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Estimation of copula models for time series of possibly different lenghts
Patton, Andrew J. - 2001
Persistent link: https://www.econbiz.de/10001637762
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On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
Patton, Andrew J. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 130-168
Persistent link: https://www.econbiz.de/10002214229
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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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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
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Are "market neutral" hedge funds really market neutral?
Patton, Andrew J. - In: The review of financial studies 22 (2009) 7, pp. 2495-2530
Persistent link: https://www.econbiz.de/10003866761
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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
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Comparing possibly misspecified forecasts
Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809
Persistent link: https://www.econbiz.de/10012313371
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Modelling time-varying exchange rate dependence using the conditional copula
Patton, Andrew J. - 2001
Persistent link: https://www.econbiz.de/10001591106
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Properties of optimal forecasts
Patton, Andrew J.; Timmermann, Allan - 2003
Persistent link: https://www.econbiz.de/10001797250