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"Patton, Andrew J."

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Number of items: 14.

Article

Patton, Andrew J. and Verardo, Michela (2012) Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25 (9). pp. 2789-2839. ISSN 0893-9454

Patton, Andrew J., Granger, Clive and Terasvirta, Timo (2006) Common factors in conditional distributions for bivariate time series. Journal of Econometrics, 132 (1). pp. 43-57. ISSN 0304-4076

Patton, Andrew J. (2006) Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics, 21 (2). pp. 147-173. ISSN 0883-7252

Patton, Andrew J. (2006) Modelling asymmetric exchange rate dependence. International Economic Review, 47 (2). pp. 527-556. ISSN 0020-6598

Engle, Robert F. and Patton, Andrew J. (2004) Impacts of trades in an error-correction model of quote prices. Journal of Financial Markets, 7 (1). pp. 1-25. ISSN 1386-4181

Patton, Andrew J. (2004) On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics, 2 (1). pp. 130-168. ISSN 1479-8409

Engle, R. F. and Patton, Andrew J. (2001) What good is a volatility model? Quantitative Finance, 1 (2). pp. 237-245. ISSN 1469-7688

Book Section

Engle, Robert F. and Patton, Andrew J. (2007) What good is a volatility model? In: Knight, John and Satchell, Stephen, (eds.) Forecasting Volatility in the Financial Markets. Elsevier, pp. 47-63. ISBN 9780750669429

Monograph

Patton, Andrew J. and Verardo, Michela (2009) Does beta move with news?: Systematic risk and firm-specific information flows. Discussion paper, 630. Financial Markets Group, London School of Economics and Political Science, London, UK.

Patton, Andrew J. and Timmermann, Allan (2005) Testable implications of forecast optimality. EM, 485. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Patton, Andrew J. (2004) Are "market neutral" hedge funds really market neutral? Discussion paper: IAM Series No 005, 522. Financial Markets Group, London School of Economics and Political Science, London, UK.

Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Discussion paper: IAM Series No 003, 483. Financial Markets Group, London School of Economics and Political Science, London, UK.

Granger, Clive W. J., Terasvirta, Timo and Patton, Andrew J. (2003) Common factors in conditional distributions for Bivariate time series. Discussion paper, 455. Financial Markets Group, London School of Economics and Political Science, London, UK.

Patton, Andrew J. (2002) On the out-of-sample importance of skewness and asymetric dependence for asset allocation. Discussion paper: IAM Series No 001, 431. Financial Markets Group, London School of Economics and Political Science, London, UK.

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