Andrew J. Patton

12.5k total citations · 5 hit papers
99 papers, 7.0k citations indexed

About

Andrew J. Patton is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Andrew J. Patton has authored 99 papers receiving a total of 7.0k indexed citations (citations by other indexed papers that have themselves been cited), including 78 papers in Finance, 60 papers in Economics and Econometrics and 41 papers in General Economics, Econometrics and Finance. Recurrent topics in Andrew J. Patton's work include Financial Risk and Volatility Modeling (61 papers), Monetary Policy and Economic Impact (41 papers) and Market Dynamics and Volatility (39 papers). Andrew J. Patton is often cited by papers focused on Financial Risk and Volatility Modeling (61 papers), Monetary Policy and Economic Impact (41 papers) and Market Dynamics and Volatility (39 papers). Andrew J. Patton collaborates with scholars based in United States, United Kingdom and Netherlands. Andrew J. Patton's co-authors include Kevin Sheppard, Allan Timmermann, Dong Hwan Oh, Rogier Quaedvlieg, Lily Y. Liu, Tarun Ramadorai, Tim Bollerslev, Michela Verardo, Halbert White and Dimitris N. Politis and has published in prestigious journals such as The Journal of Finance, Journal of the American Statistical Association and Journal of Financial Economics.

In The Last Decade

Andrew J. Patton

92 papers receiving 6.7k citations

Hit Papers

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* 2006 2026 2012 2019 2006 2015 2015 2012 2015 400 800 1.2k
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
    2006 1.4k citations Andrew J. Patton profile →
  2. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
    2015 519 citations Andrew J. Patton, Kevin Sheppard profile →
  3. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
    2015 394 citations Andrew J. Patton, Kevin Sheppard et al. Journal of Econometrics profile →
  4. A review of copula models for economic time series
    2012 378 citations Andrew J. Patton profile →
  5. Exploiting the errors: A simple approach for improved volatility forecasting
    2015 305 citations Tim Bollerslev, Andrew J. Patton et al. Journal of Econometrics profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Andrew J. Patton United States 39 5.2k 5.0k 2.2k 739 506 99 7.0k
Peter Christoffersen Canada 41 6.7k 1.3× 4.6k 0.9× 2.1k 0.9× 753 1.0× 334 0.7× 147 7.8k
Dick van Dijk Netherlands 39 3.4k 0.7× 4.0k 0.8× 2.7k 1.3× 830 1.1× 397 0.8× 172 6.1k
Asger Lunde Denmark 27 4.7k 0.9× 3.9k 0.8× 1.5k 0.7× 542 0.7× 225 0.4× 70 5.5k
Siem Jan Koopman Netherlands 46 4.0k 0.8× 3.9k 0.8× 2.3k 1.0× 963 1.3× 417 0.8× 243 7.4k
Richard T. Baillie United States 40 8.0k 1.5× 8.4k 1.7× 5.1k 2.3× 697 0.9× 384 0.8× 103 10.7k
Tim Bollerslev United States 32 8.3k 1.6× 6.8k 1.4× 3.4k 1.6× 608 0.8× 706 1.4× 74 9.6k
Stephen J. Taylor United Kingdom 35 4.7k 0.9× 4.2k 0.8× 1.8k 0.8× 791 1.1× 271 0.5× 97 5.9k
Éric Ghysels United States 51 8.6k 1.6× 8.3k 1.7× 4.4k 2.0× 1.4k 1.9× 1.1k 2.1× 240 12.4k
Robert B. Litterman United States 24 3.6k 0.7× 3.5k 0.7× 3.1k 1.4× 1.5k 2.0× 420 0.8× 47 6.5k
Kenneth F. Kroner United States 13 7.1k 1.4× 7.7k 1.5× 3.6k 1.6× 445 0.6× 449 0.9× 19 9.4k

Countries citing papers authored by Andrew J. Patton

Since Specialization
Citations

This map shows the geographic impact of Andrew J. Patton's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Andrew J. Patton with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Andrew J. Patton more than expected).

Fields of papers citing papers by Andrew J. Patton

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Andrew J. Patton. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Andrew J. Patton. The network helps show where Andrew J. Patton may publish in the future.

