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Estimation of multivariate models for time series of possibly different lengths

Patton, Andrew J. - In: Journal of applied econometrics 21 (2006) 2, pp. 147-173

Persistent link: https://www.econbiz.de/10003310036

Copula-based models for financial time series

Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009

Persistent link: https://www.econbiz.de/10003834225

Common factors in conditional distributions for bivariate time series

Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - In: Journal of econometrics 132 (2006) 1, pp. 43-57

Persistent link: https://www.econbiz.de/10003320239

On the dynamics of hedge fund risk exposures

Patton, Andrew J.; Ramadorai, Tarun - 2010

Persistent link: https://www.econbiz.de/10003969312

On the high-frequency dynamics of hedge fund risk exposures

Patton, Andrew J.; Ramadorai, Tarun - In: The journal of finance : the journal of the American … 68 (2013) 2, pp. 597-635

Persistent link: https://www.econbiz.de/10009730850

Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10010231970

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

Copula methods for forecasting multivariate time series

Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10011507033

Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes

Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311

Persistent link: https://www.econbiz.de/10011499439

Common factors in conditional distributions

Granger, C. W. J. (contributor); … - 2002 - [Elektronische Ressource]

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

Persistent link: https://www.econbiz.de/10001714617