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Realized semibetas : disentangling "good" and "bad" downside risks

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of financial economics 144 (2022) 1, pp. 227-246

Persistent link: https://www.econbiz.de/10013407090

Editorial for special issue in honor of Francis X. Diebold

Inoue, Atsushi; Kilian, Lutz; Patton, Andrew J. - In: Journal of econometrics 231 (2022) 2, pp. 327-328

Persistent link: https://www.econbiz.de/10013464782

From zero to hero : realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - In: Journal of econometrics 231 (2022) 2, pp. 348-360

Persistent link: https://www.econbiz.de/10013464800

Better the devil you know : improved forecasts from imperfect models

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 242 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015075194

Testing forecast rationality for measures of central tendency

Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020

Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...

Persistent link: https://www.econbiz.de/10012300563