Andrew Patton

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Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The first is skewness in the distribution of individual stock returns. The second is an asymmetry in the dependence between stocks: stock returns appear to be more highly correlated during market downturns than(More)
In this paper, I derive and implement a nonparametric, arbitrage-free technique for multivariate contingent claim (MVCC) pricing. Using results from the method of copulas, I show that the multivariate risk-neutral density can be written as a product of marginal risk-neutral densities and a risk-neutral dependence function. I then develop a pricing technique(More)
We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity S&P 500 implied distributions are extracted and subsequently transformed to the corresponding risk-adjusted ones. Then, optimal portfolios consisting of a(More)
  • Alexandros KostakisFF, Nikolaos PanigirtzoglouFF, +12 authors Grigory Vilkov
  • 2010
We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity S&P 500 implied distributions are extracted and subsequently transformed to the corresponding risk-adjusted ones. Then, optimal portfolios consisting of a(More)
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheses on the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to the “ground-zero” country as potential drivers of contagion. To(More)
Portfolio Optimization is a common financial econometric application that draws on various types of statistical methods. The goal of portfolio optimization is to determine the ideal allocation of assets to a given set of possible investments. Many optimization models use classical statistical methods, which do not fully account for estimation risk in(More)
We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2005) and allows us to disentangle the portfolio-balance and information effects of order flow on exchange rates. We estimate this model employing an innovative transaction data-set that covers all(More)
Sequential reactions of acyl complexes (~5-C5H5)Re(NO)(PPh,)(COCH,R) (2: R = H (a), CH, (b), C6H5 (c), I-naphthyl (d)) with (CF3S02)20 (0.5 equiv), base (1.0 equiv), and (CF3S02)20 (0.5 equiv) give vinylidene complexes [(q5-C5H5)Re(NO)(PPh,)(=C=CHR)]+CF3S0,(3a-d CF3S03-, 63-95%). Complexes 3b-dCF3S03crystallize as (95 f 2):(5 f 2), >99:1, and >99:1 mixtures(More)