Andrew J. Patton

发表

Impacts of Trades in an Error-Correction Model of Quote Prices

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

Estimation of Copula Models for Time Series of Possibly Different Lengths

Andrew J. Patton, Andrew J. Patton, 2001 .

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Andrew J. Patton, Tarun Ramadorai, T. Ramadorai, 2011 .

Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)

Rui Chen, Andrew J. Patton, Johanna Ziegel, 2017 .

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Kevin Sheppard, Andrew J. Patton, Kevin Sheppard, 2012 .

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

Andrew J. Patton, Andrew J. Patton, Dong Hwan Oh, 2013 .

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

Yanqin Fan, Andrew J. Patton, Xiaohong Chen, 2004 .

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Dong Hwan Oh, Andrew J. Patton, Andrew J. Patton, 2015 .