Eric Zivot's Research

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Last updated: March 24, 2014

Research Interests

My research interests are in the areas of econometric theory (Bayesian methods, identification issues, weak instruments), time series econometrics (modeling nonstationary data, state space models, structural change), financial econometrics (modeling with high frequency data, testing financial models), empirical macroeconomics (business cycle modeling, forecasting) and empirical international finance (modeling and forecasting exchange rate behavior).  Further details on my published research is provided on my CV.

Books

  • Modeling Financial Time Series with R, Springer-Verlag, October 2014.

  • Modeling Financial Time Series with S-PLUS, Second Edition, with Jiahui Wang, Springer-Verlag, December 2005

  • Modeling Financial Time Series with S-PLUS, with Jiahui Wang, Springer-Verlag, October 2002. 

  • Introduction to Computational Finance and Financial Econometrics. (Based on lecture notes from my advanced undergraduate class Econ 424 and Coursera Course Introduction to Computational Finance)

    • Manuscript in preparation (see the notes page for Econ 424 for preliminary chapters and related material)

Recent Publications and Accepted Papers

  • “Evaluating the Impact of Encironmental Policy on the Trend Behavior of U.S. Emissions of Nitrogen Oxides and Volatile Organic Compounds,” (with Nina Sidneva) forthcoming in Natural Resource Modeling.  

  • “Indirect Inference Based on the Score,” (with Peter Fuleky) forthcoming in Econometrics Journal.  

  • “Forecasting Inflation using Commodity Price Aggregates,” (with Yu-Chin Chen and Stephen Turnovsky). forthcoming in  Journal of Econometrics.

  • "Predicting Stock Volatility Using After-Hours Information: Evidence from the NASDAQ Actively Traded Stocks ," with Chun-Hung Chen and Wei-Choun Yu, International Journal of Forecasting, June 2012.

  • "A New Method of Projection-Based Inference in GMM with Weakly Identified Nuisance Parameters," with Saraswata Chaudhuri, Journal of Econometrics, June 2011.

  • "State Space Modeling Using SsfPack in S+FinMetrics 3.0," Journal of Statistical Software, May 2011.

  • "Forecasting the Term Structures of Treasury and Corporate Yields: Dynamic Nelson-Siegel Models Evaluation," with Wei-Choun Yu, International Journal of Forecasting, April-June, 2011.

  •  "Postwar Slowdowns and Long-Run Growth: A Bayesian Analysis of Structural Break Models," with Yi-Chi Chen, Empirical Economics, December 2010.

  • "Time Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis", with George Sakoulis and Kyongwook Choi, Journal of Empirical Finance, November 2010.

  • "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," with Kyongwook Choi and William Yu, Journal of International Money and Finance, September 2010.

  • "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," with Drew Creal and Siem Jan Koopman, Journal of Applied Econometrics, June-July 2010.

  • "Split-Sample Score Tests in Linear Instrumental Variables Regression," with Saraswata Chaudhuri, Thomas Richardson, and James Robins, Econometric Theory, March 2010.

  • "A Structural Analysis of Price Discovery Measures, with Bingcheng Yan. Journal of Financial Markets, February, 2010.

  • "A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve," with Saraswata Chaudhuri, Journal of Business and Economic Statistics, July 2009.

  • "The Relationship between the Beveridge-Nelson Decomposition and Unobserved Component Models with Correlated Shocks," with Drew Creal and Kum Hwa Oh, Journal of Econometrics, April 2009 .

Working Papers

  • "Forecasting Inflation with Commodity Price Aggregates ," with Yu-Chin Chen and Stephen J. Turnovsky. September, 2011. Downloads:
    • paper: pdf
  • "Indirect Inference Based on the Score," with Peter Fuleky. June, 2010. Revised March, 2011. Downloads:
  • "The Dynamics of Price Discovery," with Bingcheng Yan. April 2005. Updated on January 24, 2010. Downloads:

  •  "Trends of U.S. Emissions of Nitrogen Oxides and Volatile Organic Compounds," with Nina S. Jones. November, 2007. Downloads:
  • "Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP", with Daisuke Nagakura. January, 2007.

  • Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters," with Drew Creal and Ying Gu. August, 2006. Updated on March 21, 2007. Downloads:

  • "The Clark Model with Correlated Components," with Kum Hwa Oh. January, 2006. Downloads: 

    • paper: pdf.  

  • "Analysis of High-Frequency Financial Data with S-PLUS", with Bingchen Yan. November 2003. Downloads:

    • paper: pdf

    • S-PLUS script for examples in paper: HFAnalysis.ssc

    • S-PLUS HF library: HFLibrary.SSC. Note: some of the functions in the HF library require the FinMetrics function diff.timeSeries and will not work without FinMetrics loaded. I am working on a pure S-PLUS version of the library that will work without FinMetrics. 

    • Data: eur_usd.zip, TAQ_MSFT_GE.zip

  • "Inference on Unit Roots and Trend Breaks in Macroeconomic Time Series," with Chris Murray. October 1998.

Invited Lectures

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