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Events mentioning "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.
- 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.
- Zivot, Eric, and Jiahui Wang. Modeling Financial Time Series with S-Plus, Second Edition. New York: Springer, 2007. Print.
- Ji Hyung Lee, "Predictive Quantile Regression with Persistent Covariates: IVX-QR Approach," accepted at Journal of Econometrics
- 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, August 2020
- “Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010.
- High Stakes Investing Under Uncertainty:Evidence from Texas Shale-Oil Producing Firm. Dissertation.