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Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis

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E Zivot… - Journal of business and economic …, 2002 - Taylor & Francis
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative
hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929
or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic ...
Cited by 2511 - Related articles - Library Search - BL Direct - All 27 versions

[BOOK] Modeling financial time series with S-PLUS

[PDF] from washington.edu
E Zivot… - 2006 - books.google.com
The field of financial econometrics has exploded over the last decade This book represents
an integration of theory, methods, and examples using the S-PLUS statistical modeling
language and the S+ FinMetrics module to facilitate the practice of financial econometrics. ...
Cited by 340 - Related articles - Get it from MIT Libraries - Library Search - All 10 versions

Threshold cointegration and nonlinear adjustment to the law of one price

Full text - MIT Libraries
MC Lo… - Macroeconomic Dynamics, 2001 - Cambridge Univ Press
Previous studies investigating threshold behavior in real-exchange-rate and price difference
data have used rather ad hoc statistical methods and have focused on univariate threshold
models for relative prices. We utilize a general multivariate threshold cointegration model ...
Cited by 201 - Related articles - BL Direct - All 7 versions

Why are the Beveridge-Nelson and unobserved-components decompositions of GDP so different?

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JC Morley, CR Nelson… - Review of Economics and Statistics, 2003 - MIT Press
This paper reconciles two widely used decompositions of GDP into trend and cycle that yield
starkly different results. The Beveridge-Nelson (BN) decomposition implies that a stochastic
trend accounts for most of the variation in output, whereas the unobserved-components ( ...
Cited by 198 - Related articles - All 23 versions

Inference on a structural parameter in instrumental variables regression with weak instruments

[PDF] from 129.3.20.41
J Wang… - 1996 - papers.ssrn.com
Abstract: In this paper we consider the problem of making inference on a structural
parameter in instrumental variables regression when the instruments are only weakly
correlated with the explanatory endogenous variables. Adopting a local-to-zero ...
Cited by 148 - Related articles - BL Direct - All 17 versions

Valid confidence intervals and inference in the presence of weak instruments

[PDF] from washington.edu
E Zivot, R Startz… - International Economic Review, 1998 - JSTOR
We investigate confidence intervals and inference for the instrumental variables model with
weak instruments. Confidence intervals based on inverting the LM, LR, and Anderson-Rubin
statistics perform far better than the Wald. Performance of the LM and LR statistics is ...
Cited by 122 - Related articles - Get it from MIT Libraries - BL Direct - All 12 versions

[PDF] Cointegration and forward and spot exchange rate regressions

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E Zivot - Journal of International Money and Finance, 2000 - Citeseer
Abstract In this paper we investigate in detail the relationship between models of
cointegration between the current spot exchange rate, st, and the current forward rate, ft, and
models of cointegration between the future spot rate, st+ 1, and ft and the implications of ...
Cited by 88 - Related articles - View as HTML - BL Direct - All 16 versions

A Bayesian time series model of multiple structural changes in level, trend, and variance

[PDF] from 129.3.20.41
J Wang… - Journal of Business & Economic Statistics, 2000 - JSTOR
We consider a deterministically trending dynamic time series model in which multiple
structural changes in level, trend, and error variance are modeled explicitly and the number,
but not the timing, of the changes is known. Estimation of the model is made possible by ...
Cited by 73 - Related articles - Get it from MIT Libraries - BL Direct - All 14 versions

[PDF] Markov regime switching and unit-root tests

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CR Nelson, J Piger… - Journal of Business and Economic Statistics, 2001 - ASA
We investigate the power and size performance of unit-root tests when the data undergo
Markov regime switching. All tests, including those robust to a single break in trend growth
rate, have low power against a process with a Markov-switching trend. Under the null ...
Cited by 68 - Related articles - View as HTML - Library Search - BL Direct - All 28 versions

Bayesian and classical approaches to instrumental variable regression

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F Kleibergen… - Journal of Econometrics, 2003 - Elsevier
We establish relationships between certain Bayesian and classical approaches to
instrumental variable regression. We determine the form of priors that lead to posteriors for
structural parameters that have similar properties as classical 2SLS and LIML and in ...
Cited by 70 - Related articles - All 12 versions

