Andrew J. Patton

Zelter Family Professor

External Address: 
228F Social Sciences, Box 90097, Durham, NC 27708
Internal Office Address: 
Box 90097, Durham, NC 27708-0097
(919) 660-1817

Professor Patton’s research areas include econometrics, financial economics and forecasting. His work focuses on improved models for risk and dependence between financial assets, methods for forecast evaluation and comparison, and empirical asset pricing. Patton's recent publications include "Simulated Method of Moments Estimation for Copula-Based Multivariate Models" (2013, Journal of the American Statistical Association, joint with Dong Hwan Oh), "On the High Frequency Dynamics of Hedge Fund Risk Exposures" (2013, Journal of Finance, joint with Tarun Ramadorai) and "Copula Methods for Forecasting Multivariate Time Series" (2012, Handbook of Economic Forecasting). His research has been supported by the Leverhulme Trust, the Engineering and Physical Sciences Research Council (UK) and Inquire UK. A complete list of his current and past research is available at:


  • Ph.D., University of California at San Diego 2002
  • M.A., University of California at San Diego 2000

Oh, DH, and Patton, AJ. "Modeling Dependence in High Dimensions With Factor Copulas." Journal of Business & Economic Statistics 35, no. 1 (January 2, 2017): 139-154. Full Text

Bollerslev, T, Patton, AJ, and Wang, W. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions." Journal of Applied Econometrics 31, no. 6 (September 2016): 1005-1025. Open Access Copy

Oh, DH, and Patton, AJ. "High-dimensional copula-based distributions with mixed frequency data." Journal of Econometrics 193, no. 2 (August 2016): 349-366. Full Text

Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Exploiting the errors: A simple approach for improved volatility forecasting." Journal of Econometrics 192, no. 1 (May 2016): 1-18. Full Text

Patton, AJ, and Smith, RJ. "Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models." The Econometrics Journal 19, no. 1 (February 2016): Ci-Cii. Full Text

Liu, LY, Patton, AJ, and Sheppard, K. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes." Journal of Econometrics 187, no. 1 (July 2015): 293-311. Full Text

Patton, AJ, and Sheppard, K. "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility." Review of Economics and Statistics 97, no. 3 (July 2015): 683-697. Full Text

PATTON, ANDREWJ, RAMADORAI, TARUN, and STREATFIELD, MICHAEL. "Change You Can Believe In? Hedge Fund Data Revisions." The Journal of Finance 70, no. 3 (June 2015): 963-999. Full Text

Patton, AJ. "Comment." Journal of Business & Economic Statistics 33, no. 1 (January 2, 2015): 22-24. Full Text

Patton, AJ, and De Lira Salvatierra, I. "Dynamic Copula Models and High Frequency Data." Journal of Empirical Finance 30 (January 1, 2015): 120-135. (Working Paper) Full Text Open Access Copy


Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions." (April 5, 2016). (Working Paper)