Andrew J. Patton | Scholars@Duke

Andrew J. Patton
Zelter Family Distinguished Professor

Patton’s research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, and the analysis of hedge funds and mutual funds. His research has appeared in a variety of academic journals, including the Journal of Finance, Journal of Econometrics, Journal of Financial Economics, Journal of the American Statistical Association, Review of Financial Studies, and the Journal of Business and Economic Statistics. He has given hundreds of invited seminars around the world, at universities, central banks, and other institutions. A complete list of his current and past research is available at: http://econ.duke.edu/~ap172/research.html

Current Appointments & Affiliations

Zelter Family Distinguished Professor, Economics, Trinity College of Arts & Sciences 2016
Professor in the Department of Economics, Economics, Trinity College of Arts & Sciences 2013

Contact Information

228F Social Sciences, Box 90097, Durham, NC 27708
Box 90097, Durham, NC 27708-0097
andrew.patton@duke.edu (919) 660-1849
Personal Website

Background
Education, Training, & Certifications
- Ph.D., University of California - San Diego 2002
- M.A., University of California - San Diego 2000
- B.Bus., University of Technology Sydney (Australia) 1998
Previous Appointments & Affiliations
- Associate Professor of Economics, Economics, Trinity College of Arts & Sciences 2009 - 2013
Recognition
In the News
- MAY 5, 2016
  