Long memory and structural changes in the forward discount: An empirical investigation

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K Choi… - Journal of International Money and Finance, 2007 - Elsevier
We analyze the evidence for long memory and structural changes in the five G7 countries'
forward discount. We establish evidence for long memory by estimating the long memory
parameter without allowing for structural breaks. We also document evidence for multiple ...
Cited by 61 - Related articles - All 15 versions

The power of single equation tests for cointegration when the cointegrating vector is prespecified

[PDF] from 129.3.20.41
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E Zivot - Econometric Theory, 2000 - Cambridge Univ Press
Kremers, Ericsson, and Dolado's~ 1992, Oxford Bulletin of Economics and Statistics 54, 325–
348! conditional error correction model~ ECM!–based t-test for cointegration with a single
prespecified cointegrating vector+ This alternative distribution, which is identical to the ...
Cited by 39 - Related articles - BL Direct - All 13 versions

A Bayesian analysis of the unit root hypothesis within an unobserved components model

Full text - MIT Libraries
E Zivot - Econometric Theory, 1994 - Cambridge Univ Press
Abstract In this paper we extend some of Phillips's [4] results to nonlinear unobserved
components models and develop a posterior odds ratio test of the unit root hypothesis based
on flat and Jeffreys priors. In contrast to the analysis presented by Schotman and van Dijk [ ...
Cited by 36 - Related articles - BL Direct - All 10 versions

A Bayesian analysis of trend determination in economic time series

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Z Eric… - Econometric Reviews, 1994 - Taylor & Francis
In this paper we provide a comprehensive Bayesian posterior analysis of trend
determination in general autoregressive models. Multiple lag autoregressive models with
fitted drifts and time trends as well as models that allow for certain types of structural ...
Cited by 34 - Related articles - Library Search - BL Direct - All 7 versions

The dynamics of price discovery

[PDF] from washington.edu
B Yan… - … of Economics, University of Washington, Working …, 2007 - papers.ssrn.com
Abstract: In this paper we propose a new approach for the econometric analysis of the
dynamics of price discovery using a structural cointegration model for the price changes in
arbitrage linked markets. Our methodology characterizes the dynamics of price discovery ...
Cited by 32 - Related articles - All 14 versions

A structural analysis of price discovery measures

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B Yan… - Journal of Financial Markets, 2010 - Elsevier
We analyze the structural determinants of two widely used measures of price discovery
between multiple markets that trade closely related securities. Using a structural
cointegration model, we show that both the information share (IS) and component share ( ...
Cited by 30 - Related articles - All 13 versions

Practical issues in the analysis of univariate GARCH models

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E Zivot - Handbook of financial time series, 2009 - Springer
This chapter gives a tour through the empirical analysis of univariate GARCH models for
financial time series with stops along the way to discuss various practical issues associated
with model specification, estimation, diagnostic evaluation and forecasting.
Cited by 26 - Related articles - Get it from MIT Libraries - All 11 versions

[PDF] Time-variation and structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis

[PDF] from psu.edu
G Sakoulis… - … manuscript, Department of Economics, University of …, 2001 - Citeseer
Abstract It is a well accepted empirical result that forward exchange rate unbiasedness is
rejected in tests using the “differences regression” of the change in the logarithm of the spot
exchange rate on the forward discount. The result is referred to in the International ...
Cited by 24 - Related articles - View as HTML - All 9 versions

[PDF] Improved inference for the instrumental variable estimator

[PDF] from psu.edu
R Startz, CR Nelson… - Discussion Papers in Economics at the …, 1999 - Citeseer
Abstract It is now well known that standard asymptotic inference techniques for instrumental
variable estimation perform very poorly in the presence of weak instruments. Specifically,
standard asymptotic techniques give spuriously small standard errors, leading ...
Cited by 21 - Related articles - View as HTML - All 16 versions

[PDF] Improved inference in weakly identified instrumental variables regression

[PDF] from washington.edu
R Startz, E Zivot… - 2003 - econ.washington.edu
Abstract It is now well known that standard asymptotic inference techniques for instrumental
variable estimation may perform very poorly in the presence of weak instruments. In some
circumstances, standard asymptotic techniques give spuriously small standard errors, ...
Cited by 15 - Related articles - View as HTML - All 4 versions

