Andrew Patton's curriculum vitae

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Contact Information

 

Andrew J. Patton

Department of Economics

Duke University

213 Social Sciences Building, Box 90097

Durham NC 27708-0097

USA

 

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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

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

Duke University

 

 

New York University

 

Duke University

 

 

 

University of Oxford

 

London School of Economics



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

Distinguished visitor: Department of Econometrics and Business Statistics, Monash University, 2023

Invited speaker: Midwest Econometrics Group annual meeting, Federal Reserve Bank of Cleveland, 2023

Invited speaker: Time Series & Forecasting Symposium, Sydney, 2022

BlackRock best paper award, Australasian Banking and Finance Conference, 2021

Fellow, International Association for Applied Econometrics, 2021

Invited speaker: North American Summer Meeting of the Econometric Society, Montreal/virtual, 2021.

AQR Insight Award, Honorable Mention, 2019

Fellow, Journal of Econometrics, 2019

Keynote speaker: Time Series & Forecasting Symposium, Sydney, 2018

Australian Research Council Discovery Grant, 2018-21. (Joint with Jamie Alcock, Douglas Foster, and Stephen Satchell.)

Keynote speaker: (EC)2 Conference: Time-Varying Parameter Models, Amsterdam, 2017

Bank of Italy - Carlo Giannini Memorial Lecture: 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), Seoul, 2013

US Junior Oberwolfach Fellow, 2012

Journal of Business and Economic Statistics invited paper, 2011

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

 

Dynamic Factor Copula Models with Estimated Cluster Assignments, with Dong Hwan Oh, 2022, Journal of Econometrics, forthcoming.
----- The supplemental appendix for this paper is available here.
----- Code to replicate some empirical results is available here.

Testing for Unobserved Heterogeneity via k-means Clustering, with Brian Weller, 2023, Journal of Business and Economic Statistics, 41(3), 737-751.

Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models, with Sílvia Gonçalves, Ulrich Hounyo and Kevin Sheppard, 2023, Journal of Business and Economic Statistics, 41(3), 683-694.
----- The supplemental appendix for this paper is available here.

Risk Price Variation: The Missing Half of Empirical Asset Pricing, with Brian Weller, 2022, Review of Financial Studies, 35(11), 5127-5184.

Realized Semibetas: Disentangling good and bad downside risks, with Tim Bollerslev and Rogier Quaedvlieg, 2022, Journal of Financial Economics, 144, 227-246.
----- The supplemental appendix for this paper is available here.

From Zero to Hero: Realized Partial (Co)Variances, with Tim Bollerslev, Marcelo C. Medeiros and Rogier Quaedvlieg, 2022, Journal of Econometrics, 231(2), 348-360.
----- The supplemental appendix for this paper is available here.

Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter, with Sander Barendse, 2022, Journal of Business and Economic Statistics, 40(3), 1057-1069.
----- The supplemental appendix for this paper is available here.

Equity Clusters through the Lens of Realized Semicorrelations, with Tim Bollerslev and Haozhe Zhang, 2022, Economics Letters, 211, 110245.

A Consistent Specification Test for Time Series Quantile Models, with Peter Horvath, Jia Li and Zhipeng Liao, 2022, Quantitative Economics, 13, 125-151.
----- The supplemental appendix for this paper is available here.

Realized Semicovariances, with Tim Bollerslev, Jia Li and Rogier Quaedvlieg, 2020, Econometrica, 88(4), 1515-1551.
----- The supplemental appendix for this paper is available here.

What You See is Not What You Get: The Costs of Trading Market Anomalies, with Brian Weller, 2020, Journal of Financial Economics, 137, 515-549.

Multivariate Leverage Effects and Realized Semicovariance GARCH Models, with Tim Bollerslev and Rogier Quaedvlieg, 2020, Journal of Econometrics, 217, 411-430.
----- The supplemental appendix for this paper is available here.

Comparing Possibly Misspecified Forecasts, 2020, Journal of Business and Economic Statistics, 38(4), 796-809.
----- The supplemental appendix for this paper is available here.

Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk), with Johanna F. Ziegel and Rui Chen, 2019, Journal of Econometrics, 211(2), 388-413.
----- The supplemental appendix for this paper is available here.
----- Code and data to replicate some empirical results are available here.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, with Tim Bollerslev and Rogier Quaedvlieg, 2018, Journal of Econometrics, 207(1), 71-91.
----- The supplemental appendix for this paper is available here.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, with Dong Hwan Oh, 2018, Journal of Business and Economic Statistics, 36(2), 181-195.
----- The supplemental appendix for this paper is available here.

Asymptotic Inference about Predictive Accuracy using High Frequency Data, with Jia Li, 2018, Journal of Econometrics, 203(2), 223-240.
----- The supplemental appendix for this paper is available here.

Modelling Dependence in High Dimensions with Factor Copulas, with Dong Hwan Oh, 2017, Journal of Business and Economic Statistics, 35(1), 139-154.
----- The supplemental appendix for this paper is available here.

High-Dimensional 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.
----- Code and data to replicate all empirical results are available here.

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 o