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Modeling Financial Time Series with S-PLUS

Second Edition, 2005

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Forecasting inflation using commodity price aggregates

Journal of econometrics, 2014-11, Vol.183 (1), p.117-134

2014

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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Journal of business & economic statistics, 2002-01, Vol.20 (1), p.25-44

2002

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Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP so Different?

The review of economics and statistics, 2003-05, Vol.85 (2), p.235-243

2003

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

International journal of forecasting, 2011-04, Vol.27 (2), p.579-591

2011

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THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE

Macroeconomic dynamics, 2001-09, Vol.5 (4), p.533-576

2001

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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Journal of business & economic statistics, 1992-07, Vol.10 (3), p.251

1992

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A structural analysis of price discovery measures

Journal of financial markets (Amsterdam, Netherlands), 2010-02, Vol.13 (1), p.1-19

2010

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State Space Modeling Using SsfPack in S+FinMetrics 3.0

Journal of statistical software, 2011, Vol.41 (5)

Zivot, Eric W.

2011

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Cointegration and forward and spot exchange rate regressions

Journal of international money and finance, 2000-12, Vol.19 (6), p.785-812

Zivot, Eric

2000

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Price discovery share: An order invariant measure of price discovery

Finance research letters, 2024-09, Vol.67, p.105734, Article 105734

2024

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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Journal of business & economic statistics, 1992-07, Vol.10 (3), p.251-270

1992

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

Journal of econometrics, 2011-10, Vol.164 (2), p.239-251

2011

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Long memory versus structural breaks in modeling and forecasting realized volatility

Journal of international money and finance, 2010-09, Vol.29 (5), p.857-875

2010

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EVALUATING THE IMPACT OF ENVIRONMENTAL POLICY ON THE TREND BEHAVIOR OF US EMISSIONS OF NITROGEN OXIDES AND VOLATILE ORGANIC COMPOUNDS

Natural resource modeling, 2014-08, Vol.27 (3), p.311-337

2014

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Indirect inference based on the score

The econometrics journal, 2014-10, Vol.17 (3), p.383-393

2014

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

Journal of international money and finance, 2007-04, Vol.26 (3), p.342-363

2007

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Valid Confidence Intervals and Inference in the Presence of Weak Instruments

International economic review (Philadelphia), 1998-11, Vol.39 (4), p.1119-1144

1998

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

Journal of applied econometrics (Chichester, England), 2010-06, Vol.25 (4), p.695-719

2010

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Bayesian and classical approaches to instrumental variable regression

Journal of econometrics, 2003-05, Vol.114 (1), p.29-72

2003

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Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Journal of business & economic statistics, 2009-07, Vol.27 (3), p.293-311

2009

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Comment

Journal of business & economic statistics, 2009-07, Vol.27 (3), p.328-331

2009

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Comment

Journal of business & economic statistics, 2009-07, Vol.27 (3), p.328-331

2009

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A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance

Journal of business & economic statistics, 2000-07, Vol.18 (3), p.374-386

2000

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

Journal of empirical finance, 2010-12, Vol.17 (5), p.957-966

2010

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Modeling Financial Time Series with S-PLUS

Forecasting inflation using commodity price aggregates

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP so Different?

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

THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

A structural analysis of price discovery measures

State Space Modeling Using SsfPack in S+FinMetrics 3.0

Cointegration and forward and spot exchange rate regressions

Price discovery share: An order invariant measure of price discovery

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

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

Long memory versus structural breaks in modeling and forecasting realized volatility

EVALUATING THE IMPACT OF ENVIRONMENTAL POLICY ON THE TREND BEHAVIOR OF US EMISSIONS OF NITROGEN OXIDES AND VOLATILE ORGANIC COMPOUNDS

Indirect inference based on the score

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

Valid Confidence Intervals and Inference in the Presence of Weak Instruments

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

Bayesian and classical approaches to instrumental variable regression

Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Comment

Comment

A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance

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

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