A new method of projection-based inference in GMM with weakly identified nuisance parameters

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S Chaudhuri… - Journal of Econometrics, 2011 - papers.ssrn.com
Abstract: Projection-based methods of inference on subsets of parameters are useful for
obtaining tests that do not over-reject the true parameter values. However, they are also
often criticized for being conservative. We show that the usual method of projection can be ...
Cited by 12 - Related articles - All 12 versions

[PDF] Inference on unit roots and trend breaks in macroeconomic time series

[PDF] from washington.edu
CJ Murray… - Manuscript, Department of Economics, …, 1998 - faculty.washington.edu
The most damaging criticism of the hypothesis advanced by Nelson and Plosser (1982), that
US output contains a unit root, has come through the allowance of structural change under
the alternative hypothesis of trend stationarity. This was originally due to Perron (1989) ...
Cited by 11 - Related articles - View as HTML - All 6 versions

[CITATION] Single equation conditional error correction model based tests for cointegration

E Zivot - Discussion Papers in Economics at the University …, 1994 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Single
Equation Conditional Error Correction Model Based Tests for Cointegration. Eric Zivot (). ...
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[BOOK] Bayesian and classical approaches to instrumental variable regression

[PS] from eur.nl
F Kleibergen… - 1998 - repub.eur.nl
Abstract We establish the relationships between certain Bayesian and classical approaches
to instrumental variable regression. We determine the form of priors that lead to posteriors
for structural parameters that have similar properties as classical 2SLS and LIML and in ...
Cited by 9 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 11 versions

Forecasting the Term Structures of Treasury and Corporate Yields: Dynamic Nelson-Siegel Models Evaluation

W Yu… - 2007 - papers.ssrn.com
Abstract: We extend Diebold and Li's dynamic Nelson-Siegel three-factor model to a broader
empirical prospective by including the evaluation of state-space approach, and using nine
different ratings of corporate bonds. We find that the dynamic Nelson-Siegel factor AR (1) ...
Cited by 9 - Related articles - All 2 versions

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

Full text - MIT Libraries
KH Oh, E Zivot… - Journal of Econometrics, 2008 - Elsevier
The Beveridge–Nelson (BN) decomposition is a model-based method for decomposing time
series into permanent and transitory components. When constructed from an ARIMA model,
it is closely related to decompositions based on unobserved components (UC) models ...
Cited by 8 - Related articles - All 6 versions

The power of single equation tests for cointegration when the cointegrating vector is prespecified

E Zivot - Econometrics, 1996 - ideas.repec.org
In this paper I present an alternative derivation of the asymptotic distribution of Kremers,
Ericsson and Dolado's (1992) conditional ECM-based t-test for no-cointegration with a
single prespecified cointegrating vector. This alternative distribution, which is identical to ...
Cited by 8 - Related articles - Cached - Get it from MIT Libraries - All 6 versions

Long memory versus structural breaks in modeling and forecasting realized volatility

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K Choi, WC Yu… - Journal of International Money and Finance, 2010 - Elsevier
We explore the possibility of structural breaks in the daily realized volatility of the
Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with
observed long memory behavior. We find that structural breaks in the mean can partly ...
Cited by 8 - Related articles - All 16 versions

[PDF] The relationship between the Beveridge-Nelson decomposition and unobserved components models with correlated shocks

[PDF] from washington.edu
KH Oh, E Zivot… - 2007 - faculty.washington.edu
Abstract The Beveridge-Nelson (BN) decomposition is a model-based method for
decomposing time series into permanent and transitory components. It is closely related to
decompositions based on unobserved components (UC) models with random walk trends ...
Cited by 7 - Related articles - View as HTML - All 9 versions

[PDF] Implications of two measures of persistence for correlation between permanent and transitory shocks in US real GDP

[PDF] from washington.edu
D Nagakura… - University of Washington, Working …, 2007 - faculty.washington.edu
Abstract Conventionally, shocks to permanent and transitory components in the unobserved
components (UC) model for the log of real GDP are assumed to be uncorrelated. This
assumption is mainly for identification of model parameters. In this paper, we show ...
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Split-Sample Score Tests in Linear Instrumental Variables Regression

