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On the out-of-sample importance of skewness and asymetric dependence for asset allocation
Patton, Andrew J. - 2003
Persistent link: https://www.econbiz.de/10001777017
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Common factors in conditional distributions for bivariate time series
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2003
Persistent link: https://www.econbiz.de/10001778573
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Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
Patton, Andrew J.; Chen, Xiaohong; Fan, Yanqin - 2004
Persistent link: https://www.econbiz.de/10002034254
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Are "market neutral" hedge funds really market neutral?
Patton, Andrew J. - 2004
Persistent link: https://www.econbiz.de/10002815328