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- Andrew Patton
- 2007

The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable outcomes in standard methods for comparing conditional variance forecasts. We motivate our study with analytical results on the distortions caused by some widely-used loss functions, when used with standard volatility proxies such as squared returns, the intra-daily… (More)

- Andrew Patton
- 2004

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)

- Joshua V. Rosenberg, Robert Jarrow, Allan Malz, J. B. Mahoney, Andrew Patton
- 1999

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)

I enjoyed reading yet another paper by Patton and Timmermann (PT hereinafter) and feel that it has broken new ground in testing the rationality of a sequence of multi-horizon fixed target forecasts. Rationality tests are not new in the forecasting literature, but the idea of testing the monotonicity properties of second moment bounds across several horizons… (More)

- Alexandros Kostakis, Nikolaos Panigirtzoglou, +12 authors Grigory Vilkov
- 2008

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)

- Amil Dasgupta, Roberto León-González, +6 authors Jorge Pérez-Rodríguez
- 2010

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)

- Francis Breedon, Paolo Vitale, +6 authors Andrew Patton
- 2005

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)

- David R. Senn, A Wong, Andrew Patton, Marino Marsi, Charles E. Strouse, John A Gladysz
- Journal of the American Chemical Society
- 1988

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)