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S Chaudhuri, T Richardson, J Robins… - 2007 - papers.ssrn.com
Abstract: In this paper we design two split-sample score tests for subsets of structural
coefficients in a linear Instrumental Variables (IV) regression. Sample splitting serves two
purposes-1) validity of the resultant tests does not depend on the identifiability of the ...
Cited by 6 - Related articles - All 14 versions

[CITATION] Threshold cointegration and nonlinear adjustment to the law of one price

MC Lo… - Discussion Papers in Economics at the …, 1999 - econpapers.repec.org
Related works: Working Paper: Threshold Cointegration and Nonlinear Adjustment to the Law
of One Price (1999) This item may be available elsewhere in EconPapers: Search for items with
the same title. ... This site is part of RePEc and all the data displayed here is part of the ...
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[CITATION] Modeling Financial Time Series with S-Plus Springer-Verlag

E Zivot… - 2006
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Valid Confidence Intervals and Inference in the Presence of Weak Instruments

E Zivot, R Startz… - … in Economics at the University of …, 1997 - ideas.repec.org
We investigate confidence intervals and inference for the instrumental variables model with
weak instruments. Wald-based confidence intervals for a structural parameter perform poorly
in that the probability they reject the null is far greater than their nominal size. We show ...
Cited by 4 - Related articles - Cached - All 5 versions

[CITATION] Inference on Structural Parameters In Instrumental Variables Regression With Weak Instruments

Full text - MIT Libraries
E Zivot… - Econometrica, 1998 - dialnet.unirioja.es
... Inference on Structural Parameters In Instrumental Variables Regression With Weak Instruments.
Autores: Eric Zivot, Jiahui Wang; Localización: Econométrica, ISSN 0012-9682, Vol. 66, Nº 6,
1998 , págs. 1389-1404. Fundación Dialnet. Acceso de usuarios registrados. ...
Cited by 4 - Related articles - Cached

Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis

Full text - MIT Libraries
G Sakoulis, E Zivot… - Journal of Empirical Finance, 2010 - Elsevier
It is a well-accepted empirical result that forward exchange rate unbiasedness is rejected in
tests using the “differences regression” of the change in the logarithm of the spot exchange
rate on the forward discount. We model the forward discount as an AR (1) process and ...
Cited by 4 - Related articles - All 4 versions

Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models

[PDF] from winona.edu
Full text - MIT Libraries
WC Yu… - International Journal of Forecasting, 2011 - Elsevier
We extend Diebold and Li's dynamic Nelson-Siegel three-factor model to a broader
empirical prospective by including the evaluation of the state space approach and by using
nine different ratings for corporate bonds. We find that the dynamic Nelson-Siegel factor ...
Cited by 4 - Related articles - All 5 versions

Predicting Stock Volatility Using After-Hours Information

[PDF] from psu.edu
C Chen, WC Yu… - Unpublished manuscript, Department of …, 2008 - papers.ssrn.com
Abstract: We use realized volatilities based on after hours high frequency returns to predict
next day volatility. We extend GARCH and long-memory forecasting models to include
additional information: the whole night, the preopen, the postclose realized variance, and ...
Cited by 4 - Related articles - All 8 versions

[CITATION] Modelling Financial Time Series with S-Plus

Z Eric… - 2002 - Springer
Cited by 3 - Related articles

A New Projection-type Split-Sample Score Test in Linear Instrumental Variables Regression

[PDF] from washington.edu
Full text - MIT Libraries
S Chaudhuri, T Richardson, J Robins… - Econometric …, 2010 - Cambridge Univ Press
Abstract In this paper we introduce a new method of projection-type inference and describe
it in the context of two stage least squares–based split-sample inference on subsets of
structural coefficients in a linear instrumental variables regression model. The use of the ...
Cited by 3 - Related articles - All 8 versions

[CITATION] The power of single equation tests for cointegration when the cointegrating vector is known

E Zivot - Department of Economics, University of Washington, 1995
Cited by 3 - Related articles

[CITATION] Introduction to Computational Finance and Financial Econometris: Chapter 1 Asset Return Calculation

