| 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. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Financial Economics, Time Series |
| 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., "Price Discovery Share: An Order Invariant Measure of Price Discovery", Finance Research Letters Volume 67, Part A, September 2024 |
Publications, Articles |
Applied Econometrics, Financial Economics, Time Series |
| Jorge Andres Rivero (2023). Unobserved Grouped Heteroskedasticity and Fixed Effects. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Labor Economics, Machine Learning, Political Economy |
| Zivot, E., Introduction to Computational Finance and Financial Econometrics with R, CRC Press, forthcoming. |
Publications, Books |
Applied Econometrics, Financial Economics, Software, Time Series |
| 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 |
Publications, Working Papers |
Applied Econometrics, Microeconomic Theory, Political Economy, Statistics |
| “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 |
| Ng, Y. and Wang, E.S. Housing Affordability, Supply, and Spatial Misallocation. Work in Progress. |
Publications, Working Papers |
Applied Econometrics, Housing, Urban Studies |
| Bunting, J., Diegert, P. and Maurel, A., 2024. Heterogeneity, Uncertainty and Learning: Semiparametric Identification and Estimation (No. w32164). National Bureau of Economic Research. |
Publications |
Applied Econometrics, Econometrics, Labor Economics |
