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) 660-1849

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

Education

  • 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

Pages

Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions,” April 5, 2016.