Risk Price Variation: The Missing Half of Empirical Asset Pricing

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2019-05-24

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Risk Premia, Market Segmentation, Clustering, Expectation Maximization

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https://hdl.handle.net/10161/19068

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Patton

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, high frequency financial data, 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 Financial Economics, Review of Financial Studies, Econometrica, Journal of Econometrics, and the Journal of the American Statistical Association. 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

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