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Andrew Patton

Global rank #781 99%

Institution: Duke University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://econ.duke.edu/~ap172

First Publication: 2006

Most Recent: 2023

RePEc ID: ppa34 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.69 0.50 0.00 10.22
Last 10 Years 0.50 14.41 1.17 0.00 32.34
All Time 0.50 32.17 5.87 0.00 72.56

Publication Statistics

Raw Publications 42
Coauthorship-Adjusted Count 39.38

Publications (42)

Year Article Journal Tier Authors
2023 Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models Journal of Business & Economic Statistics A 4
2023 Testing for Unobserved Heterogeneity via k-means Clustering Journal of Business & Economic Statistics A 2
2022 Equity clusters through the lens of realized semicorrelations Economics Letters C 3
2022 From zero to hero: Realized partial (co)variances Journal of Econometrics A 4
2022 Realized semibetas: Disentangling “good” and “bad” downside risks Journal of Financial Economics A 3
2022 Risk Price Variation: The Missing Half of Empirical Asset Pricing The Review of Financial Studies A 2
2022 Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter Journal of Business & Economic Statistics A 2
2022 A consistent specification test for dynamic quantile models Quantitative Economics B 4
2020 Multivariate leverage effects and realized semicovariance GARCH models Journal of Econometrics A 3
2020 Realized Semicovariances Econometrica S 4
2020 What you see is not what you get: The costs of trading market anomalies Journal of Financial Economics A 2
2020 Comparing Possibly Misspecified Forecasts Journal of Business & Economic Statistics A 1
2019 Dynamic semiparametric models for expected shortfall (and Value-at-Risk) Journal of Econometrics A 3
2018 Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions Journal of Econometrics A 3
2018 Asymptotic inference about predictive accuracy using high frequency data Journal of Econometrics A 2
2018 Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads Journal of Business & Economic Statistics A 2
2017 Modeling Dependence in High Dimensions With Factor Copulas Journal of Business & Economic Statistics A 2
2016 Exploiting the errors: A simple approach for improved volatility forecasting Journal of Econometrics A 3
2016 Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions Journal of Applied Econometrics B 3
2016 High-dimensional copula-based distributions with mixed frequency data Journal of Econometrics A 2
2015 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes Journal of Econometrics A 3
2015 Change You Can Believe In? Hedge Fund Data Revisions Journal of Finance A 3
2015 Change You Can Believe In? Hedge Fund Data Revisions: Erratum Journal of Finance A 3
2015 The Impact of Hedge Funds on Asset Markets Review of Asset Pricing Studies B 3
2015 Comment Journal of Business & Economic Statistics A 1
2015 Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility Review of Economics and Statistics A 2
2013 On the High-Frequency Dynamics of Hedge Fund Risk Exposures Journal of Finance A 2
2013 Simulated Method of Moments Estimation for Copula-Based Multivariate Models Journal of the American Statistical Association B 2
2012 Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability The Review of Financial Studies A 2
2012 Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business & Economic Statistics A 2
2012 Rejoinder Journal of Business & Economic Statistics A 2
2011 Volatility forecast comparison using imperfect volatility proxies Journal of Econometrics A 1
2011 Data-based ranking of realised volatility estimators Journal of Econometrics A 1
2011 Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach Journal of Business & Economic Statistics A 2
2011 Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business & Economic Statistics A 2
2010 Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts Journal of Financial Economics A 2
2010 Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion Journal of Monetary Economics A 2
2009 Optimal combinations of realised volatility estimators International Journal of Forecasting B 2
2009 Are "Market Neutral" Hedge Funds Really Market Neutral? The Review of Financial Studies A 1
2007 Properties of optimal forecasts under asymmetric loss and nonlinearity Journal of Econometrics A 2
2006 Common factors in conditional distributions for bivariate time series Journal of Econometrics A 3
2006 Estimation of multivariate models for time series of possibly different lengths Journal of Applied Econometrics B 1