Chair; Robert R. Richards Professor of Economics
Fields of Interest
Biography
Ph.D., Economics, Yale University, 1992
A.B. Economics (with honors) and A.B. Statistics, The University of California, Berkeley, May 1986
Curriculum Vitae
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Professor Zivot received his Ph.D. in Economics from Yale University in 1992 focusing on econometrics under the supervision of Donald Andrews and Peter C.B. Phillips. He is the Robert Ricards Chaired Professor of Economics and the Economics Department Chair. He is an adjunct Professor of Finance in the Business School, an Adjunct Professor of Statistics, and is the co-founder of the Professional Masters Program in Computational Finance and Risk Management at the University of Washington.
Research
Selected 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. Download PDF
- 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. Download PDF
- 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. Download PDF
- 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.
- Peter Fuleky and Eric Zivot, "Indirect Inference Based on the Score," The Econometrics Journal 17 (2014), 383-393.
- Yu-chin Chen , Stephen J. Turnovsky, and Eric Zivot, "Forecasting Inflation using Commodity Price Aggregates." Journal of Econometrics 183 (2014), 117-134.
- “Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010. Download PDF
- Zivot, Eric, and Jiahui Wang. Modeling Financial Time Series with S-Plus, Second Edition. New York: Springer, 2007. Print.
Courses Taught
Spring 2025
Spring 2024
Spring 2023
Spring 2022
Affiliations
Home Department