Time Series

Related Faculty

Chang-Jin Kim
Bryan C. Cressey Professor
Eric Zivot
Chair; Robert R. Richards Professor of Economics

Latest News

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

Related Research

Shen, S., Zhang, Y., and Zivot, E. (2025). "Improving Information Leadership Share for Measuring Price Discovery". Journal of Empirical Finance, August 2025: https://doi.org/10.1016/j.jempfin.2025.101638.
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., 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
Zivot, E., Introduction to Computational Finance and Financial Econometrics with R, CRC Press, forthcoming.
“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.
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.
Chang-Jin Kim, Pym Manopimoke, and Charles R. Nelson, "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve." Journal of Money, Credit and Banking 46 (2014), 253-266.
“Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010.
Zivot, Eric, and Jiahui Wang. Modeling Financial Time Series with S-Plus, Second Edition. New York: Springer, 2007. Print.