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1“...Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual...”
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2by Andrew J. Patton Published in International economic review (Philadelphia) (01.05.2006)“...We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited...”
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3“...We propose a new method to model hedge fund risk exposures using relatively highfrequency conditioning variables. In a large sample of funds, we find...”
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4“...We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas...”
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5by Andrew J. Patton Published in Journal of applied econometrics (Chichester, England) (01.03.2006)“...We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in...”
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6by ANDREW J. PATTON TARUN RAMADORAI MICHAEL STREATFIELD Published in The Journal of finance (New York) (01.06.2015)“...We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking...”
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7“...Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of...”
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8by Patton, Andrew J Timmermann, Allan Published in Journal of business & economic statistics (01.07.2011)“...We develop an unobserved-components approach to study surveys of forecasts containing multiple forecast horizons. Under the assumption that forecasters...”
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9by Patton, Andrew J Published in Journal of multivariate analysis (01.09.2012)“...This survey reviews the large and growing literature on copula-based models for economic and financial time series. Copula-based multivariate models allow the...”
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10by Patton, Andrew J Published in Journal of econometrics (2011)“...The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable outcomes in standard methods for comparing conditional variance...”
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11by Patton, Andrew J Timmermann, Allan Published in Journal of business & economic statistics (01.01.2012)“...Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared...”
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12“...We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a...”
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13by Andrew J. Patton Published in The Review of financial studies (01.07.2009)“...Using a variety of different definitions of "neutrality," this study presents significant evidence against the neutrality to market risk of hedge funds in a...”
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14by Bollerslev, Tim Patton, Andrew J Quaedvlieg, Rogier Published in Journal of econometrics (01.05.2016)“...We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized...”
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15“...Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its...”
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16“...This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts...”
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17“...Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general...”
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18“...Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher...”
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19by Bollerslev, Tim Patton, Andrew J Quaedvlieg, Rogier Published in Journal of econometrics (01.08.2020)“...We propose new asymmetric multivariate volatility models. The models exploit estimates of variances and covariances based on the signs of high-frequency...”
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20by Bollerslev, Tim Patton, Andrew J Quaedvlieg, Rogier Published in Journal of econometrics (01.11.2018)“...We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from...”