Eric Zivot

Economics and Econometrics · 2000–2011

A researcher in the Science corpus: 16 papers; trusts 62 researchers and is trusted by 48 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 66 citations into it; #2,437 of 23,481 by trust here, #3,351 by citations
• Finance — 54 citations into it; #2,993 of 10,518 by trust here, #3,517 by citations
• Statistics and Probability — 17 citations into it; #6,118 of 12,932 by trust here, #6,552 by citations
• Management Science and Operations Research — 15 citations into it; #3,948 of 11,946 by trust here, #4,602 by citations

Whom Eric Zivot trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Timo Teräsvirta
2. Tim Bollerslev
3. Robert F. Engle
4. Daniel B. Nelson
5. P. R. Hansen
6. Ser-Huang Poon
7. Christopher A. Sims
8. Annastiina Silvennoinen
9. Jan Beran
10. Clive W. J. Granger

Who trusts Eric Zivot overall

1. Elena Pesavento
2. B. Hansen
3. Graham Elliott
4. Shengna Guo
5. Tālis J. Putniņš
6. Abhimanyu Das
7. James Morley
8. Michael Jansson
9. L. Pham
10. N. Minot

Papers from Eric Zivot's perspective

Ordered by how strongly the researchers Eric Zivot trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Statistics for long-memory processes
3. Tests for Parameter Instability and Structural Change with Unknown Change Point
4. Long Memory and Regime Switching
5. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
6. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
7. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
8. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
9. Large sample estimation and hypothesis testing
10. Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (Review of Economics and Statistics)

Their papers

• THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE (2001) — 445 citations
• Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation (2007) — 125 citations
• Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility (2010) — 113 citations
• Bayesian and Classical Approaches to Instrumental Variables Regression (2003) — 162 citations
• Markov Regime Switching and Unit-Root Tests (2000) — 138 citations
• Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003) — 515 citations
• Cointegration and forward and spot exchange rate regressions (2000) — 114 citations
• A Structural Analysis of Price Discovery Measures (2010) — 249 citations
• Vector Autoregressive Models for Multivariate Time Series (2003) — 558 citations
• Practical Issues in the Analysis of Univariate GARCH Models (2009) — 217 citations
• A new method of projection-based inference in GMM with weakly identified nuisance parameters (2011) — 82 citations
• The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics (2008) — 50 citations
• Rolling Analysis of Time Series (2003) — 100 citations
• Modeling Financial Time Series with S-PLUS (2003) — 68 citations
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED (2000) — 71 citations
• A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance (2000) — 140 citations