Eric Zivot, Department of Economics

Eric Zivot
Professor, and Gary Waterman Distinguished Scholar
Areas of Interest: Econometric Theory, Time Series Econometrics, Financial Econometrics, International Finance, Empirical Macroeconomics
Email: ezivot@u.washington.edu
Home Page: http://faculty.washington.edu/ezivot/index.htm
Office: Savery 346
Phone: (206) 543-6715
Office Hours: TuThFri 11-12
Curriculum Vitae
Professor Zivot received his Ph.D. in Economics from Yale University in 1992. He is an adjunct Professor of Finance in the Business School, an Adjunct Professor of Statistics, and is currently co-director of the Graduate Certificate in Computational Finance at the University of Washington.

Courses Taught

Books

Introduction to Computational Finance and Financial Econometrics, Eric Zivot. TBA
Manuscript under preparation
Modeling Financial Time Series with S-PLUS, Eric Zivot and Jiahui Wang. Springer-Verlag
2002
Modeling Financial Time Series with S-PLUS, Second Edition, Eric Zivot and Jiahui Wang. Springer-Verlag. 2006
Statistics and Finance: An Introduction, Second Edition, David Ruppert and Eric Zivot. Springer-Verlag, New York.
Manuscript under preparation.

Working Papers

UWEC-2005-01-R - " The Dynamics of Price Discovery ," Bingcheng Yan; Eric Zivot. (PDF)
UWEC-2007-07 - " Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP ," Daisuke Nagakura; Eric Zivot. (PDF)
UWEC-2006-18 - " Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters ," Drew Creal; Ying Gu; Eric Zivot. (PDF)
UWEC-2006-17 - " A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation ," Ying Gu; Eric Zivot. (PDF)
UWEC-2006-06 - " The Clark Model with Correlated Components ," Kum Hwa Oh; Eric Zivot. (PDF)
UWEC-2005-03 - " Analysis of High-Frequency Financial Data with S-PLUS ," Bingcheng Yan; Eric Zivot. (PDF)
" Time Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiased Hypothesis ," George Sakoulis; Eric Zivot. (PDF)
UWEC-2005-04 - " Inference on Unit Roots and Trend Breaks in Macroeconomic Time Series ," Chris Murray; Eric Zivot. (PDF)
UWEC-2007-33 - " Trends of U.S. Emissions of Nitrogen Oxides and Volatile Organic Compounds ," Nina S. Jones, University of Washington; Eric Zivot; University of Washington. (PDF)
UWEC-2009-01 - " Predicting Stock Volatility Using After-Hours Information ," Chun-Hung Chen, KPMG; Wei-Choun Yu, Winona State University; Eric Zivot, University of Washington. (PDF)
UWEC-2008-04 - " Improved small sample inference for efficient method of moments and indirect inference estimators ," Veronika Czellar, HEC Paris; Eric Zivot, Department of Economic, University of Washington. (PDF)
UWEC-2008-15 - " The effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model ," Drew Creal, Department of Econometrics, Vrije Universiteit Amsterdam; Siem Jan Koopman, Department of Econometrics, Vrije Universiteit Amsterdam; Eric Zivot, University of Washington. (PDF)
UWEC-2008-20 - " Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility ," Kyongwook Choi, Department of Economics, The University of Seoul,; Wei-Choun Yu, Economics and Finance Department, Winona State University; Eric Zivot, Department of Economics, University of Washington. (PDF)
UWEC-2008-21 - " Postwar Slowdowns and Long-Run Growth: A Bayesian Analysis of Structural-Break Models ," Yi-Chi Chen, Department of Economics, National Cheng Kung University, Tainan, Taiwan; Eric Zivot, University of Washington. (PDF)
UWEC-2008-23 - " A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve ," Eric Zivot, University of Washington; Saraswata Chaudhuri, University of North Carolina, Chapel Hill. (PDF)
UWEC-2008-26 - " A new method of projection-based inference in GMM with weakly identified nuisance parameters ," Saraswata Chaudhuri, Department of Economics, University of North Carolina Chapel Hill; Eric Zivot, Department of Economic, University of Washington. (PDF)
UWEC-2007-10 - " Split-Sample Score Tests in Linear Instrumental Variables Regression ," Saraswata Chaudhuri; Thomas Richardson; James Robins, Departments of Epidemiology and Biostatistics, Harvard University; Eric Zivot. (PDF)

