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Patton, Andrew J.
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Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-239
Persistent link: https://www.econbiz.de/10008892144
Saved in:
2
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10008231952
Saved in:
3
THEORETICAL AND EMPIRICAL PROPERTIES OF DYNAMIC CONDITIONAL CORRELATION MULTIVARIATE GARCH WORKING PAPER
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10006976818
Saved in:
4
Multivariate high‐frequency‐based volatility (HEAVY) models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 907-934
Persistent link: https://www.econbiz.de/10010022053
Saved in:
5
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
Kearney, Colm
;
Patton, Andrew J.
- In:
The financial review : the official publication of the …
35
(
2000
)
1
,
pp. 29-48
Persistent link: https://www.econbiz.de/10005960440
Saved in:
6
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE
Patton, Andrew J.
- In:
International economic review
47
(
2006
)
2
,
pp. 527-556
Persistent link: https://www.econbiz.de/10006108072
Saved in:
7
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
Patton, Andrew J.
;
Timmermann, Allan
- In:
Journal of financial economics
98
(
2010
)
3
,
pp. 605-626
Persistent link: https://www.econbiz.de/10008706032
Saved in:
8
Simulated Method of Moments Estimation for Copula-Based Multivariate Models
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of the American Statistical Association : JASA
108
(
2013
)
502
,
pp. 689-700
Persistent link: https://www.econbiz.de/10010141623
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9
Are "Market Neutral" Hedge Funds Really Market Neutral?
Patton, Andrew J.
- In:
The review of financial studies
22
(
2013
)
7
,
pp. 2495-2494
Persistent link: https://www.econbiz.de/10010114142
Saved in:
10
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
Patton, Andrew J.
;
Verardo, Michela
- In:
The review of financial studies
25
(
2013
)
9
,
pp. 2789-2788
Persistent link: https://www.econbiz.de/10010114251
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