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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10007761409
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Testing Forecast Optimality Under Unknown Loss
Patton, Andrew J.; Timmermann, Allan - In: Journal of the American Statistical Association : JASA 102 (2007) 480, pp. 1172-1184
Persistent link: https://www.econbiz.de/10007897778
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Common factors in conditional distributions for bivariate time series
Granger, Clive W.J.; Teräsvirta, Timo; Patton, Andrew J. - In: Journal of econometrics 132 (2006) 1, pp. 43-58
Persistent link: https://www.econbiz.de/10007259644
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On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
PATTON, ANDREW J.; RAMADORAI, TARUN - In: The journal of finance : the journal of the American … 68 (2013) 2, pp. 597-635
Persistent link: https://www.econbiz.de/10010089360
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-257
Persistent link: https://www.econbiz.de/10008770540
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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10008877462
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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
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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/10008231952
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Common factors in conditional distributions
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2002
Persistent link: https://www.econbiz.de/10001738076
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Common factors in conditional distributions
Granger, C. W. J. (contributor);  … - 2002 - [Elektronische Ressource]
The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...
Persistent link: https://www.econbiz.de/10001714617