Andrew Patton's curriculum vitae
Curriculum vitae: short PDF || long PDF
(last updated May 2024)
Contact Information
|
Andrew J. Patton 213 Social Sciences Building, Box 90097 Durham NC 27708-0097 USA |
Email: Google Scholar: |
+1 919 660 1849 +1 919 684 8974 |
Academic Employment
|
2016 - present 2013 - present 2015 - 2016 2013 - 2016 2009 - 2013 2010 - 2013 2007 - 2009 2007 2002 - 2007 |
Zelter Family Distinguished Professor of Economics Professor of Finance (secondary appointment) Professor of Finance Professor of Economics Associate Professor of Economics Associate Professor of Finance (secondary appointment) Reader in Economics Reader in Finance 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, honours, and grants
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)
Teaching experience
|
Duke University Forecasting Financial Markets, undergraduate elective
course Statistics for Business Control and Regression Models,
first-year undergraduate course University of
Oxford
|
||||||||||||||||||||||||||||||||||||||||||
|
|
Other employment and affiliations
|
July 2023 - present |
President, Society for Financial Econometrics |
|
July 2022 - June 2023 |
Visitor, UNSW Business School |
|
Mar 2012 - present |
Associate Member, Financial Markets Group, LSE |
|
Aug 2009 - present |
Research Affiliate, Volatility Institute, NYU |
|
Mar 2019 - Dec 2021 |
Member, Model Validation Council, Federal Reserve Board of Governors |
|
Jan 2009 - Dec 2016 |
Associate Member, Nuffield College Oxford |
|
Aug 2009 - Oct 2016 |
Associate Member, Oxford-Man Institute of Quantitative Finance |
|
Dec 2013, Nov 2014 |
|
|
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
|
|||||||||||||||||||||||||||||||||||
|
Conference
Committees Society for Financial Econometrics (SoFiE) conference (2009, 2012-2024) Society for Financial Studies Cavalcade North
America (2021-2024) International Association for Applied Econometrics annual conference (2015, 2018-20, 22, 24x2) CREST
Conference on Hedge Funds, Paris (2011-2024) Midwest Finance Association (2016, 2024) Society for Financial Econometrics (SoFiE) conference program chair (2022) Napa Conference on Financial Markets Research (2015-2022) Finance Down Under conference (2015-2020) Econometric
Society European meetings (2006-2009, 2019) Vienna-Copenhagen Conference on Financial Econometrics (2017) Volatility Institute conference, New York University (2016) Mathematics and Statistics of Quantitative Risk Management, Oberwolfach (2015) Humboldt-Copenhagen (HUKU) financial
econometrics conference (2011) Oxford-Man Institute Hedge Fund Conference,
Oxford (2009-2011) NBER-NSF
Time Series conference, Duke University
(2010) (EC)2 Conference:
Real Time Econometrics,
Aarhus (2009) London-Oxford
Financial Econometrics Study Group (2006, 2007x2, 2008) (EC)2 Conference:
The Econometrics of Monetary Policy and Financial Decision-Making, Rotterdam
(2006) |
|||||||||||||||||||||||||||||||||||
Refereeing
Presentations
2024
Washington
University of St Louis, Olin School of Business
Financial Econometrics conference, Toulouse School of
Economics
Society for Financial Econometrics annual
conference, Rio de Janeiro
Econometric Society Australasian Meeting, Monash
University
2023
Monash University, Department of Econometrics and Business Statistics
Macquarie University, Department of Actuarial Studies and Business Analytics
Queensland University of Technology, School of Economics & Finance
Machine Learning in Business workshop, University of Sydney
Advances in Financial Econometrics: A Conference in Honor of Torben Andersen, Copenhagen Business School
Society for Financial Econometrics annual
conference
Midwest Econometrics Group annual meeting, Federal
Reserve Bank of Cleveland
Johns Hopkins University, Carey Business School
Forecasting workshop, Karlsruhe
Institute of Technology
2022
Boston University, Department of Economics
UNSW, School of Banking and Finance
Financial Econometrics workshop, Macquarie University
University of Sydney, School of Economics
University of Melbourne, Department of Economics
School of Economics, Singapore Management University
Time Series and Forecasting Symposium, University of Sydney
35th Australasian Finance and Banking Conference, Sydney
2021
UC Riverside, Department of Economics
Aarhus University, Department of Economics
University of Geneva, Geneva Finance Research Institute
Colloquium in Econometrics, Statistics, and Probability, Gießen and Marburg
North American Summer Meeting of the Econometric Society, Montreal/virtual
Society for Financial Econometrics annual meeting, San Diego/virtual
Conference on Econometrics and Business Analytics, St. Petersburg/virtual
Society for Financial Econometrics Seminar series
University of Bristol, School of Accounting and Finance
Workshop on Financial Econometrics, Universidade Federal do Rio Grande do Sul
Arizona State University, Department of Finance
Singapore Management University, School of Economics
University of York, Department of Economics
University of Liverpool, Management School
34th Australasian Finance and Banking Conference, Sydney/virtual
2020
Rodney L. White Center Conference on Financial Decisions
and Asset Markets, University of Pennsylvania
