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  • Your search results: "Patton, Andrew J"
Showing 1 - 20 results of 182 for search '"Patton, Andrew J"', query time: 1.97s Narrow search
  • 1
    Cover Image Journal Article
    GOOD VOLATILITY, BAD VOLATILITY: SIGNED JUMPS AND THE PERSISTENCE OF VOLATILITY
    by Andrew J. Patton   Kevin Sheppard Published in The review of economics and statistics (01.07.2015)
    “...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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  • 2
    Cover Image Journal Article
    Modelling Asymmetric Exchange Rate Dependence
    by 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
    Cover Image Journal Article
    On the High-Frequency Dynamics of Hedge Fund Risk Exposures
    by ANDREW J. PATTON   TARUN RAMADORAI Published in The Journal of finance (New York) (01.04.2013)
    “...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
    Cover Image Journal Article
    Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
    by Andrew J. Patton   Michela Verardo Published in The Review of financial studies (01.09.2012)
    “...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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  • 5
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    Estimation of Multivariate Models for Time Series of Possibly Different Lengths
    by 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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  • 6
    Cover Image Journal Article
    Change You Can Believe In? Hedge Fund Data Revisions
    by 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
    Cover Image Journal Article
    Copulas in Econometrics
    by Fan, Yanqin   Patton, Andrew J Published in Annual review of economics (02.08.2014)
    “...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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  • 8
    Cover Image Journal Article
    Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
    by 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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  • 9
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    A review of copula models for economic time series
    by 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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  • 10
    Cover Image Journal Article
    Volatility forecast comparison using imperfect volatility proxies
    by 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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  • 11
    Cover Image Journal Article
    Forecast Rationality Tests Based on Multi-Horizon Bounds
    by 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
    Cover Image Journal Article
    Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
    by Liu, Lily Y   Patton, Andrew J   Sheppard, Kevin Published in Journal of econometrics (01.07.2015)
    “...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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  • 13
    Cover Image Journal Article
    Are "Market Neutral" Hedge Funds Really Market Neutral?
    by 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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  • 14
    Cover Image Journal Article
    Exploiting the errors: A simple approach for improved volatility forecasting
    by 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
    Cover Image Journal Article
    Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
    by Patton, Andrew J   Ziegel, Johanna F   Chen, Rui Published in Journal of econometrics (01.08.2019)
    “...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
    Cover Image Journal Article
    Asymptotic inference about predictive accuracy using high frequency data
    by Li, Jia   Patton, Andrew J Published in Journal of econometrics (01.04.2018)
    “...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
    Cover Image Journal Article
    What you see is not what you get: The costs of trading market anomalies
    by Patton, Andrew J   Weller, Brian M Published in Journal of financial economics (01.08.2020)
    “...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
    Cover Image Journal Article
    Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
    by Patton, Andrew J   Timmermann, Allan Published in Journal of financial economics (2010)
    “...Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher...”
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  • 19
    Cover Image Journal Article
    Multivariate leverage effects and realized semicovariance GARCH models
    by 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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  • 20
    Cover Image Journal Article
    Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
    by 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...”
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