Co-authorship network of co-authors of Andrew J. Patton

This figure shows the co-authorship network connecting the top 25 collaborators of Andrew J. Patton. A scholar is included among the top collaborators of Andrew J. Patton based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Andrew J. Patton. Andrew J. Patton is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Patton, Andrew J. & Haozhe Zhang. (2025). Bespoke realized volatility: Tailored measures of risk for volatility prediction. Journal of Econometrics. 254. 106122–106122.
2.
Oh, Dong Hwan & Andrew J. Patton. (2024). Better the devil you know: Improved forecasts from imperfect models. Journal of Econometrics. 242(1). 105767–105767.
3.
Oh, Dong Hwan & Andrew J. Patton. (2023). Dynamic factor copula models with estimated cluster assignments. Journal of Econometrics. 237(2). 105374–105374. 12 indexed citations
4.
Patton, Andrew J. & Yasin Şimşek. (2023). Generalized Autoregressive Score Trees and Forests. SSRN Electronic Journal.
5.
Patton, Andrew J. & Haozhe Zhang. (2022). Bespoke Realized Volatility: Tailored Measures of Risk for Volatility Prediction. SSRN Electronic Journal. 2 indexed citations
6.
Gonçalves, Śılvia, et al.. (2022). Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models. Journal of Business and Economic Statistics. 41(3). 683–694. 4 indexed citations
7.
Bollerslev, Tim, Andrew J. Patton, & Rogier Quaedvlieg. (2020). Multivariate leverage effects and realized semicovariance GARCH models. Journal of Econometrics. 217(2). 411–430. 21 indexed citations
8.
Patton, Andrew J. & Brian Weller. (2020). What you see is not what you get: The costs of trading market anomalies. Journal of Financial Economics. 137(2). 515–549. 46 indexed citations
9.
Patton, Andrew J.. (2019). Comparing Possibly Misspecified Forecasts. Journal of Business and Economic Statistics. 38(4). 796–809. 38 indexed citations
10.
Quaedvlieg, Rogier, et al.. (2018). Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. EUR Research Repository (Erasmus University Rotterdam). 64 indexed citations
11.
Oh, Dong Hwan & Andrew J. Patton. (2015). Modeling Dependence in High Dimensions With Factor Copulas. Journal of Business and Economic Statistics. 35(1). 139–154. 138 indexed citations
12.
Fan, Yanqin & Andrew J. Patton. (2014). Copulas in Econometrics. Annual Review of Economics. 6(1). 179–200. 61 indexed citations
13.
Patton, Andrew J., et al.. (2011). Comment to: Forecast Rationality Tests Based on Multi-Horizon Bounds,. 5 indexed citations
14.
Patton, Andrew J. & Kevin Sheppard. (2009). Optimal combinations of realised volatility estimators. International Journal of Forecasting. 25(2). 218–238. 113 indexed citations
15.
Patton, Andrew J. & Allan Timmermann. (2007). Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts. SSRN Electronic Journal. 3 indexed citations
16.
Patton, Andrew J., et al.. (2007). Time-Varying Liquidity in Hedge Fund Returns. SSRN Electronic Journal.
17.
Timmermann, Allan & Andrew J. Patton. (2004). Properties of Optimal Forecasts. RePEc: Research Papers in Economics. 4 indexed citations
18.
Patton, Andrew J. & Allan Timmermann. (2003). Properties of Optimal Forecasts. SSRN Electronic Journal. 6 indexed citations
19.
Patton, Andrew J.. (2002). Applications of copula theory in financial econometrics. University Microfilms International eBooks. 53 indexed citations
20.
Kearney, Colm & Andrew J. Patton. (2000). Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System. SSRN Electronic Journal. 2 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

Explore authors with similar magnitude of impact

Breakdown of academic impact, for papers by Peter Christoffersen Breakdown of academic impact, for papers by Dick van Dijk Breakdown of academic impact, for papers by Asger Lunde Breakdown of academic impact, for papers by Siem Jan Koopman Breakdown of academic impact, for papers by Richard T. Baillie Breakdown of academic impact, for papers by Tim Bollerslev Breakdown of academic impact, for papers by Stephen J. Taylor Breakdown of academic impact, for papers by Éric Ghysels Breakdown of academic impact, for papers by Robert B. Litterman Breakdown of academic impact, for papers by Kenneth F. Kroner
Rankless by CCL
2026