AJ Patton - International economic review, 2006 - Wiley Online Library
Skip to Main Content. ...
RF Engle… - 2001 - Taylor & Francis
Page 1. QUANTITATIVE FINANCE VOLUME 1 (2001) 237–245 RESEARCH PAPER
INSTITUTE OF PHYSICS PUBLISHING quant.iop.org What good is a volatility model?
Robert F Engle and Andrew J Patton Department of ...
AJ Patton - Journal of Financial Econometrics, 2004 - Oxford Univ Press
Skip Navigation. ...
AJ Patton - Journal of Applied Econometrics, 2006 - Wiley Online Library
Skip to Main Content. ...
AJ Patton - Journal of Econometrics, 2011 - Elsevier
AJ Patton… - 2001 - papers.ssrn.com
Page 1. 2001-09 UNIVERSITY OF CALIFORNIA, SAN DIEGO DEPARTMENT OF ECONOMICS
MODELLING TIME-VARYING EXCHANGE RATE DEPENDENCE USING THE CONDITIONAL
COPULA BY ANDREW J. PATTON DISCUSSION PAPER 2001-09 JUNE 2001 Page 2. ...
C Kearney… - Financial Review, 2000 - Wiley Online Library
Page 1. Financial The Review EFA Eastern Finance Association The Financial Review 41 (2000)
2948 Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European
Monetary System Colm Kearney" Andrew J. Patton Dublin City University ...
RF Engle… - Journal of Financial Markets, 2004 - Elsevier
AJ Patton - Handbook of financial time series, 2009 - Springer
... Andrew J. Patton Department of Economics and Oxford-Man Institute of Quantitative Finance,
Uni- versity of Oxford, Manor Road, Oxford OX1 3UQ, United Kingdom, e-mail: andrew.patton@
economics.ox.ac.uk TG Anderson et al., Handbook of Financial Time Series, 767 ...
X Chen, Y Fan… - … Markets Group Working Paper No. 483, 2004 - papers.ssrn.com
Abstract: Evidence that asset returns are more highly correlated during volatile markets and
during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead
some researchers to propose alternative models of dependence. In this paper we develop ...
AJ Patton… - Journal of Econometrics, 2007 - Elsevier
AJ Patton… - Journal of the American Statistical Association, 2007 - ASA
... 1969), Varian (1974), Granger and Newbold Andrew J. Patton is Reader in Economics,
University of Oxford, Oxford OX1 3UQ, United Kingdom (E-mail: andrew.patton@
economics.ox.ac.uk). Al- lan Timmermann is Professor of ...
AJ Patton - Review of Financial Studies, 2009 - Soc Financial Studies
... Andrew J. Patton. University of Oxford. Send correspondence to Andrew J. Patton, Department
of Economics, University of Oxford, Manor Road, Oxford OX1 3UQ, UK; telephone:
+44-(0)1865-281-296; E-mail: andrew.patton{at}economics.ox.ac.uk. Next Section. Abstract. ...
AJ Patton - 2002 - amstat.org
Page 1. UNIVERSITY OF CALIFORNIA, SAN DIEGO Applications of Copula Theory in Financial
Econometrics A dissertation submitted in partial satisfaction of the requirements for the degree
of Doctor of Philosophy in Economics by Andrew John Patton Committee in charge: ...
AJ Patton… - Handbook of Financial Time Series, 2009 - Springer
... Andrew J. Patton Department of Economics and Oxford-Man Institute of Quantitative Finance,
University of Oxford, United Kingdom, e-mail: andrew.patton@economics.ox.ac.uk Kevin Sheppard
Department of Economics and Oxford-Man Institute of Quantitative Finance ...
A Patton - U of California, Econ. Disc. Paper No. 2001-17, 2001 - papers.ssrn.com
Abstract: The theory of conditional copulas provides a means of constructing flexible
multivariate density models, allowing for time-varying conditional densities of each
individual variable, and for time-varying conditional dependence between the variables. ...