(PDF) = PDF File which requires Adobe Acrobat Reader

Published Papers

UWEC-2008-03-FC - " Practical Issues in the Analysis of Univariate GARCH Models ," Eric Zivot, Department of Economics, University of Washington; Forthcoming in Handbook of Financial Statistics, Springer-Verlag., . (PDF)
UWEC-2006-08-FC - " A Structural Analysis of Price Discovery Measures ," Bingcheng Yan, Numeric Investors, Boston MA; Eric Zivot, University of Washington; Forthcoming in Journal of Financial Markets, . (PDF)
UWEC-2006-16-FC - " The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks ," Kum Hwa Oh, Bank of Korea; Eric Zivot, University of Washington; Drew Creal, Free University Amsterdam; Forthcoming in JOURNAL OF ECONOMETRICS, . (PDF)
UWEC-2005-02-FC - " Long Memory and Structural Breaks in the Forward Discount: An Empirical Investigation ," Kyongwook Choi; Eric Zivot; Forthcoming in Journal of International Money and Finance. (PDF)
UWEC-2002-18-P - " Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? , " James Morley; Charles Nelson; Eric Zivot; Review of Economics and Statistics.
UWEC-2002-21-P - " Bayesian and Classical Approaches to Instrumental Variable Regression , " Frank Kleibergen; Eric Zivot; Journal of Econometrics.
UWEC-2002-01 - " Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? ," James Morley, Washington University in St. Louis; Charles Nelson, University of Washington; Eric Zivot, University of Washington; Review of Economics and Statistics, LXXXV, No. 2. May, 2003. (PDF)
" Threshold Cointegration and Nonlinear Adjustment to the Law of One Price , " Ming Chien Lo; Eric Zivot; Macroeconomic Dynamics, 5, 533-576..
" The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified , " Eric Zivot; Econometric Theory, Vol. 16, No. 3, June 2000, 407-440..
" Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis , " Eric Zivot; Donald Andrews; Journal of Business and Economic Statistics, Vol. 10, No. 3, 1992..
" A Bayesian Analysis of the Unit Root Hypothesis within an Unobserved Components Model , " Eric Zivot; Econometric Theory, Vol. 10(3), August, 1994..
" A Bayesian Analysis of Trend Determination in Economic Time Series , " Eric Zivot; Peter Phillips; Econometric Reviews, Vol. 13(3), September 1994.
" Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments , " Jiahui Wang; Eric Zivot; Econometrica, 66(6), November 1998.
" Valid Confidence Intervals and Inference in the Presence of Weak Instruments , " Eric Zivot; Richard Startz; Charles Nelson; International Economic Review, Vol. 39(4), November 1998..
" A Time Series Model of Multiple Structural Changes in Level, Trend and Variance , " Jiahui Wang; Eric Zivot; Journal of Business and Economic Statistics, July (2000).
" Cointegration and Forward and Spot Exchange Rate Regressions , " Eric Zivot; Journal of International Money and Finance, Vol. 19 (2000), 785-812.
" Markov Regime Switching and Unit-Root Tests , " Charles Nelson; Jeremy Piger; Eric Zivot; Journal of Business and Economic Statistics, 19(4), 404-415..
" Improved Inference in Weakly Identified Instrumental Variables Regression , " Eric Zivot; Forthcoming in Frontiers in Analysis and Applied Research: Essays in Honor of Peter C.B. Phillips.
" State Space Modeling in Macroeconomics and Finance Using SsfPack in S+FinMetrics , " Eric Zivot; State Space and Unobserved Component Models: Theory and Applications.
" A Comment on Dynamic Specification and Testing for Unit Roots and Cointegration , " Eric Zivot; in Macroeconometrics: Developments, Tensions and Prospects, Kevin D. Hoover, ed., Spring 1995..