Andrew J. Patton
Zelter Family Professor
Patton’s research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, and the analysis of hedge funds and mutual funds. His research has appeared in a variety of academic journals, including the Journal of Finance, Journal of Econometrics, Journal of Financial Economics, Journal of the American Statistical Association, Review of Financial Studies, and the Journal of Business and Economic Statistics. He has given hundreds of invited seminars around the world, at universities, central banks, and other institutions. A complete list of his current and past research is available at: http://econ.duke.edu/~ap172/research.html
- Ph.D., University of California at San Diego 2002
- M.A., University of California at San Diego 2000
Patton, Andrew J., and Brian Weller. “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 8, 2019). Open Access Copy
Patton, Andrew J., and Brian M. Weller. “What You See Is Not What You Get: The Costs of Trading Market Anomalies,” October 31, 2017. Open Access Copy
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “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, D. H., and A. J. Patton. “Modeling Dependence in High Dimensions With Factor Copulas.” Journal of Business and Economic Statistics 35, no. 1 (January 2, 2017): 139–54. https://doi.org/10.1080/07350015.2015.1062384. Full Text
Bollerslev, Tim, Andrew J. Patton, and Wenjing Wang. “Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions.” Journal of Applied Econometrics 31, no. 6 (September 2016): 1005–25.
Oh, D. H., and A. J. Patton. “High-dimensional copula-based distributions with mixed frequency data.” Journal of Econometrics 193, no. 2 (August 1, 2016): 349–66. https://doi.org/10.1016/j.jeconom.2016.04.011. Full Text
Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting.” Journal of Econometrics 192, no. 1 (May 1, 2016): 1–18. https://doi.org/10.1016/j.jeconom.2015.10.007. Full Text
Patton, A. J., and R. J. Smith. “Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models.” Econometrics Journal 19, no. 1 (February 1, 2016): Ci–Cii. https://doi.org/10.1111/ectj.12064. Full Text
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting” 192, no. 1 (2016): 1–18.
Liu, L. Y., A. J. Patton, and K. Sheppard. “Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes.” Journal of Econometrics 187, no. 1 (July 1, 2015): 293–311. https://doi.org/10.1016/j.jeconom.2015.02.008. Full Text