CWJ Granger, T Teräsvirta… - Journal of Econometrics, 2006 - Elsevier
AJ Patton… - Journal of Financial Economics, 2010 - Elsevier
AJ Patton… - Journal of Monetary Economics, 2010 - Elsevier
A Patton, DN Politis… - Econometric Reviews, 2009 - Taylor & Francis
Politis and White (20044. Politis , DN , White , H. ( 2004 ). Automatic block-length selection for
the dependent bootstrap . Econometric Reviews 23 ( 1 ): 53 – 70 . [Taylor & Francis Online] View
all references) reviewed the problem of (nonparametric) bootstrapping for time series, ...
AJ Patton… - International Journal of Forecasting, 2009 - Elsevier
A Patton… - 2003 - papers.ssrn.com
Abstract: Evaluation of forecast optimality in economics and finance has almost exclusively
been conducted under the assumption of mean squared error loss. Under this loss function
optimal forecasts should be unbiased and forecast errors serially uncorrelated at the ...
[CITATION] Skewness, asymmetric dependence
A Patton - 2002 - and portfolios. mimeo
A Patton… - CEPR Discussion Paper No. DP7780, 2010 - papers.ssrn.com
Abstract: We propose a new method to capture changes in hedge funds' exposures to risk
factors, exploiting information from relatively high frequency conditioning variables. Using a
consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, ...
C Granger, T Teräsvirta… - 2004 - papers.ssrn.com
Abstract: A definition for a common factor for bivariate time series is suggested by
considering the decomposition of the conditional density into the product of the marginals
and the copula, with the conditioning variable being a common factor if it does not directly ...
AJ Patton - Journal of Econometrics, 2011 - Elsevier
This paper presents new methods for comparing the accuracy of estimators of the quadratic
variation of a price process. I provide conditions under which the rel.
[CITATION] Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
X Chen, Y Fan… - Manuscript, New York University, Vanderbilt University …, 2003
AJ Patton… - Unpublished paper: Oxford-Man …, 2009 - public.econ.duke.edu
Page 1. Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility ∗
Andrew J. Patton Department of Economics Duke University and Oxford-Man Institute
of Quantitative Finance andrew.patton@duke.edu ...
AJ Patton - Manuscript, UCSD, 2001 - eea-esem.com
Page 1. On the Importance of Skewness and Asymmetric Dependence in Stock
Returns for Asset Allocation Andrew J. Patton* University of California, San Diego
Preliminary Version 11 November, 2001 Keywords: stock returns ...
A Patton… - 2010 - papers.ssrn.com
Abstract: This paper finds that the betas of individual stocks increase by an economically
and statistically significant amount on days of quarterly earnings announcements, and revert
to their average levels two to five days later. The increase in beta is greater for large ...
AJ Patton, AG Timmermann… - 2007 - papers.ssrn.com
Page 1. DISCUSSION PAPER SERIES ABCD www.cepr.org Available online at:
www.cepr.org/pubs/dps/DP6526.asp www.ssrn.com/xxx/xxx/xxx No. 6526 LEARNING
IN REAL TIME: THEORY AND EMPIRICAL EVIDENCE FROM ...
AJ Patton… - Journal of Business and Economic …, 2011 - Taylor & Francis
Page 1. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach Andrew
J. PATTON Department of Economics, Duke University, 213 Social Sciences Building, Box
90097, Durham, NC 27708-0097 (andrew.patton@duke.edu) ...
S Li… - 2006 - papers.ssrn.com
Page 1. Time(Varying Liquidity in Hedge Fund Returns" Sheng Li and Andrew J. Patton London
School of Economics This version: 23 January 2007 Comments welcome. Abstract The liquidity
of hedge fundspinvestments is of great interest both to hedge fund investors and to ...
A Patton… - London School of Economics Mimeo, 2004 - papers.ssrn.com
Abstract: Evaluation of forecast optimality in economics and finance has almost exclusively
been conducted on the assumption of mean squared error loss under which forecasts
should be unbiased and forecast errors serially uncorrelated at the single period horizon ...
