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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - 2006
Persistent link: https://www.econbiz.de/10003329784
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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On the dynamics of hedge fund risk exposures
Patton, Andrew J.; Ramadorai, Tarun - 2010
Persistent link: https://www.econbiz.de/10003969312
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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
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Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
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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/10012847416
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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
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What you see is not what you get : the costs of trading market anomalies
Patton, Andrew J.; Weller, Brian M. - In: Journal of financial economics 137 (2020) 2, pp. 515-549
Persistent link: https://www.econbiz.de/10012652828
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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