Andrew J. Patton

Available identifiers

zbMath Open patton.andrew-jMaRDI QIDQ250864

List of research outcomes

Publication	Date of Publication	Type
Forecast Rationality Tests Based on Multi-Horizon Bounds	2025-01-20	Paper
Rejoinder	2025-01-20	Paper
Comment	2025-01-20	Paper
Comparing Possibly Misspecified Forecasts	2024-10-28	Paper
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads	2024-10-23	Paper
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter	2024-10-17	Paper
Modeling Dependence in High Dimensions With Factor Copulas	2024-10-09	Paper
Better the devil you know: improved forecasts from imperfect models	2024-07-17	Paper
Testing for Unobserved Heterogeneity via k-means Clustering	2024-03-06	Paper
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models	2024-03-06	Paper
Dynamic factor copula models with estimated cluster assignments	2023-11-17	Paper
Editorial for special issue in honor of Francis X. Diebold	2022-12-14	Paper
From zero to hero: realized partial (co)variances	2022-12-14	Paper
A consistent specification test for dynamic quantile models	2022-07-11	Paper
Equity clusters through the lens of realized semicorrelations	2022-04-14	Paper
Realized semicovariances	2021-06-07	Paper
Multivariate leverage effects and realized semicovariance GARCH models	2020-06-18	Paper
Dynamic semiparametric models for expected shortfall (and value-at-risk)	2019-07-01	Paper
What good is a volatility model?	2019-01-14	Paper
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions	2018-10-12	Paper
Asymptotic inference about predictive accuracy using high frequency data	2018-03-22	Paper
Volatility forecast comparison using imperfect volatility proxies	2016-08-10	Paper
Data-based ranking of realised volatility estimators	2016-08-10	Paper
High-dimensional copula-based distributions with mixed frequency data	2016-07-12	Paper
Common factors in conditional distributions for bivariate time series	2016-06-10	Paper
Exploiting the errors: a simple approach for improved volatility forecasting	2016-03-01	Paper
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes	2015-09-01	Paper
Simulated Method of Moments Estimation for Copula-Based Multivariate Models	2013-08-07	Paper
Properties of optimal forecasts under asymmetric loss and nonlinearity	2012-09-23	Paper
A review of copula models for economic time series	2012-08-13	Paper
https://portal.mardi4nfdi.de/entity/Q3099633	2011-12-01	Paper
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach	2011-08-24	Paper
Copula–Based Models for Financial Time Series	2009-11-27	Paper
Evaluating Volatility and Correlation Forecasts	2009-11-27	Paper
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White	2009-10-21	Paper
Testing Forecast Optimality Under Unknown Loss	2009-06-12	Paper
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White	2009-01-30	Paper

Research outcomes over time

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