Scholars@Duke
Andrew J. Patton

Andrew J. Patton

Zelter Family Distinguished Professor
Economics
andrew.patton@duke.edu
Box 90097, Durham, NC 27708-0097
228F Social Sciences, Box 90097, Durham, NC 27708

Featured Works

Comparing Possibly Misspecified Forecasts

Journal article Journal of Business and Economic Statistics · October 1, 2020 Featured Work Recent work has emphasized the importance of evaluating estimates of a statistical functional (such as a conditional mean, quantile, or distribution) using a loss function that is consistent for the functional of interest, of which there is an infinite num ... Full text Open Access Cite

Realized Semicovariances

Journal article Econometrica: journal of the Econometric Society · 2020 Featured Work We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goe ... Full text Open Access Cite

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Journal article Journal of Econometrics · August 1, 2019 Featured Work Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places ... Full text Cite

Exploiting the errors: A simple approach for improved volatility forecasting

Journal article · 2016 Featured Work We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of th ... Cite

Good volatility, bad volatility: Signed jumps and the persistence of volatility

Journal article Review of Economics and Statistics · July 1, 2015 Featured Work Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility.We showthat fut ... Full text Cite

Change You Can Believe In? Hedge Fund Data Revisions

Journal article Journal of Finance · June 1, 2015 Featured Work We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that histori ... Full text Cite