  Duke Awards Distinguished Professorships, Inducts New Bass Society Members
Research
External Relationships
- Singapore Management University
- Society for Financial Econometrics
Publications & Artistic Works
Selected Publications
- Academic Articles
  - Bollerslev, T., M. C. Medeiros, A. J. Patton, and R. Quaedvlieg. “From zero to hero: Realized partial (co)variances.” Journal of Econometrics 231, no. 2 (December 1, 2022): 348–60. https://doi.org/10.1016/j.jeconom.2021.04.013.
    Full Text Open Access Copy
  - Menkveld, Albert J., Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, et al. “Non-Standard Errors,” November 16, 2022.
  - Patton, A. J., and B. M. Weller. “Risk Price Variation: The Missing Half of Empirical Asset Pricing.” Review of Financial Studies 35, no. 11 (November 1, 2022): 5127–84. https://doi.org/10.1093/rfs/hhac012.
    Full Text Open Access Copy
  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Realized semibetas: Disentangling “good” and “bad” downside risks.” Journal of Financial Economics 144, no. 1 (April 1, 2022): 227–46. https://doi.org/10.1016/j.jfineco.2021.05.056.
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  - Barendse, S., and A. J. Patton. “Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter.” Journal of Business and Economic Statistics 40, no. 3 (January 1, 2022): 1057–69. https://doi.org/10.1080/07350015.2021.1896527.
    Full Text Open Access Copy
  - Patton, A. J., and B. M. Weller. “Testing for Unobserved Heterogeneity via k-means Clustering.” Journal of Business and Economic Statistics, January 1, 2022. https://doi.org/10.1080/07350015.2022.2061983.
    Full Text Open Access Copy
  - Patton, A. J. “Comparing Possibly Misspecified Forecasts.” Journal of Business and Economic Statistics 38, no. 4 (October 1, 2020): 796–809. https://doi.org/10.1080/07350015.2019.1585256.
    Full Text Open Access Copy
  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Multivariate leverage effects and realized semicovariance GARCH models.” Journal of Econometrics 217, no. 2 (August 1, 2020): 411–30. https://doi.org/10.1016/j.jeconom.2019.12.011.
    Full Text Open Access Copy
  - Bollerslev, T., J. Li, A. J. Patton, and R. Quaedvlieg. “Realized Semicovariances.” Econometrica 88, no. 4 (July 1, 2020): 1515–51. https://doi.org/10.3982/ECTA17056.
    Full Text Open Access Copy
  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Realized Semibetas: Signs of Things to Come,” February 20, 2020.
    Open Access Copy
  - Bollerslev, Tim, Jia Li, Andrew Patton, and Rogier Quaedvlieg. “Realized Semicovariances.” Econometrica: Journal of the Econometric Society 88, no. 4 (2020): 1515–51. https://doi.org/10.3982/ECTA17056.
    Full Text Open Access Copy
  - Dimitriadis, Timo, Andrew J. Patton, and Patrick Schmidt. “Testing Forecast Rationality for Measures of Central Tendency,” October 8, 2019.
    Open Access Copy
  - Patton, A. J., J. F. Ziegel, and R. Chen. “Dynamic semiparametric models for expected shortfall (and Value-at-Risk).” Journal of Econometrics 211, no. 2 (August 1, 2019): 388–413. https://doi.org/10.1016/j.jeconom.2018.10.008.
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  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions” 207, no. 1 (2018): 71–91.
  - Patton, Andrew J., and Brian M. Weller. “What You See Is Not What You Get: The Costs of Trading Market Anomalies,” October 31, 2017.
    Open Access Copy
  - Oh, D. H., and A. J. Patton. “Modeling Dependence in High Dimensions With Factor Copulas.” Journal of Business and Economic Statistics 35, no. 1 (January 2, 2017): 139–54. https://doi.org/10.1080/07350015.2015.1062384.
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  - Oh, D. H., and A. J. Patton. “High-dimensional copula-based distributions with mixed frequency data.” Journal of Econometrics 193, no. 2 (August 1, 2016): 349–66. https://doi.org/10.1016/j.jeconom.2016.04.011.
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  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting.” Journal of Econometrics 192, no. 1 (May 1, 2016): 1–18. https://doi.org/10.1016/j.jeconom.2015.10.007.
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  - Patton, A. J., and R. J. Smith. “Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models.” Econometrics Journal 19, no. 1 (February 1, 2016): Ci–Cii. https://doi.org/10.1111/ectj.12064.
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  - Bollerslev, Tim, Andrew J. Patton, and Rogier Quaedvlieg. “Exploiting the errors: A simple approach for improved volatility forecasting” 192, no. 1 (2016): 1–18.
  - Liu, L. Y., A. J. Patton, and K. Sheppard. “Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes.” Journal of Econometrics 187, no. 1 (July 1, 2015): 293–311. https://doi.org/10.1016/j.jeconom.2015.02.008.
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  - Patton, A. J., and K. Sheppard. “Good volatility, bad volatility: Signed jumps and the persistence of volatility.” Review of Economics and Statistics 97, no. 3 (July 1, 2015): 683–97. https://doi.org/10.1162/REST_a_00503.
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  - Patton, A. J., T. Ramadorai, and M. Streatfield. “Change You Can Believe In? Hedge Fund Data Revisions.” Journal of Finance 70, no. 3 (June 1, 2015): 963–99. https://doi.org/10.1111/jofi.12240.
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  - Patton, A. J. “Comment.” Journal of Business and Economic Statistics 33, no. 1 (January 1, 2015): 22–24. https://doi.org/10.1080/07350015.2014.977445.
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  - Patton, A. J., and I. De Lira Salvatierra. “Dynamic Copula Models and High Frequency Data.” Journal of Empirical Finance 30 (January 1, 2015): 120–35. https://doi.org/10.1016/j.jempfin.2014.11.008.
    Full Text Open Access Copy
  - Fan, Y., and A. J. Patton. “Copulas in econometrics.” Annual Review of Economics 6 (January 1, 2014): 179–200. https://doi.org/10.1146/annurev-economics-080213-041221.
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  - Oh, D. H., and A. J. Patton. “Simulated method of moments estimation for copula-based multivariate models.” Journal of the American Statistical Association 108, no. 502 (December 16, 2013): 689–700. https://doi.org/10.1080/01621459.2013.785952.
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  - Bollerslev, T., A. J. Patton, and W. Wenjing. “Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.” Economic Research Initiatives at Duke (Erid), no. 166 (June 11, 2013).
  - Oh, D. H., and A. J. Patton. “Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads.” Economic Research Initiatives at Duke (Erid) Working Paper, no. 167 (May 23, 2013).
    Open Access Copy
  - Patton, A. J., and T. Ramadorai. “On the high-frequency dynamics of hedge fund risk exposures.” Journal of Finance 68, no. 2 (April 1, 2013): 597–635. https://doi.org/10.1111/jofi.12008.
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  - Patton, A. “Copula methods for forecasting multivariate time series” 2 (January 1, 2013): 899–960. https://doi.org/10.1016/B978-0-444-62731-5.00016-6.
