| 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 |
| Zivot, E., Introduction to Computational Finance and Financial Econometrics with R, CRC Press, forthcoming. |
Publications, Books |
Applied Econometrics, Financial Economics, Software, Time Series |
| “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 |
| 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. |
Publications, Articles |
Econometrics, Financial Economics, Time Series |
| 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. |
Publications |
Macroeconomics, Time Series |
| “Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010. |
Publications, Working Papers |
Econometrics, Exchange Rates, Financial Economics, International Finance, Time Series |
| Zivot, Eric, and Jiahui Wang. Modeling Financial Time Series with S-Plus, Second Edition. New York: Springer, 2007. Print. |
Publications, Books |
Financial Economics, Time Series |