[CITATION] Portfolio sorts and tests of crosssectional patterns
AJ Patton… - 2008 - Working paper, University of Oxford
A Patton, Y Fan… - Working Papers, 2004 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
Abstract: We analyze the reliability of voluntary disclosures of financial information, focusing
on widely-employed publicly available hedge fund databases. Tracking changes to
statements of historical performance recorded at different points in time between 2007 and ...
[CITATION] Survey on the image segmentation
C Kearney… - Financial Review, 2000
M Drehmann, AJ Patton… - FOURTH JOINT CENTRAL …, 2005 - 195.128.1.78
Page 1. Corporate Defaults and Large Macroeconomic Shocks∗ Mathias Drehmann† Bank
of England Andrew J. Patton* London School of Economics and Bank of England Steffen
Sorensen § Bank of England First draft, October 2005 Abstract ...
[CITATION] Learning in real time: theory and empirical evidence from the term structure of survey forecasts
A Timmermann… - 2007 - working paper, UCSD
A Patton… - 2011 - papers.ssrn.com
Abstract: We propose a new method to model hedge fund risk exposures using relatively
high frequency conditioning variables. In a large sample of funds, we find substantial
evidence that hedge fund risk exposures vary across and within months, and that ...
[CITATION] Estimation of copula models for time series of possibly different lengths, University of California
A Patton - 2001 - San Diego, Discussion Paper 01-17. …
AJ Patton… - Volatility and Time Series …, 2010 - ingentaconnect.com
[CITATION] Application of Copula Theory in Financial E—conometrics [DJ
AJ Patton - Department of Economics. University of Califor—nia. …, 2002
AJ Patton… - Journal of Business & Economic Statistics, 2012 - ASA
... January 8, 2011. Forecast Rationality Tests Based on Multi-Horizon Bounds Andrew
J. PATTON Department of Economics, Duke University, 213 Social Sciences Building,
Box 90097, Durham, NC 27708 (andrew.patton@duke.edu) ...
[CITATION] Modelling time-varying exchange rate dependence
AJ Patton - International Economic Review, 2005
A Patton… - CREATES Research Paper No. 2008- …, 2008 - papers.ssrn.com
Abstract: We develop an unobserved components approach to study surveys of forecasts
containing multiple forecast horizons. Under the assumption that forecasters optimally
update their beliefs about past, current and future state variables as new information ...
A Patton… - 2007 - nber.org
Abstract How quickly is uncertainty about macroeconomic variables such as output growth
and in $ flation resolved over time? To answer this question, we develop a theoretical
framework for un $ derstanding the resolution of uncertainty about economic variables ...
RF Engle… - UCSD Economics Discussion Papers, Department …, 2001 - Citeseer
Page 1. IMPACTS OF TRADES IN AN ERROR-CORRECTION MODEL OF QUOTE PRICES*
Robert F. Engle and Andrew J. Patton Department of Finance, NYU Stern School of Business,
and Department of Economics, University of California, San Diego, ...
AJ Patton - Journal of Multivariate Analysis, 2012 - Elsevier
This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the r.
M Verardo… - 2009 - ideas.repec.org
This paper shows that the systematic risk (or'beta') of individual stocks increases by an
economically and statistically significant amount on days of firm-specific news
announcements, and reverts to its average level two to five days later. We employ intra- ...
AP McCoy - 2007 - scholar.lib.vt.edu
Abstract Throughout the world, innovation is viewed as a critical factor in the future health of
the construction industry. There is universal interest in successful commercialization of
innovative construction products. This thesis focuses on the US construction industry's ...
[CITATION] A review of Dr. SW Williams' Middle Kingdom, chapter V, population and statistics
AP Happer - 1883 - sn
Abstract: We propose a new method to model hedge fund risk exposures using relatively
high frequency conditioning variables. In a large sample of funds, we find substantial
evidence that hedge fund risk exposures vary across and within months, and that ...
