Browsing by Author "Patton, AJ"
Now showing items 1-9 of 9
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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
(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
(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 ... -
Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
(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
(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) ... -
Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix
(Economic Research Initiatives at Duke (ERID) Working Paper, 2017-09-05) -
The Impact of Hedge Funds on Asset Markets
(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
(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 ...
