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Testing forecast rationality for measures of central tendency

Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020

Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...

Persistent link: https://www.econbiz.de/10012300563

Testing forecast rationality for measures of central tendency

Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020

Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...

Persistent link: https://www.econbiz.de/10012306502

Estimation of copula models for time series of possibly different lenghts

Patton, Andrew J. - 2001

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

On the out-of-sample importance of skewness and asymmetric dependence for asset allocation

Patton, Andrew J. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 130-168

Persistent link: https://www.econbiz.de/10002214229

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

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

Are "market neutral" hedge funds really market neutral?

Patton, Andrew J. - In: The review of financial studies 22 (2009) 7, pp. 2495-2530

Persistent link: https://www.econbiz.de/10003866761

Estimation of multivariate models for time series of possibly different lengths

Patton, Andrew J. - In: Journal of applied econometrics 21 (2006) 2, pp. 147-173

Persistent link: https://www.econbiz.de/10003310036

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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