AJ Patton… - 2010 - research.stlouisfed.org
Page 1. New Tests of Forecast Optimality Across Multiple Horizons∗ Andrew J. Patton
Duke University Allan Timmermann University of California, San Diego March 26,
2010 Preliminary and incomplete. Abstract We propose ...
A Timmermann… - Working Papers, 2004 - econpapers.repec.org
Related works: Journal Article: Properties of optimal forecasts under asymmetric loss and nonlinearity
(2007) This item may be available elsewhere in EconPapers: Search for items with the same
title. ... This site is part of RePEc and all the data displayed here is part of the RePEc data ...
A Patton - 2004 - ideas.repec.org
One can consider the concept of market neutrality for hedge funds as having breadth and
depth: breadth reflects the number of market risks to which a fund is neutral, while depth
reflects the completeness of the neutrality of the fund to market risks. We focus on market ...
A Patton - FMG Discussion Papers, 2002 - ideas.repec.org
Recent studies in the empirical finance literature have reported evidence of two types of
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution
of individual stock returns, while the second is an asymmetry in the dependence between ...
[CITATION] Are “Market Neutral” Hedge Funds Really Market Neutral?(Digest Summary)
AJ Patton - CFA Digest, 2010 - CFA Institute
AJ Patton… - 2003 - temporaryaddress.cepr.org
DP4037 Properties of Optimal Forecasts. Author(s ...
M Drehmann, AJ Patton… - Ghent University, Belgium, 2007 - Citeseer
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We explore the
impact of possible non-linearties on credit risk in a VAR set-up. We look at two measures of credit
risk: quarterly aggregate liquidation rates and quarterly firm specific probability of defaults ...
DP8898 Change You Can Believe In? Hedge Fund Data Revisions. ...
[CITATION] Is the Shangdi of the Chinese Classics the Same Being as Jehovah of the Sacred Scriptures?...: What Being is Designated Shangdi in the Chinese …
AP Happer - 1877 - Presbyterian Mission Press
AP Happer - 1894 - books.google.com
ACTION OF PRESBYTERY. At the February meeting of the Presbytery of Pittsburgh, held in
Ivawreuceville church, it was uuani mously resolved that as a fit recognition of his long and
successful work in the mission field of Canton, China, the Rev. AP Happer, MD, DD, be ...
A Patton - 2010 - digitalcommons.conncoll.edu
... Internship Reflection Papers. Title. New Jersey State Superior Court, Criminal Division.
Authors. Andrew Patton, Connecticut College. Document Type. Article. Publication
Date. Summer 2010. Recommended Citation. Patton, Andrew ...
AJ Patton… - 2011 - cepr.org
DP8479 On the High-Frequency Dynamics of Hedge Fund Risk Exposures. Author(s ...
RF Engle… - Forecasting volatility in the financial …, 2007 - books.google.com
Page 61. 2 What good is a volatility model?∗ Robert F. Engle† and Andrew J. Patton‡
Abstract A volatility model must be able to forecast volatility; this is the central
requirement in almost all financial applications. In this chapter ...
AJ Patton… - 2008 - economics.ouls.ox.ac.uk
... suggestions. Matlab code for the methods presented in this paper is available from
http://www.economics.ox.ac.uk/members/andrew.patton/code.html. Patton ... Kingdom.
Email: andrew.patton@economics.ox.ac.uk. Timmermann ...
AJ Patton - 2007 - economics.ouls.ox.ac.uk
... Email: andrew.patton@economics.ox.ac.uk. Matlab code used in this paper is available from
http://www.economics.ox.ac.uk/members/andrew.patton/code.html. Page 2. 1 Introduction Many
forecasting problems in economics and finance involve a variable of interest that is ...
[CITATION] On the Out-of-sample Importance of Skewness and Asymetric [sic] Dependence for Asset Allocation
AJ Patton… - 2003 - London School of Economics and …
AJ Patton… - 2007 - temporaryaddress.cepr.org
DP6526 Learning in Real Time: Theory and Empirical Evidence from
the Term Structure of Survey Forecasts. Author(s ...
