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 ...
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. ...
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 ...
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 ( ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 [ ...
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 ...
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 ...
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 ( ...
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.
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 ...
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 ...
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, ...
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 ...
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) ...
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 (). ...
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 ...
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) ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Modeling Financial Time Series with S-Plus Springer-Verlag
E Zivot… - 2006
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 ...
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. ...
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 ...
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 ...
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 ...
[CITATION] Modelling Financial Time Series with S-Plus
Z Eric… - 2002 - Springer
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 ...
[CITATION] The power of single equation tests for cointegration when the cointegrating vector is known
E Zivot - Department of Economics, University of Washington, 1995
[CITATION] Introduction to Computational Finance and Financial Econometris: Chapter 1 Asset Return Calculation
E Zivot - 2007
[CITATION] A Bayesian Time Series Model of Structural Changes in Level
J Wang… - Trend, and, 2000
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 ...
[CITATION] Modeling Financial Time Series with S-Plus, Insightful Corporation
E Zivot… - Table IX, 2006
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 ...
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 ...
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 ...
[CITATION] Lecture notes for Economics 424: Computational Finance
E Zivot - 2007 - University of Washington
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Financial Econometrics. Department of Economics, University of Washington
E ZIVOT - Version electronica, 2002
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 ...
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 ...
[CITATION] The Relationship Between Macroeconomic and Financial Market Volatility: An Empirical Evidence of Factor Model
WC Yu… - 2006
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 ( ...
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, ...
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 ...
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 ...
[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
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
[CITATION] Further Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
P Fuleky… - 2010
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- ...
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 ...
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 ...
[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
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 ...
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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