Andrew J. Patton

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
Phone: 
(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: http://econ.duke.edu/~ap172/research.html

Education

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

Oh, DH, and Patton, AJ. "Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads." Journal of Business & Economic Statistics 36, no. 2 (April 3, 2018): 181-195. Full Text Open Access Copy

Patton, AJ, and Weller, B. "What You See Is Not What You Get: The Costs of Trading Market Anomalies." Economic Research Initiatives at Duke (Erid) Working Paper, no. 255 (March 9, 2018). Open Access Copy

Patton, A, and Weller, B. "What You See Is Not What You Get: The Costs of Trading Market Anomalies." Economic Research Initiatives at Duke (Erid) Working Paper, no. 255 (November 30, 2017). Open Access Copy

Bollerslev, T, Patton, AJ, and Quaedvlieg, R. "Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix." Economic Research Initiatives at Duke (Erid) Working Paper, no. 252 (September 5, 2017). Open Access Copy

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.

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

Pages