| Shen, S., Zhang, Y., and Zivot, E. (2024). "Improving Information Leadership Share for Measuring Price Discovery". Working Paper, Department of Economics, University of Washington. |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| Shen, S., and Zivot, E. (2024). In Defense of Information Leadership Share: A Response to Shrestha and Lee (2023), Working Paper, Department of Economics, University of Washington. |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| Shen, S., Sultan, S.G., and Zivot, E. (2024), "Price Discovery Share: An Order Invariant Measure of Price Discovery", Working Paper, Department of Economics, University of Washington. |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| Zivot, E., Introduction to Computational Finance and Financial Econometrics with R, CRC Press, forthcoming. |
Publications, Books |
Applied Econometrics, Financial Economics, Software, Time Series |
| “Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds,” with Sayed Galib Sultan. Working Paper, February 2015, updated August 2020. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Financial Economics, Time Series |
| Boudt, K., Galanos, A., Payseur, S., and Zivot, E. (2019) "Multivariate GARCH models for large-scale applications: A survey” in Handbook of Statistics 41: Conceptual Econometrics Using R, H. Vinodand C.R. Rao (ed), Elsevier, September 2019. |
Publications, Articles |
Econometrics, Financial Economics, Time Series |
| M. Koyuncu and S.J. Turnovsky (2016) The Dynamics of Growth and Income Inequality under Progressive Taxation, Journal of Public Economic Theory 18, 560-588. |
Publications, Articles |
Economics, Financial Economics, Macroeconomics |
| Bateman, H., Eckert, C., Geweke, J., Louviere, J.J., Satchell, S.E. & Thorp, S.J. 2016, 'Risk presentation and retirement portfolio choice', Review of Finance, vol. 20, no. 1, pp. 201-229. |
Publications, Articles |
Financial Economics |
| Lending Standards and Their Impact on Productivity, Forthcoming in the Journal of Economic Dynamics and Control (joint work with NicolásFigueroa) |
Publications |
Financial Economics, Macroeconomics |
| “Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010. |
Publications, Working Papers |
Econometrics, Exchange Rates, Financial Economics, International Finance, Time Series |
| Zivot, Eric, and Jiahui Wang. Modeling Financial Time Series with S-Plus, Second Edition. New York: Springer, 2007. Print. |
Publications, Books |
Financial Economics, Time Series |
| Bruce, Neil. Public Finance and the American Economy. Boston: Addison-Wesley, 2001. Print. |
Publications, Books |
Financial Economics, Microeconomic Theory |
| Kim, Chang-Jin, and Charles R. Nelson. State-space Models with Regime Switching: Classical and Gibbs-sampling Approaches with Applications. Cambridge, MA: MIT, 1999. Print. |
Publications, Books |
Financial Economics, Macroeconomics |
| Brock, Philip Lawton., Michael B. Connolly, and Claudio González Vega. Latin American Debt and Adjustment: External Shocks and Macroeconomic Policies. New York: Praeger, 1989. Print. |
Publications, Books |
Latin American, Financial Economics |