AJ Patton… - 2009 - eprints.lse.ac.uk
... DISCUSSION PAPER SERIES March 2009 Andrew Patton is a reader in Economics at the
University of Oxford. ... Email: andrew.patton@economics.ox.ac.uk. Verardo: Department of Finance,
London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom. ...
[CITATION] A Professorship of Missionary Instruction in Our Theological Seminaries
AP Happer - 1876 - Warren F. Draper
RF Engle… - Forecasting Volatility in the Financial Markets - vmg.pp.ua
Page 60. 2 What good is a volatility model?* Robert F. Engle† and Andrew J. Patton‡
Abstract A volatility model must be able to forecast volatility; this is the central
requirement in almost all financial applications. In this chapter ...
AP McCoy - 2008 - scholar.lib.vt.edu
Abstract This work presents the development of a new framework for the commercialization
of innovative products in the residential construction industry. It is the aim of this work to
identify commercialization decisions, actions, risks, barriers and accelerators specific to ...
[CITATION] Hedge Fund Conference
A Patton - 2010 - University of Oxford
AJ Patton… - 2011 - cepr.org
DP8194 Forecast Rationality Tests Based on Multi-Horizon Bounds. Author(s ...
AJ Patton… - 2010 - cepr.org
DP7780 On the Dynamics of Hedge Fund Risk Exposures. Author(s ...
DH Oh… - 2011 - economics.ucr.edu
... Econometric Society Asian Meetings for helpful comments. Contact address: Andrew Patton,
Department of Economics, Duke University, 213 Social Sciences Building, Box 90097, Durham
NC 27708%0097. Email: andrew.patton@duke.edu. Page 2. ...
T Terasvirta, CWJ Granger… - FMG Discussion Papers, 2003 - ideas.repec.org
A definition for a common factor for bivariate time series is suggested by considering the
decomposition of the conditional density into the product of the marginals and the copula,
with the conditioning variable being a common factor if it does not directly enter the copula ...
variances”), and high frequency data for the S&P 500 index and 105 individual stocks, this
paper sheds new light on the predictability of equity price volatility. We show that future
volatility is much more strongly related to the volatility of past negative returns than to that ...
AP Happer - 1894 - books.google.com
At the February inteling of the Presbytery of Pittsburgh, held in Lawrenceville church, it was
unani mously resolved that as a fit recognition of his long and successful work in the mission
field of Canton, China, the Rev AP Happer, MD, DD, be invited to preach the opening ...
Y Fan, X Chen… - FMG Discussion Papers, 2004 - ideas.repec.org
Evidence that asset returns are more highly correlated during volatile markets and during
market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some
researchers to propose alternative models of dependence. In this paper we develop two ...
AJ Patton… - 2008 - radyschool.org
... Foundation. Patton: Department of Economics and Oxford$Man Institute of
Quantitative Finance, University of Oxford, Manor Road, Oxford OX1 3UQ, United
Kingdom. Email: andrew.patton@economics.ox.ac.uk. Timmermann ...
A Timmermann… - Econometric Society 2004 North …, 2004 - ideas.repec.org
... 26(1), pages 82-89, January. Patton, Andrew J., 2011. "Volatility forecast comparison
using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1),
pages 246-256, January. Andrew Patton, 2006. "Volatility ...
A Patton - cass.city.ac.uk
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 during joint appreciations
against the US dollar versus during joint depreciations. Such a dependence structure is ...
[CITATION] A Letter to Prof. F. Max Müller on the Sacred Books of China
AP Happer… - 1880 - American Presbyterian Mission …
A Patton… - 2011 - books.google.com
College guides written by students for students. Connecticut College Students Tell It Like It Is
This insider guide to Connecticut College in New London, CT, features more than 160
pages of in-depth information, including student reviews, rankings across 20 campus life ...
Abstract: We analyze the reliability of voluntary disclosures of financial information, focusing
on widely-employed publicly available hedge fund databases. Tracking changes to
statements of historical performance recorded at different points in time between 2007 and ...
[CITATION] Text Preview
M Neutral… - The Review of Financial Studies, 2009
Create email alert
About Google Scholar - All About Google - My Citations
©2012 Google