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Impacts of trades in an error-correction model of quote prices

Engle, Robert F.; Patton, Andrew J. - 2000

Persistent link: https://www.econbiz.de/10001541189

Impacts of trades in an error-correction model of quote prices

Engle, Robert F.; Patton, Andrew J. - In: Journal of financial markets 7 (2004) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001868857

What good is a volatility model?

Engle, Robert F.; Patton, Andrew J. - In: Forecasting volatility in the financial markets, (pp. 47-63). 2007

Persistent link: https://www.econbiz.de/10003872831

Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10011894575

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Modelling asymmetric exchange rate dependence

Patton, Andrew J. - In: International economic review 47 (2006) 2, pp. 527-556

Persistent link: https://www.econbiz.de/10003321487

Volatility forecast comparison using imperfect volatility proxies

Patton, Andrew J. - 2006

Persistent link: https://www.econbiz.de/10003329784

Multivariate leverage effects and realized semicovariance GARCH models

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430

Persistent link: https://www.econbiz.de/10012482780

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

From zero to hero: realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021

This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...

Persistent link: https://www.econbiz.de/10012249756