Browsing by Author "Patton, AJ"
Now showing items 1-14 of 14
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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
Li, J; Patton, AJ (Economic Research Initiatives at Duke (ERID) Working Paper, 2013-07-06)This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting ... -
Comparing Possibly Misspecified Forecasts
Patton, AJ (Journal of Business and Economic Statistics, 2019-01-01)© 2019, © 2019 American Statistical Association. 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 ... -
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
Barendse, S; Patton, AJ (Journal of Business and Economic Statistics, 2021-01-01)We develop tests for out-of-sample forecast comparisons based on loss functions that contain shape parameters. Examples include comparisons using average utility across a range of values for the level of risk aversion, ... -
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
Bollerslev, T; Patton, AJ; Wang, W (Economic Research Initiatives at Duke (ERID), 2013-06-11)We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method ... -
Dynamic copula models and high frequency data
Patton, AJ; De Lira Salvatierra, I (Journal of Empirical Finance, 2015-01-01)© 2014 Elsevier B.V.This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS) ... -
From zero to hero: Realized partial (co)variances
Bollerslev, T; Medeiros, MC; Patton, AJ; Quaedvlieg, R (Journal of Econometrics, 2021-01-01)This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized ... -
Multivariate Leverage Effects and Realized Semicovariance GARCH Models
Bollerslev, T; Patton, AJ; Quaedvlieg, R (2018-04-16) -
Realized semibetas: Disentangling “good” and “bad” downside risks
Bollerslev, T; Patton, AJ; Quaedvlieg, R (Journal of Financial Economics, 2021-01-01)We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market ... -
Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix
Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R (Economic Research Initiatives at Duke (ERID) Working Paper, 2017-09-05) -
Risk Price Variation: The Missing Half of Empirical Asset Pricing
Patton, AJ; Weller, BM (Economic Research Initiatives at Duke (ERID) Working Paper, 2019-05-24) -
Testing for Unobserved Heterogeneity via K-Means Clustering
Patton, AJ; Weller, BM (2019-07-15) -
The Impact of Hedge Funds on Asset Markets
Kruttli, MS; Patton, AJ; Ramadorai, T (2015-08-08)This paper provides evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, based on the cross-sectional average first order autocorrelation ... -
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
Oh, DH; Patton, AJ (Economic Research Initiatives at Duke (ERID) Working Paper, 2013-05-23)This paper proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ... -
What You See is Not What You Get: The Costs of Trading Market Anomalies
Patton, AJ; Weller, BM (2017-10-27)