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Publications by Andrew J. Patton

Copulas in Econometrics

Annual Review of Economics

English

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Review of Economics and Statistics

Social Sciences

English

High-Dimensional Copula-Based Distributions With Mixed Frequency Data

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

Journal of Business and Economic Statistics

Social Sciences

English

Modelling Dependence in High Dimensions With Factor Copulas

Finance and Economics Discussion Series

English

High-Dimensional Copula-Based Distributions With Mixed Frequency Data

SSRN Electronic Journal

English

Volatility Forecast Comparison Using Imperfect Volatility Proxies

SSRN Electronic Journal

English

Does Beta Move With News? Systematic Risk and Firm-Specific Information Flows

SSRN Electronic Journal

English