LSE creators

Number of items: 16.
Finance
  • Verardo, Michela, Patton, Andrew J. (2016). Company news affects the way in which a stock’s returns co-move with those of other firms.
  • Patton, Andrew J., Verardo, Michela (2012). Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25(9), 2789-2839. https://doi.org/10.1093/rfs/hhs073
  • Engle, R. F., Patton, Andrew J. (2001). What good is a volatility model? Quantitative Finance, 1(2), 237 - 245. https://doi.org/10.1088/1469-7688/1/2/305
    • Financial Markets Group
  • Patton, Andrew J., Verardo, Michela (2009). Does beta move with news? Systematic risk and firm-specific information flows. (Financial Markets Group Discussion Papers 630). Financial Markets Group, The London School of Economics and Political Science.
  • Engle, Robert F., Patton, Andrew J. (2007). What good is a volatility model? In Knight, John, Satchell, Stephen (Eds.), Forecasting Volatility in the Financial Markets (pp. 47 - 63). Elsevier (Firm). https://doi.org/10.1016/B978-075066942-9.50004-2
  • Patton, Andrew J. (2004). Are "market neutral" hedge funds really market neutral? (Financial Markets Group Discussion Papers 522). Financial Markets Group, The London School of Economics and Political Science.
  • Chen, Xiaohong, Fan, Yanqin, 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. (Financial Markets Group Discussion Papers 483). Financial Markets Group, The London School of Economics and Political Science.
  • Granger, Clive W. J., Terasvirta, Timo, Patton, Andrew J. (2003). Common factors in conditional distributions for Bivariate time series. (Financial Markets Group Discussion Papers 455). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Patton, Andrew J. (2002). On the out-of-sample importance of skewness and asymetric dependence for asset allocation. (Financial Markets Group Discussion Papers 431). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
    • LSE
  • Patton, Andrew J., Granger, Clive, Terasvirta, Timo (2006). Common factors in conditional distributions for bivariate time series. Journal of Econometrics, 132(1), 43-57. https://doi.org/10.1016/j.jeconom.2005.01.022
  • Patton, Andrew J. (2006). Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics, 21(2), 147-173. https://doi.org/10.1002/jae.865
  • Patton, Andrew J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527-556. https://doi.org/10.1111/j.1468-2354.2006.00387.x
  • Engle, Robert F., Patton, Andrew J. (2004). Impacts of trades in an error-correction model of quote prices. Journal of Financial Markets, 7(1), 1-25. https://doi.org/10.1016/S1386-4181(03)00018-1
  • Patton, Andrew J. (2004). On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics, 2(1), 130-168. https://doi.org/10.1093/jjfinec/nbh006
    • STICERD
  • Patton, Andrew J., Timmermann, Allan (2005). Testable implications of forecast optimality. (EM 485). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • Systemic Risk Centre
  • Menkveld, Albert J., Dreber, Anna, Holzmeister, Felix, Huber, Juergen, Johannesson, Magnus, Kirchler, Michael, Neusüß, Sebastian, Razen, Michael, Weitzel, Utz & Abad-Díaz, David et al (2024). Nonstandard errors. Journal of Finance, 79(3), 2339 - 2390. https://doi.org/10.1111/jofi.13337 picture_as_pdf