| Liu, Yuming and Zivot, Eric W., Hidden Components of Expected Returns: State-Space Estimation with Prices and Earnings. Working Paper, Department of Economics, University of Washington. First version: December 01, 2022. Revised February 4, 2026. Available at SSRN: https://ssrn.com/abstract=6159429 or http://dx.doi.org/10.2139/ssrn.6159429 |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| "Misguided Price Discovery: When Overshooting Is Mistaken for Leadership", Shen, S., Huang, X., Zuo, Y., and Zivot, E. Working paper, Department of Economics, University of Washington. January 15, 2026. |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| Liu, Yuming and Zivot, Eric W., Scaling State-Space Models: A Deep Learning Approach to Firm-level Return Forecasting (December 01, 2025). Available at SSRN: https://ssrn.com/abstract=6329499 or http://dx.doi.org/10.2139/ssrn.6329499 . |
Publications, Working Papers |
Applied Econometrics, Financial Economics, Time Series |
| 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. |
Publications |
Applied Econometrics, Financial Economics, Time Series |
| 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., 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. Draft available at https://bookdown.org/compfinezbook/introFinRbook/. |
Publications, Books |
Applied Econometrics, Financial Economics, Software, 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. Vinod
and 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 |