[PDF] from 212.3.125.93
E Zivot - 2007
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[CITATION] A Bayesian Time Series Model of Structural Changes in Level

J Wang… - Trend, and, 2000
Cited by 2 - Related articles

Improved Inference in Weakly Identified Instrumental Variable Regression

E Zivot, R Startz… - P. Corbae et al, 2006 - books.google.com
It is now well known that standard asymptotic inference techniques for instrumental variable
(IV) estimation may perform very poorly in the presence of weak instruments. In some
circumstances, the failure is of the worst kind: false results are accompanied by reported ...
Cited by 2 - Related articles - All 3 versions

[CITATION] Modeling Financial Time Series with S-Plus, Insightful Corporation

E Zivot… - Table IX, 2006
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[PDF] Improved small sample inference for efficient method of moments and indirect inference estimators

[PDF] from psu.edu
V Czellar… - Working Papers, 2008 - Citeseer
Abstract The efficient method of moments (EMM) and indirect inference (II) are two widely
used simulation-based techniques for estimating structural models that have intractable
likelihood functions. The poor performance in finite samples of traditional coefficient and ...
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[PDF] A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

[PDF] from iwh-halle.de
E Zivot… - Working Papers, 2008 - iwhm.iwh-halle.de
The paper by Kleibergen and Mavroeidis (2008a), hereafter KM, is an excellent survey of the
current state of the art in the weak instrument robust econometrics for testing subsets of
parameters in GMM, and provides an important and relevant application of the ...
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[PDF] Modelling Financial Time Series with S-PLUS

[PDF] from msi.co.jp
E Zivot… - Allgemeines Statistisches Archiv, 2001 - msi.co.jp
This book is a guide to analyzing and modeling financial time series using S-PLUS and S+
FinMetrics. It is a unique blend of econometric theory, financial models, data analysis, and
statistical programming. It serves as a user's guide for Insightful's S+ FinMetrics module of ...
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[CITATION] Lecture notes for Economics 424: Computational Finance

E Zivot - 2007 - University of Washington
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[PDF] Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures.

[PDF] from olsen.ch
E Zivot - 2005 - olsen.ch
A key problem in financial econometrics is the modeling, estimation and forecasting of
conditional return volatility and correlation. Having accurate forecasting models for
conditional volatility and correlation is important for accurate derivatives pricing, risk ...
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[PDF] Comment

[PDF] from amstat.org
Full text - MIT Libraries
E Zivot… - Journal of Business and Economic Statistics, 2009 - ASA
The paper by Kleibergen and Mavroeidis (2009), hereafter KM, is an excellent survey of the
current state of the art in the weak instrument robust econometrics for testing subsets of
parameters in the generalized method of moments (GMM), and provides an important and ...
Cited by 1 - Related articles - View as HTML - All 11 versions

Improved Inference for the Instrumental Variables Estimator

C Nelson, R Startz… - Econometric Society World Congress …, 2000 - ideas.repec.org
It is now well known that standard asymptotic inference techniques for instrumental variable
estimation perform very poorly in the presence of weak instruments. Specifically, standard
asymptotic techniques give spuriously small standard errors, leading investigators to ...
Cited by 1 - Related articles - Cached - All 4 versions

Bayesian and Classical Approaches to Instrumental Variables Regression

F Kleibergen… - Econometrics, 1998 - ideas.repec.org
We estabilsh the relationships between certain Bayesian and classical approaches to
instrumental variables regression. We determine the form of priors that lead to posteriors for
structural paameters that have similar properties as classical 2SLS and LIML and in doing ...
Cited by 1 - Related articles - Cached - Get it from MIT Libraries - All 4 versions

[PDF] Unit root tests in the presence of Markov regime switching

[PDF] from psu.edu
CR Nelson, J Piger… - Discussion Papers in Economics at the …, 1999 - Citeseer
Abstract We investigate the performance of a battery of standard unit root tests when the true
data generating process has a Markov-switching trend growth rate and variance. Regime
switching under both the null hypothesis of a unit root and the alternative hypothesis of ...
Cited by 1 - Related articles - View as HTML - All 8 versions

Postwar slowdowns and long-run growth: a Bayesian analysis of structural break models

