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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10007761409
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Common factors in conditional distributions for bivariate time series
Granger, Clive W.J.; Teräsvirta, Timo; Patton, Andrew J. - In: Journal of econometrics 132 (2006) 1, pp. 43-58
Persistent link: https://www.econbiz.de/10007259644
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-257
Persistent link: https://www.econbiz.de/10008770540
Cover Image
Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10008877462
Cover Image
Common factors in conditional distributions for bivariate time series
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - In: Journal of econometrics 132 (2006) 1, pp. 43-57
Persistent link: https://www.econbiz.de/10003320239
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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Asymptotic inference about predictive accuracy using high frequency data
Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
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High-dimensional copula-based distributions with mixed frequency data
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10011704954