Applied Econometrics

Related Faculty

Yu-chin Chen
Associate Professor
Jing Tao
Associate Professor

Latest News

UW Hosts 2023 Econometrics and Optimal Transport Workshop (August 8, 2023)

Related Research

Shen, S., Zhang, Z., and Zivot, E. (2024) "Leverage Corrections to Price Discovery Measures with an Application to Leveraged Exchange-Traded Funds," Working Paper, Department of Economics, University of Washington.
Shen, S., Zhang, Y., and Zivot, E. (2024). "Improving Information Leadership Share for Measuring Price Discovery". Working Paper, Department of Economics, University of Washington.
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.
Shen, S., Sultan, S.G., and Zivot, E., "Price Discovery Share: An Order Invariant Measure of Price Discovery", Finance Research Letters Volume 67, Part A, September 2024
Jorge Andres Rivero (2023). Unobserved Grouped Heteroskedasticity and Fixed Effects.
Zivot, E., Introduction to Computational Finance and Financial Econometrics with R, CRC Press, forthcoming.
Fan, Y., Henry, M., Pass, B., & Rivero, J. A. (2022). Lorenz map, inequality ordering and curves based on multidimensional rearrangements. arXiv preprint arXiv:2203.09000. https://arxiv.org/abs/2203.09000
“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.
Bunting, J., Diegert, P. and Maurel, A., 2024. Heterogeneity, Uncertainty and Learning: Semiparametric Identification and Estimation (No. w32164). National Bureau of Economic Research.
Generalized Basis Expansions for the Method of Sieves