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  - Patton, A. J. “A review of copula models for economic time series.” Journal of Multivariate Analysis 110 (September 1, 2012): 4–18. https://doi.org/10.1016/j.jmva.2012.02.021.
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  - Patton, A. J., and M. Verardo. “Does beta move with news? Firm-specific information flows and learning about profitability.” Review of Financial Studies 25, no. 9 (September 1, 2012): 2789–2839. https://doi.org/10.1093/rfs/hhs073.
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  - Patton, A. J., and A. Timmermann. “Rejoinder.” Journal of Business and Economic Statistics 30, no. 1 (January 1, 2012): 36–40. https://doi.org/10.1080/07350015.2012.634354.
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  - Patton, A. J., and A. Timmermann. “Forecast rationality tests based on multi-horizon bounds.” Journal of Business and Economic Statistics 30, no. 1 (January 1, 2012): 1–17. https://doi.org/10.1080/07350015.2012.634337.
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  - Patton, A. J., and A. Timmermann vy. “Predictability of output growth and inflation: A multi-horizon survey approach.” Journal of Business and Economic Statistics 29, no. 3 (July 1, 2011): 397–410. https://doi.org/10.1198/jbes.2010.08347.
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  - Patton, A. J. “Data-based ranking of realised volatility estimators.” Journal of Econometrics 161, no. 2 (April 1, 2011): 284–303. https://doi.org/10.1016/j.jeconom.2010.12.010.
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  - Patton, A. J. “Volatility forecast comparison using imperfect volatility proxies.” Journal of Econometrics 160, no. 1 (January 1, 2011): 246–56. https://doi.org/10.1016/j.jeconom.2010.03.034.
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  - Patton, A. J., and A. Timmermann. “Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts.” Journal of Financial Economics 98, no. 3 (December 1, 2010): 605–25. https://doi.org/10.1016/j.jfineco.2010.06.006.
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  - Patton, A. J., and A. Timmermann. “Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion.” Journal of Monetary Economics 57, no. 7 (October 1, 2010): 803–20. https://doi.org/10.1016/j.jmoneco.2010.07.001.
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  - Patton, Andrew J., and Tarun Ramadorai. “On the Dynamics of Hedge Fund Risk Exposures,” April 2, 2010.
  - Patton, Andrew J., and Tarun Ramadorai. “On the Dynamics of Hedge Fund Risk Exposures,” April 2010.
  - Patton, A. J. “Are "market neutral" hedge funds really market neutral?” Review of Financial Studies 22, no. 7 (2009): 2295–2330. https://doi.org/10.1093/rfs/hhn113.
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  - Patton, A. J., and K. Sheppard. “Optimal combinations of realised volatility estimators.” International Journal of Forecasting 25, no. 2 (2009): 218–38. https://doi.org/10.1016/j.ijforecast.2009.01.011.
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  - Patton, A., D. N. Politis, and H. White. “Correction to automatic block-length selection for the dependent bootstrap by D. Politis and H. White.” Econometric Reviews 28, no. 4 (2009): 372–75. https://doi.org/10.1080/07474930802459016.
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  - Patton, Andrew J., and Allan G. Timmermann. “The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast.” Creates Research Paper, no. 2008 (September 19, 2008).
  - Engle, R. F., and A. J. Patton. “What good is a volatility model?” Forecasting Volatility in the Financial Markets, 2007, 47–63. https://doi.org/10.1016/B978-075066942-9.50004-2.
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  - Patton, A. J., and A. Timmermann. “Testing forecast optimality under unknown loss.” Journal of the American Statistical Association 102, no. 480 (2007): 1172–84. https://doi.org/10.1198/016214506000001176.
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  - Patton, A. J., and A. Timmermann. “Properties of optimal forecasts under asymmetric loss and nonlinearity.” Journal of Econometrics 140, no. 2 (2007): 884–918. https://doi.org/10.1016/j.jeconom.2006.07.018.
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  - Granger, C. W. J., T. Teräsvirta, and A. J. Patton. “Common factors in conditional distributions for bivariate time series.” Journal of Econometrics 132, no. 1 (2006): 43–57. https://doi.org/10.1016/j.jeconom.2005.01.022.
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  - Patton, A. J. “Estimation of multivariate models for time series of possibly different lengths.” Journal of Applied Econometrics 21, no. 2 (2006): 147–73. https://doi.org/10.1002/jae.865.
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  - Patton, A. J. “Modelling asymmetric exchange rate dependence.” International Economic Review 47, no. 2 (2006): 527–56. https://doi.org/10.1111/j.1468-2354.2006.00387.x.
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  - Patton, Andrew J., and Allan G. Timmermann. “Testable Implications of Forecast Optimality,” January 2005.
  - Patton, Andrew J., and Allan G. Timmermann. “Testable Implications of Forecast Optimality,” November 2004.
  - Chen, Xiaohong, Yanqin Fan, and Andrew J. Patton. “Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates,” January 2004.
  - Engle, R. F., and A. J. Patton. “Impacts of trades in an error-correction model of quote prices.” Journal of Financial Markets 7, no. 1 (2004): 1–25. https://doi.org/10.1016/S1386-4181(03)00018-1.
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  - Patton, Andrew J., and Allan G. Timmermann. “Properties of Optimal Forecasts,” August 2003.
  - Patton, Andrew J. “Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula,” June 2001.
  - Kearney, Colm, and Andrew J. Patton. “Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System,” n.d.
  - Patton, A. J., and B. M. Weller. “What You See Is Not What You Get: The Costs of Trading Market Anomalies,” n.d.
    Open Access Copy Link to Item
  - Patton, Andrew J. “On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation.” Journal of Financial Econometrics 2, no. 1 (n.d.): 130–68.
  - Patton, Andrew J., and Allan G. Timmermann. “Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts,” n.d.
  - Patton, Andrew, and B. M. Weller. “Risk Prices Vary in the Cross Section,” n.d.
    Link to Item
- Other Articles
  - Bollerslev, T., A. J. Patton, and R. Quaedvlieg. “Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions,” April 5, 2016.
- Scholarly Editions
  - Li, J., and A. J. Patton. “Asymptotic Inference about Predictive Accuracy Using High Frequency Data,” July 6, 2013.
    Open Access Copy
Teaching & Mentoring
Recent Courses

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Education, Training, & Certifications

Previous Appointments & Affiliations

In the News

External Relationships

Selected Publications

Academic Articles

Other Articles

Scholarly Editions

Recent Courses