2026 Andrew J. Patton: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	52	1232	1095	741	642	114	17781

Discipline name

D-Index

World Ranking

Current World Ranking

National Ranking

Current National Ranking

Publications

Citations

Economics and Finance

1232

1095

741

642

114

17781

Overview

Andrew J. Patton is affiliated with Duke University in the United States. Their primary research contributions lie within the fields of economics, econometrics, and finance, with a focus on finance and economics subfields.

The scientist's work concentrates on topics such as:

Financial Risk and Volatility Modeling
Monetary Policy and Economic Impact
Financial Markets and Investment Strategies
Complex Systems and Time Series Analysis
Market Dynamics and Volatility
Stochastic processes and financial applications
Stock Market Forecasting Methods

Andrew J. Patton has contributed to multiple scholarly journals, frequently publishing in venues including:

SSRN Electronic Journal
Journal of Econometrics
Finance and Economics Discussion Series
Journal of Business and Economic Statistics
Journal of Financial Economics

Their recent papers include:

What you see is not what you get: The costs of trading market anomalies, 2020, Journal of Financial Economics
Risk Price Variation: The Missing Half of Empirical Asset Pricing, 2022, Review of Financial Studies

Andrew J. Patton has also collaborated extensively with other researchers. Frequent co-authors include:

Tim Bollerslev
Dong Hwan Oh
Rogier Quaedvlieg
Brian Weller
Haozhe Zhang

Their collaborative engagements reflect interests closely related to econometrics and financial econometrics, reinforcing their contributions to the understanding of market dynamics and risk factors in financial contexts.

Best Publications

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE

Andrew J. Patton

2736
Citations
Volatility forecast comparison using imperfect volatility proxies

Andrew J. Patton;Andrew J. Patton

1401
Citations
What good is a volatility model

R.F. Engle;A.J. Patton

1005
Citations
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Andrew J. Patton

935
Citations
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

Andrew J. Patton;Kevin Sheppard

890
Citations
A review of copula models for economic time series

Andrew J. Patton

687
Citations
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Lily Y. Liu;Andrew J. Patton;Kevin Sheppard

667
Citations
Estimation of multivariate models for time series of possibly different lengths

Andrew J. Patton

605
Citations
Exploiting the errors: A simple approach for improved volatility forecasting

Tim Bollerslev;Andrew J. Patton;Andrew J. Patton;Rogier Quaedvlieg

499
Citations
Copula-Based Models for Financial Time Series

Andrew J. Patton

477
Citations
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White

Andrew Patton;Dimitris N. Politis;Halbert White

411
Citations
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion

Andrew J. Patton;Allan Timmermann

406
Citations
Copula Methods for Forecasting Multivariate Time Series

Andrew Patton

385
Citations
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

Dong Hwan Oh;Andrew J. Patton

356
Citations
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

Andrew J. Patton;Allan Timmermann

353
Citations
Modelling Dependence in High Dimensions with Factor Copulas

Dong Hwan Oh;Andrew J. Patton

327
Citations
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability

Andrew J. Patton;Michela Verardo

307
Citations
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Andrew J. Patton;Johanna F. Ziegel;Rui Chen

296
Citations
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System

Colm Kearney;Andrew J. Patton

280
Citations
Evaluating Volatility and Correlation Forecasts

Andrew J. Patton;Kevin Sheppard

279
Citations
On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Andrew Patton

1
Citations
(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation

Andrew Patton

0
Citations

Frequent Co-Authors

Allan Timmermann University of California, San Diego

Tarun Ramadorai Imperial College London

Tim Bollerslev Duke University

Robert F. Engle New York University

Clive W. J. Granger University of California, San Diego

Timo Teräsvirta Aarhus University

Halbert White University of California, San Diego

External Links

Personal website of Andrew J. Patton Google Scholar page

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