[PDF] from washington.edu
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YC Chen… - Empirical Economics, 2010 - Springer
Abstract Using Bayesian methods, we re-examine the empirical evidence from Ben-David,
Lumsdaine, and Papell (Empir Econ 28: 303–319, 2003) regarding structural breaks in the
long-run growth path of real output series for a number of OECD countries. Our Bayesian ...
Cited by 1 - Related articles - All 11 versions

[PDF] A Comparison of Univariate Stochastic Volatility Models for US Short Rates Using EMM Estimation

[PDF] from sfu.ca
Y Gu… - Working Papers, 2006 - sfu.ca
ABSTRACT: In this paper, the efficient method of moments (EMM) estimation using a
seminonparametric (SNP) auxiliary model is employed to determine the best fitting model for
the volatility dynamics of the US weekly three-month interest rate. A variety of volatility ...
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[CITATION] Financial Econometrics. Department of Economics, University of Washington

E ZIVOT - Version electronica, 2002
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[PDF] Introduction to Financial Econometrics Chapter 2 Review of Random Variables and Probability Distributions

[PDF] from pp.ua
E Zivot - 2000 - searchtitles.vmg.pp.ua
For example, consider the price of Microsoft stock next month. Since the price of Microsoft
stock next month is not known with certainty today, we can consider it a random variable.
The price next month must be positive and realistically it can t get too large. Therefore the ...
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[PDF] Using R for Hedge Fund of Funds Risk Management

[PDF] from rinfinance.com
E Zivot - 2009 - rinfinance.com
... R/Finance 2009: Applied Finance with R University of Illinois Chicago, April 25, 2009 Eric Zivot
Professor and Gary Waterman Distinguished Scholar, Department of Economics ... vs. R in Finance
© Eric Zivot 2009 Page 3. Hedge Fund of Funds Environment ...
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[CITATION] The Relationship Between Macroeconomic and Financial Market Volatility: An Empirical Evidence of Factor Model

WC Yu… - 2006
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[PDF] Market Risk Modeling in S-PLUS

[PDF] from quantcandy.com
E Zivot - 2005 - quantcandy.com
Abstract This document summarizes the steps for calculating Value-at-Risk (VaR) for a
portfolio of equity assets using S-PLUS 7.0 and S+ FinMetrics 2.0. Unconditional VaR is
computed using empirical quantiles, the normal distribution, and an extreme value theory ( ...
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[PDF] Statistics and Finance: An Introduction

[PDF] from amstat.org
Full text - MIT Libraries
E Zivot - Journal of the American Statistical Association, 2006 - ASA
I have been developing and teaching an upper division undergraduate course on
introductory financial econometrics and computational finance for economics majors over
the last five years. This course is a combination of probability models, data analysis, ...
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[PDF] Evaluating structural models for the US short rate using EMM and optimal filters

[PDF] from psu.edu
D Creal, Y Gu… - 2008 - Citeseer
Abstract We combine the efficient method of moments with appropriate algorithms from the
optimal filtering and signal extraction literature to study a collection of models for the US
short rate. Our models include two continuous time stochastic volatility models and two ...
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Forecasting Inflation using Commodity Price Aggregates

[PDF] from washington.edu
Y Chen, SJ Turnovsky… - Working Papers, 2011 - papers.ssrn.com
Abstract This paper shows that for five small commodity-exporting countries that have
adopted inflation targeting monetary policies, world commodity price aggregates have
predictive power for their CPI and PPI inflation, particularly once possible structural breaks ...
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[CITATION] A Bayesian Analysis of Trend Determination in Economic Time Series by Eric Zivot and Peter CB Phillips

E Zivot, PCB Phillips… - 1991 - Cowles Foundation
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[PDF] Testing of Hypotheses in the Presence of Weakly Identified Nuisance Parameters

[PDF] from esg.ac.uk
S Chaudhuri… - esg.ac.uk
Abstract In this paper we introduce a new test for subsets of parameters in the presence of
weakly identified unknown nuisance parameters. Our test is based on a general technique
proposed by Robins (2004) and, in principle, it is an extension of the K-test for subsets of ...
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Unit Root Tests in the Presence of Markov Regime-Switching

