Skip to main content
Home
menu

Header Quick Links

  • About the Centre
  • FMG Digest
  • Contact us
menu

Main navigation

  • Programmes
  • People
  • Publications
  • News
  • Events
  • Seminars
menu

Header Quick Links

  • About the Centre
  • FMG Digest
  • Contact us

  

search

Publications of Andrew J. Patton

scroll-down

Breadcrumb

  1. Home
  2. Publications of Andrew J. Patton

Discussion Papers

Does beta move with news? Systematic risk and firm-specific information flows

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically significant amount on days...

March 2009
DP 630
Andrew J. Patton
Michela Verardo

Discussion Papers

Common factors in conditional distributions for Bivariate time series

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...

June 2003
DP 455
Clive W. J. Granger
Timo Terasvirta
Andrew J. Patton

menu

Content Bottom Menu

  • About
  • Programmes
  • People
  • Contact us
  • Support Us

  

LSE Logo

News

Mike Burkart - Winner of the 2025 ECGI Finance Series Prize

LSE announces launch of an Initiative in Sustainable Finance

Forum on Financial Supervision

View all News

Events

Cognitive Foundations of Finance Conference

3rd London Political Finance (POLFIN) Workshop

5th Annual Conference on Non-Bank Financial Sector and Finan ...

View all Events

Seminars

Creditor-on-Creditor Violence and Secured Debt Dynamics

AI Personality Extraction from Faces: Labor Market Implicati ...

The dependence of belief dynamics on beliefs: implications f ...

View all Seminars

Publications

Marketwide Memory

The surprising leadership effect accelerators have on startu ...

Bond Supply, Yield Drifts, and Liquidity Provision Before Ma ...

View all Publications

© 2025 Financial Markets Group

- Web Designers - KD Web

menu

Footer menu

  • Centres
  • Contact us
  • Privacy policy