Andrew Patton

12 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-6985-6216

Duke University

Publications

• Risk Price Variation: The Missing Half of Empirical Asset Pricing — The Review of Financial Studies 2022
• Realized semibetas: Disentangling “good” and “bad” downside risks — Journal of Financial Economics 2022
• Realized Semicovariances — Econometrica 2020
• What you see is not what you get: The costs of trading market anomalies — Journal of Financial Economics 2020 (name-matched, not ORCID-linked)
• Change You Can Believe In? Hedge Fund Data Revisions — The Journal of Finance 2015
• Change You Can Believe In? Hedge Fund Data Revisions: Erratum — The Journal of Finance 2015
• On the High-Frequency Dynamics of Hedge Fund Risk Exposures — The Journal of Finance 2013
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models — Journal of the American Statistical Association 2013
• Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability — The Review of Financial Studies 2012
• Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
• Are “Market Neutral” Hedge Funds Really Market Neutral? — The Review of Financial Studies 2009
• Testing Forecast Optimality Under Unknown Loss — Journal of the American Statistical Association 2007