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Evaluating volatility and correlation forecasts
Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009
Persistent link: https://www.econbiz.de/10003834236
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Optimal combinations of realised volatility estimators
Patton, Andrew J.; Sheppard, Kevin - In: International journal of forecasting 25 (2009) 2, pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
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Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.; Sheppard, Kevin - In: The review of economics and statistics 97 (2015) 3, pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
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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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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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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
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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
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Properties of optimal forecasts
Patton, Andrew J.; Timmermann, Allan - 2003
Persistent link: https://www.econbiz.de/10001797250
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Testable implications for forecast optimality
Patton, Andrew J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002814634