Eric Zivot

University of Washington - Department of Economics

Box 353330

Seattle, WA 98195-3330

United States

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 12,875

in Total Papers Citations

79

CROSSREF CITATIONS

44

Scholarly Papers (18)

1.

The Dynamics of Price Discovery

AFA 2005 Philadelphia Meetings
Number of pages: 65 Posted: 27 Dec 2004
Bingcheng Yan and Eric Zivot
University of Washington - Department of Economics and University of Washington - Department of Economics
Downloads 708 (70,024)
Citation 20

Abstract:

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cointegration, permanent-transitory decomposition, price discovery

2.

Forecasting the Term Structures of Treasury and Corporate Yields: Dynamic Nelson-Siegel Models Evaluation

International Journal of Forecasting, Forthcoming
Number of pages: 29 Posted: 09 Jan 2009 Last Revised: 18 May 2010
William Yu and Eric Zivot
UCLA Anderson School of Management, Anderson Forecast and University of Washington - Department of Economics
Downloads 576 (90,872)

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Treasury Yields, Corporate Yields, Term Structures Forecasting, Nelson Siegel Model

3.

The Power of Single Equation Tests for Cointegration When the Cointegrating Vector is Prespecified

Number of pages: 32 Posted: 14 Jan 1997
Eric Zivot
University of Washington - Department of Economics
Downloads 398 (141,599)
Citation 2

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4.

Forecasting Inflation Using Commodity Price Aggregates

Number of pages: 48 Posted: 01 Oct 2011
University of Washington - Department of Economics, University of Washington - Institute for Economic Research and University of Washington - Department of Economics
Downloads 382 (148,195)
Citation 3

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commodity prices, inflation forecasts, inflation targeting

5.

A Structural Analysis of Price Discovery Measures

Number of pages: 38 Posted: 13 Apr 2007
Bingcheng Yan and Eric Zivot
University of Washington - Department of Economics and University of Washington - Department of Economics
Downloads 341 (167,872)
Citation 29

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cointegration, information share, price discovery, structural model

6.

Markov Regime-Switching and Unit Root Tests

Number of pages: 33 Posted: 12 Dec 2000
Dept of Economics, University of Oregon - Department of Economics and University of Washington - Department of Economics
Downloads 301 (191,724)
Citation 4

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stochastic trends, deterministic trends, structural change, heteroskedasticity, unit root tests, and markov switching

7.

The Clark Model with Correlated Components

Number of pages: 48 Posted: 25 Jan 2006
Kum Hwa Oh and Eric Zivot
University of Washington - Department of Economics and University of Washington - Department of Economics
Downloads 235 (245,868)
Citation 19

Abstract:

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Beveridge-Nelson Decomposition, identification, Trend-Cycle Decomposition, Unobserved Components Model

8.

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

DS#96-06
Number of pages: 32 Posted: 26 Nov 1996
Jiahui Wang and Eric Zivot
StatSci (a division of MathSoft Inc.) and University of Washington - Department of Economics
Downloads 180 (314,150)
Citation 6

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9.

Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility

Journal of International Money and Finance, Forthcoming
Number of pages: 36 Posted: 09 Jan 2009 Last Revised: 19 Oct 2009
Kyongwook Choi, William Yu and Eric Zivot
Ohio University - Department of Economics, UCLA Anderson School of Management, Anderson Forecast and University of Washington - Department of Economics
Downloads 173 (325,418)
Citation 2

Abstract:

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Realize volatility, Exchange rate, Long memory, Structural break, Fractional integration, Volatility forecasting

10.

Predicting Stock Volatility Using After-Hours Information

Number of pages: 38 Posted: 09 Jan 2009 Last Revised: 23 Jan 2009
Chun-hung Chen, William Yu and Eric Zivot
affiliation not provided to SSRN, UCLA Anderson School of Management, Anderson Forecast and University of Washington - Department of Economics
Downloads 155 (357,481)
Citation 1

Abstract:

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After hours information, Volatility forecasting, GARCH, SEMIFAR

11.

Trends of U.S. Emissions of Nitrogen Oxides and Volatile Organic Compounds

Number of pages: 33 Posted: 25 Feb 2009 Last Revised: 23 Sep 2013
Nina S. Jones and Eric Zivot
University of Washington - Department of Economics and University of Washington - Department of Economics
Downloads 147 (373,245)
Citation 1

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pollution emissions, government regulation, structural break, time-series, unit root

12.

Split-Sample Score Tests in Linear Instrumental Variables Regression

Number of pages: 43 Posted: 12 Apr 2007
University of Washington - Department of Economics, University of Washington, Harvard University - T.H. Chan School of Public Health and University of Washington - Department of Economics
Downloads 89 (537,461)
Citation 3

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hypothesis tests, instrumental variables, partial identification, split sample, weak instruments

13.

A New Method of Projection-Based Inference in GMM with Weakly Identified Nuisance Parameters

Number of pages: 29 Posted: 27 Apr 2009
Saraswata Chaudhuri and Eric Zivot
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Washington - Department of Economics
Downloads 72 (608,402)
Citation 14

Abstract:

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C12, C13, C30

14.

Indirect Inference Based on the Score

Number of pages: 24 Posted: 18 Jun 2010 Last Revised: 23 Jun 2010
Peter Fuleky and Eric Zivot
University of Hawaii Economic Research Organization and University of Washington - Department of Economics
Downloads 64 (647,402)

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simulation based estimation, indirect inference, efficient method of moments

15.

A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Number of pages: 12 Posted: 27 Apr 2009
Eric Zivot and Saraswata Chaudhuri
University of Washington - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 40 (795,287)
Citation 2

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GMM, Weak identification, Efficient score statistic, Nuisance parameters, Confidence intervals

16.

Improving Information Leadership Share for Measuring Price Discovery

Number of pages: 64 Posted: 11 Apr 2024 Last Revised: 27 Apr 2024
Shulin Shen, Yixuan Zhang and Eric Zivot
Huazhong University of Science and Technology, Huazhong University of Science and Technology - School of Economics and University of Washington - Department of Economics
Downloads 37 (825,608)

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price discovery, information share, component share, Shanghai-Hong KongStock Connect

17.

In Defense of Information Leadership Share: A Response to Shrestha and Lee (2023)

Number of pages: 25 Posted: 08 Apr 2024 Last Revised: 15 Apr 2024
Shulin Shen and Eric Zivot
Huazhong University of Science and Technology and University of Washington - Department of Economics
Downloads 32 (858,334)

Abstract:

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information share, information leadership share, price discovery, structural mov ing average models

18.

Price Discovery Share: An Order Invariant Measure of Price Discovery

Number of pages: 16 Posted: 12 Mar 2024 Last Revised: 15 Apr 2024
Shulin Shen, Syed Galib Sultan and Eric Zivot
Huazhong University of Science and Technology, State Street Corporation and University of Washington - Department of Economics
Downloads 32 (858,334)

Abstract:

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Price discovery, information share, order-dependence