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

Choi, Kyongwook; Zivot, Eric - In: Journal of international money and finance 26 (2007) 3, pp. 342-363

Persistent link: https://www.econbiz.de/10003441997

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

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of applied econometrics 25 (2010) 4, pp. 695-719

Persistent link: https://www.econbiz.de/10008667461

A structural analysis of price discovery measures

Yan, Bingcheng; Zivot, Eric - In: Journal of financial markets 13 (2010) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10003935472

Long memory versus structural breaks in modeling and forecasting realized volatility

Choi, Kyongwook; Yu, Wei-choun; Zivot, Eric - In: Journal of international money and finance 29 (2010) 5, pp. 857-875

Persistent link: https://www.econbiz.de/10003989920

A new projection-type split-sample score test in linear instrumental variables regression

Chaudhuri, Saraswata; Richardson, Thomas; Robinson, James A. - In: Econometric theory 26 (2010) 6, pp. 1820-1837

Persistent link: https://www.econbiz.de/10008738324

Indirect inference based on the score

Fuleky, Peter; Zivot, Eric - 2011

Persistent link: https://www.econbiz.de/10009377484

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

Yu, Wei-choun; Zivot, Eric - In: International journal of forecasting 27 (2011) 2, pp. 579-591

Persistent link: https://www.econbiz.de/10009247403

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

Sakoulis, Georgios; Zivot, Eric; Choi, Kyongwook - In: Journal of empirical finance 17 (2010) 5, pp. 957-966

Persistent link: https://www.econbiz.de/10009267231

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

Chaudhuri, Saraswata; Zivot, Eric - In: Journal of econometrics 164 (2011) 2, pp. 239-251

Persistent link: https://www.econbiz.de/10009301935

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

Persistent link: https://www.econbiz.de/10011376640