The Econometrics of Macroeconomic and Financial Data: A
Conference in Honor of Francis X. Diebold, Dallas
Applied Time Series Econometrics Workshop, Federal
Reserve Bank of St. Louis
Society for Financial Studies Cavalcade, Chapel Hill/virtual
Society for Financial Econometrics annual meeting, San
Diego
World Congress of the Econometric Society, Milan/virtual
European Finance Association meetings, Helsinki/virtual
40th International Symposium on Forecasting, Rio de Janeiro/virtual
Central European University, Department of Economics, Vienna/virtual
(EC)^2 conference: High Dimensional Modeling in Time Series, Paris/virtual
2019
University of Chicago, Stevanovich Center for Financial Mathematics
Cornell University, Dyson School of Applied Economics and Management
Market Microstructure and High Frequency Data, University of Chicago
Society for Financial Studies Cavalcade, Pittsburgh
Triangle Econometrics Conference, Durham
(EC)^2 Conference: Identification in Macroeconomics, Oxford
2018
Alliance Manchester Business School
Lancaster University, Department of Accounting and Finance
Universitat Pompeu Fabra, Department of Economics and Business
University of Cambridge, Faculty of Economics
University of Tennessee, Department of Economics
Market Microstructure and High Frequency Data, University of Chicago
Quantitative Finance and Financial Econometrics, Marseille
Italian Econometric Association (SIdE) summer school, Perugia
Conference in Honor of Tim Bollerslevs 60th Birthday,
UC San Diego
QUT Business School, Department of Economics and Finance
Time Series and Forecasting Symposium, University of Sydney
13th Annual Conference on Advances in the Analysis of Hedge Fund Strategies, Imperial College London
2017
Financial Econometrics and Risk Management conference, London Ontario
Financial Econometrics workshop, Toulouse
Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL, Lausanne
Society for Financial Econometrics annual meeting, New York
Bundesbank Forecasting Workshop, Frankfurt
BU Conference on Financial Econometrics, Boston
Dependence Modeling Tools for Risk Management, Montreal
(EC)2 Conference: Time-Varying Parameter Models, Amsterdam
2016
University of Southern California, Department of Economics
Frontiers in Financial Econometrics conference, Hitotsubashi University
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
Financial Econometrics workshop, Toulouse
SFS Finance Cavalcade, Toronto
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
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 Engles 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
Big Data, Artificial Intelligence, and Financial Economics, Cambridge (2024)
UNSW Asset Pricing Workshop, Sydney (2022, 2024)
Financial Econometrics conference, Toulouse School of Economics (2010, 2011, 2014, 2017, 2024)
35th Australasian Finance and Banking Conference, Sydney (2022)
Society for Financial Studies Cavalcade, Chapel Hill (2022)
AI & Big Data in Finance research forum (2022)
34th Australasian Finance and Banking Conference, Sydney/virtual (2021)
Western Finance Association meeting, virtual (2021)
Society for Financial Studies Cavalcade, Chapel Hill/virtual (2020)
Duke/UNC Asset Pricing Conference (2020)
Society for Financial Econometrics annual meeting, New York (2017)
Financial Econometrics conference,
Duke University (2016)
Volatility
Institute conference, NYU-Stern
(April 2010, 2013, 2015, 2016)
Econometric Society North American
winter meetings, Philadelphia (2014)
Nonlinear and Financial Econometrics conference, A Tribute to Ron Gallant, Toulouse (2011)
Oxford-Man Institute Hedge Fund Conference, Oxford (2010)
BIS conference on Systemic Risk, Bank
Behaviour and Regulation over the Business Cycle, Buenos Aires (2010)
Oxford-Man Institute Hedge Fund Conference,
Oxford (2009)
Recent Advances in High Frequency Financial Econometrics, LSE (2008)
Adam Smith Asset Pricing workshop, London School of Economics (2008)
American Finance Association annual meeting, New
Orleans (2008)
London-Oxford
Financial Econometrics workshop, London (2006)
Dependence
or Contagion? workshop, Cass Business
School, London (2006)
Measuring
Dependence in Finance workshop, Cass
Business School, London (2006)
CIREQ Time
Series conference, Montreal
(2005)
Econometric
Society North American Meetings, Philadelphia (2005)
INQUIRE UK Seminar, Edinburgh (2004)
European Finance Association Annual Meeting,
Maastricht, (2004)
European Finance Association Doctoral
student seminar, Maastricht, (2004)
American
Finance Association Meetings, San Diego (2004)
Econometric
Society North American Meetings, San Diego (2004)
Econometric
Society North American Meetings, Washington D.C. (2003)
LSE FMG Research Frontiers
in Hedge Fund Management (2002)
Western Finance
Association Annual Meeting, Idaho (2000)
Personal Information
|
Nationality: |
Australia and USA. |
|
Date of birth: |
26 March, 1976. |
_____________________________________________
Contact Information
Andrew
Patton
Department of Economics
213 Social Sciences Building
Durham NC 27708-0097
USA
Email: andrew.patton@duke.edu
Web: . http://econ.duke.edu/~ap172
_____________________________________________
Go to Andrew's main
page.
Last updated: March
2025.