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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

Copula-based models for financial time series

Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009

Persistent link: https://www.econbiz.de/10003834225

Comparing possibly misspecified forecasts

Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809

Persistent link: https://www.econbiz.de/10012313371

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Persistent link: https://www.econbiz.de/10003861657

Properties of optimal forecasts

Patton, Andrew J.; Timmermann, Allan - 2003

Persistent link: https://www.econbiz.de/10001797250

Testable implications for forecast optimality

Patton, Andrew J. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002814634

Predictability of output growth and inflation : a multi-horizon survey approach

Patton, Andrew J.; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 397-410

Persistent link: https://www.econbiz.de/10009232539

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

The impact of hedge funds on asset markets

Kruttli, Mathias; Patton, Andrew J.; Ramadorai, Tarun - 2013

Persistent link: https://www.econbiz.de/10010231955

Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10010231970

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