Details about Drew D. Creal

Access statistics for papers by Drew D. Creal.

Last updated 2024-07-08. Update your information in the RePEc Author Service.

Short-id: pcr106

Working Papers

2022

1. International yield curves and currency puzzles
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (1)
   See also Journal Article International Yield Curves and Currency Puzzles, Journal of Finance, American Finance Association (2023) (2023)

2021

2. Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (10)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (10)
   See also Journal Article Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds, Journal of International Economics, Elsevier (2023) View citations (1) (2023)

2018

3. Generalized Autoregressive Method of Moments
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
4. Multihorizon Currency Returns and Purchasing Power Parity
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (2)

2016

5. Bond Risk Premia in Consumption-based Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   See also Journal Article Bond risk premia in consumption‐based models, Quantitative Economics, Econometric Society (2020) View citations (8) (2020)

2014

6. Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article Estimation of affine term structure models with spanned or unspanned stochastic volatility, Journal of Econometrics, Elsevier (2015) View citations (34) (2015)
7. Monetary Policy Uncertainty and Economic Fluctuations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2017) View citations (78) (2017)
8. Testing for Parameter Instability in Competing Modeling Frameworks
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2013

9. Observation driven mixed-measurement dynamic factor models with an application to credit risk
   Working Paper Series, European Central Bank View citations (11)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
   See also Journal Article Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk, The Review of Economics and Statistics, MIT Press (2014) View citations (80) (2014)

2011

10. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

2010

11. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    See also Journal Article A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (162) (2011)

2009

12. A General Framework for Observation Driven Time-Varying Parameter Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (40)
13. A survey of sequential Monte Carlo methods for economics and finance
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (16)
    See also Journal Article A Survey of Sequential Monte Carlo Methods for Economics and Finance, Econometric Reviews, Taylor & Francis Journals (2012) View citations (102) (2012)

2008

14. Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
    Working Papers, University of Washington, Department of Economics
    See also Journal Article Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (7) (2010)
15. 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 View citations (2)

2006

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

Journal Articles

2024

1. Bayesian estimation of cluster covariance matrices of unknown form
   Journal of Econometrics, 2024, 241, (1)
2. Observation-driven filtering of time-varying parameters using moment conditions
   Journal of Econometrics, 2024, 238, (2) View citations (2)

2023

3. International Yield Curves and Currency Puzzles
   Journal of Finance, 2023, 78, (1), 209-245
   See also Working Paper International yield curves and currency puzzles, CEPR Discussion Papers (2022) View citations (1) (2022)
4. Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds
   Journal of International Economics, 2023, 140, (C) View citations (1)
   See also Working Paper Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds, BIS Working Papers (2021) View citations (1) (2021)

2021

5. The PPP View of Multihorizon Currency Risk Premiums
   The Review of Financial Studies, 2021, 34, (6), 2728-2772 View citations (4)

2020

6. Bond risk premia in consumption‐based models
   Quantitative Economics, 2020, 11, (4), 1461-1484 View citations (8)
   See also Working Paper Bond Risk Premia in Consumption-based Models, NBER Working Papers (2016) View citations (11) (2016)

2017

7. A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
   Journal of Business & Economic Statistics, 2017, 35, (4), 585-597 View citations (9)
8. MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS
   International Economic Review, 2017, 58, (4), 1317-1354 View citations (78)
   See also Working Paper Monetary Policy Uncertainty and Economic Fluctuations, NBER Working Papers (2014) View citations (4) (2014)
9. Testing for Parameter Instability across Different Modeling Frameworks
   Journal of Financial Econometrics, 2017, 15, (2), 223-246 View citations (8)

2015

10. Estimation of affine term structure models with spanned or unspanned stochastic volatility
    Journal of Econometrics, 2015, 185, (1), 60-81 View citations (34)
    See also Working Paper Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility, NBER Working Papers (2014) View citations (1) (2014)
11. High dimensional dynamic stochastic copula models
    Journal of Econometrics, 2015, 189, (2), 335-345 View citations (66)

2014

12. Market-Based Credit Ratings
    Journal of Business & Economic Statistics, 2014, 32, (3), 430-444 View citations (6)
13. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 View citations (80)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) View citations (11) (2013)

2013

14. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 View citations (499)

2012

15. A Survey of Sequential Monte Carlo Methods for Economics and Finance
    Econometric Reviews, 2012, 31, (3), 245-296 View citations (102)
    See also Working Paper A survey of sequential Monte Carlo methods for economics and finance, Serie Research Memoranda (2009) View citations (16) (2009)

2011

16. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 View citations (162)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 (2011) View citations (163)
    See also Working Paper A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Tinbergen Institute Discussion Papers (2010) View citations (21) (2010)

2010

17. Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
    Journal of Applied Econometrics, 2010, 25, (4), 695-719 View citations (7)
    See also Working Paper Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter, Working Papers (2008) (2008)

2009

18. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 View citations (34)

2008

19. Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2863-2876 View citations (16)
20. 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 View citations (29)

Chapters

2019

1. Determinants of Asia-Pacific government bond yields
   A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 29-39