RN Charles, P Jeremy… - ukpmc.ac.uk
We investigate the performance of a battery of standard unit root tests when the true data
generatingprocess has a Markov-switching trend growth rate and variance. Regime
switching under both the nullhypothesis of a unit root and the alternative hypothesis of ...
Cached

[PDF] Introduction to Financial Econometrics Chapter 4 Introduction to Portfolio Theory

[PDF] from uri.edu
E Zivot - 2000 - cba.uri.edu
Consider the following investment problem. We can invest in two non-dividend paying
stocks A and B over the next month. Let RA denote monthly return on stock A and RB denote
the monthly return on stock B. These returns are to be treated as random variables since ...
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[PDF] Estimating the Dynamics of Price Discovery

[PDF] from ubc.ca
B Yan… - 2010 - econ.arts.ubc.ca
Abstract In this paper we propose a new approach for the econometric analysis of the
dynamics of price discovery using a structural cointegration model for the price changes in
arbitrage linked markets. Our methodology characterizes the dynamics of price discovery ...
Related articles - View as HTML - All 2 versions

Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility

[PDF] from stcloudstate.edu
WC Yu, K Choi… - 2006 - repository.stcloudstate.edu
Abstract In this paper, we explore the possibilities of structural breaks in the realized volatility
with the observed long-memory property for the Deutschemark/Dollar, Yen/Dollar and
Yen/Deutschemark spot exchange rate realized volatility. The paper finds the substantial ...
Related articles - All 2 versions

[PDF] Analysis of High Frequency Financial Data wih S-PLUS and S+ FinMetrics 3.0.

[PDF] from northwestern.edu
E Zivot - 2007 - seldon.it.northwestern.edu
High frequency financial data are observations on financial variables taken daily or at a finer
time scale, and are often irregularly spaced over time. Advances in computer technology
and data recording and storage have made these data sets increasingly accessible to ...
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Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks

[PDF] from winona.edu
CH Chen, WC Yu… - International Journal of Forecasting, 2011 - Elsevier
We use realized volatilities based on after-hours high frequency stock returns to predict next
day stock volatility. We extend the GARCH model to include additional information: the
whole after hours period, the preopen realized variance, the postclose realized variance, ...
Related articles - Get it from MIT Libraries - All 2 versions

[CITATION] Further Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation

P Fuleky… - 2010
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The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Markov Regime-Switching and Unit Root Tests

CR Nelson, J Piger… - federalreserve.gov
Abstract: We investigate the power and size performance of unit root tests when the true data
generating process undergoes Markov regime-switching. All tests, including those robust to
a single break in trend growth rate, have very low power against a process with a Markov- ...
Cached - All 2 versions

[PDF] Journal of International Money and Finance

[PDF] from winona.edu
Full text - MIT Libraries
K Choi, WC Yu… - Journal of International Money and …, 2010 - course1.winona.edu
We explore the possibility of structural breaks in the daily realized volatility of the
Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with
observed long memory behavior. We find that structural breaks in the mean can partly ...
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Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?

C Nelson… - Econometric Society World Congress 2000 …, 2000 - ideas.repec.org
Two widely used methods of decomposing GDP into trend and cycle yield starkly different
results. The unobserved component approach implies smooth trend with large, persistent
cycle. In contrast, the Beveridge and Nelson (1981) approach implies most of the variation ...
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[CITATION] Appendix: The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

D Creal, SJ Koopman… - 2008

Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter

[PDF] from unipr.it
Full text - MIT Libraries
D Creal, SJ Koopman… - Journal of applied …, 2010 - Wiley Online Library
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic
variables. The coincident economic indicator is based on a multivariate trend cycle decomposition
model and is constructed from a moderate set of US macroeconomic time series. In ...
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[PDF] Improved Inference for Efficient Method of Moments and Indirect Inference Estimators

[PDF] from smu.edu.sg
V Czellar… - 2008 - economics.smu.edu.sg
Abstract The efficient method of moments (EMM) and indirect inference (II) are two widely
used simulation-based techniques for estimating structural models that have intractable
likelihood functions. The poor performance in finite samples of traditional coefficient and ...
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