Andrew J. Patton
Zelter Family Distinguished 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
- B.Bus., University of Technology Sydney (Australia) 1998
Patton, A. J., J. F. Ziegel, and R. Chen. “Dynamic semiparametric models for expected shortfall (and Value-at-Risk).” Journal of Econometrics 211, no. 2 (August 1, 2019): 388–413. https://doi.org/10.1016/j.jeconom.2018.10.008. Full Text
Patton, Andrew J., and Brian Weller. “Risk Price Variation: The Missing Half of Empirical Asset Pricing.” Economic Research Initiatives at Duke (Erid) Working Paper, no. 274 (May 24, 2019). Open Access Copy
Patton, Andrew J., and Brian Weller. “What You See Is Not What You Get: The Costs of Trading Market Anomalies,” May 1, 2019. Open Access Copy
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Multivariate Leverage Effects and Realized Semicovariance GARCH Models,” April 16, 2018. Open Access Copy
Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions” 207, no. 1 (2018): 71–91.
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.