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Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
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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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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - In: Journal of financial markets 7 (2004) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
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Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - 2000
Persistent link: https://www.econbiz.de/10001541189
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Daily house price indexes : construction, modeling, and longer-run predictions
Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2013
Persistent link: https://www.econbiz.de/10010231930
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Daily house price indices : construction, modeling, and longer-run predictions
Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2015 - 2. version
Persistent link: https://www.econbiz.de/10010464688
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Modelling asymmetric exchange rate dependence
Patton, Andrew J. - In: International economic review 47 (2006) 2, pp. 527-556
Persistent link: https://www.econbiz.de/10003321487
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - 2006
Persistent link: https://www.econbiz.de/10003329784