014)
Multivariate Time Series Modelling and Forecasting conference, Monash University (February 2013)
Humboldt - Copenhagen Conference in Financial Econometrics, Berlin (March 2013)
Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis (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)
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)
Mathematics and Statistics of Quantitative Risk Management meeting, Oberwolfach Germany (January 2012)
Federal Reserve Board (May 2012)
High Frequency Data and Algorithmic Trading conference, Isle of Skye (June 2012)
Conference in Honor of Timo Teräsvirta, Ebeltoft (June 2012)
Institute, Forecasting and Empirical Methods, Boston (July 2012)
American Economic Association North American winter meetings, Denver (January 2011)
Copulas in econometrics conference, Erasmus University Rotterdam (March 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)
Bank of Canada, Ottawa (October 2011)
Oxford-Man Institute Hedge Fund conference (November 2011)
Triangle Econometrics Conference, Durham (December 2011)
Econometrics of Hedge Funds conference, Paris (January 2010)
Econometrics and Forecasting in Macro and Finance, Federal Reserve Bank of St. Louis (April 2010)
Econometrics of Hedge Funds conference, Paris (January 2009)
Recent Developments in Financial Econometrics, Berlin (March 2009)
CREST Finance and Econometrics seminar, Paris (May 2009)
Western Finance Association meeting, San Diego (June 2009)
Oxford-Man Institute Hedge Fund Conference, Oxford (October 2009)
Triangle Econometrics Conference, Durham (December 2009)
Man Investments Quant Forum, Oxford (March 2008)
Tinbergen Institute Amsterdam, Econometrics seminar (April 2008)
Conference in Honor of Rob Engle’s 65th Birthday, La Jolla (June 2008)
Duke University, Department of Economics (October 2008)
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)
American Finance Association annual meeting,
Australian (US permanent resident)
Date of birth:
26 March, 1976.
Department of Economics
213 Social Sciences Building
Durham NC 27708-0097
Go to Andrew's main page.
Last updated: September 2016.