Eric Zivot

University of Washington - Department of Economics

Box 353330

Seattle, WA 98195-3330

United States

SCHOLARLY PAPERS

15

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3,126

SSRN CITATIONS
Rank 12,936

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Top 12,936

in Total Papers Citations

45

CROSSREF CITATIONS

42

Scholarly Papers (15)

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 613 (49,798)
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 478 (68,058)

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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 358 (95,734)
Citation 1

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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 315 (110,458)
Citation 4

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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 279 (125,673)
Citation 27

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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 264 (133,166)
Citation 3

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

7.

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 150 (223,407)
Citation 5

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8.

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 141 (234,830)
Citation 1

Abstract:

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

9.

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 139 (238,978)
Citation 17

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

10.

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 125 (257,897)
Citation 1

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

11.

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 115 (274,088)
Citation 1

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After hours information, Volatility forecasting, GARCH, SEMIFAR

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 55 (422,199)
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 40 (481,440)
Citation 9

Abstract:

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C12, C13, C30

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 39 (496,279)

Abstract:

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simulation based estimation, indirect inference, efficient method of moments

Indirect Inference Based on the Score

The Econometrics Journal, Vol. 17, Issue 3, pp. 383-393, 2014
Number of pages: 11 Posted: 20 Oct 2014
Peter Fuleky and Eric Zivot
University of Hawaii Economic Research Organization and University of Washington - Department of Economics
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Efficient method of moments, Indirect inference, Simulationā€based estimation

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 15 (624,738)
Citation 2

Abstract:

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