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Copulas for high dimensions : models, estimation, inference, and applications

Oh, Dong Hwan - 2014

Persistent link: https://www.econbiz.de/10012501880

Estimation of copula models for time series of possibly different lenghts

Patton, Andrew J. - 2001

Persistent link: https://www.econbiz.de/10001637762

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

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

Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - 2013

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

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

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

Exploiting the errors : a simple approach for improved volatility forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 192 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011610646

Comparing predictive accuracy in the presence of a loss function shape parameter

Barendse, Sander; Patton, Andrew J. - 2019

Persistent link: https://www.econbiz.de/10012222224

A consistent specification test for dynamic quantile models

Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 125-151

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is...

Persistent link: https://www.econbiz.de/10012807744