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Details about Drew D. Creal

Homepage:http://faculty.chicagobooth.edu/drew.creal/index.html
Postal address:5807 S. Woodlawn Ave University of Chicago, Booth School of Business Chicago, IL 60637
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by Drew D. Creal.

Last updated 2015-12-10. Update your information in the RePEc Author Service.

Short-id: pcr106


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Working Papers

2014

  1. Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. Monetary Policy Uncertainty and Economic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2013

  1. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (2)

    See also Journal Article in The Review of Economics and Statistics (2014)

2011

  1. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)

2010

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (16)
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2009

  1. A General Framework for Observation Driven Time-Varying Parameter Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads View citations (3)
  2. A survey of sequential Monte Carlo methods for economics and finance
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (8)

2008

  1. Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
    Working Papers, University of Washington, Department of Economics Downloads
    See also Journal Article in Journal of Applied Econometrics (2010)
  2. The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2006

  1. Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters
    Working Papers, University of Washington, Department of Economics Downloads
  2. The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks
    Working Papers, University of Washington, Department of Economics Downloads View citations (3)

Journal Articles

2015

  1. Estimation of affine term structure models with spanned or unspanned stochastic volatility
    Journal of Econometrics, 2015, 185, (1), 60-81 Downloads View citations (7)
    See also Working Paper (2014)
  2. High dimensional dynamic stochastic copula models
    Journal of Econometrics, 2015, 189, (2), 335-345 Downloads View citations (6)

2014

  1. Market-Based Credit Ratings
    Journal of Business & Economic Statistics, 2014, 32, (3), 430-444 Downloads View citations (2)
  2. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 Downloads View citations (21)
    See also Working Paper (2013)

2013

  1. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 Downloads View citations (127)

2011

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 Downloads View citations (67)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 (2011) Downloads View citations (53)

    See also Working Paper (2010)

2010

  1. Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
    Journal of Applied Econometrics, 2010, 25, (4), 695-719 Downloads View citations (2)
    See also Working Paper (2008)

2009

  1. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 Downloads View citations (20)

2008

  1. Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2863-2876 Downloads View citations (9)
  2. The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
    Journal of Econometrics, 2008, 146, (2), 207-219 Downloads View citations (10)
 
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