Drew D. Creal

Names

first:	Drew
middle:	Dennis
last:	Creal

Identifer

RePEc Short-ID:

pcr106

Contact

homepage:	https://sites.google.com/view/drewcreal
postal address:	University of Illinois Urbana-Champaign David Kinley Hall 1407 W Gregory Dr Suite 15 Urbana, IL 61801

Affiliations

University of Illinois at Urbana-Champaign / Department of Economics
- EDIRC entry
- location:

Research profile

author of:

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:bes:jnlbes:v:29:i:4:y:2011:p:552-563)
by Creal, Drew & Koopman, Siem Jan & Lucas, AndrÃ©
Determinants of Asia-Pacific government bond yields (RePEc:bis:bisbpc:102-05)
by Mikhail Chernov & Drew Creal & Peter Hördahl
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds (RePEc:bis:biswps:918)
by Mikhail Chernov & Drew Creal & Peter Hördahl
International Yield Curves and Currency Puzzles (RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245)
by Mikhail Chernov & Drew Creal
Multihorizon Currency Returns and Purchasing Power Parity (RePEc:cpr:ceprdp:12893)
by Chernov, Mikhail & Creal, Drew
International yield curves and currency puzzles (RePEc:cpr:ceprdp:13252)
by Chernov, Mikhail & Creal, Drew
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds (RePEc:cpr:ceprdp:14986)
by Chernov, Mikhail & Creal, Drew & HÃ¶rdahl, Peter
Observation driven mixed-measurement dynamic factor models with an application to credit risk (RePEc:ecb:ecbwps:20131626)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (RePEc:eee:csdana:v:52:y:2008:i:6:p:2863-2876)
by Creal, Drew D.
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics (RePEc:eee:econom:v:146:y:2008:i:2:p:207-219)
by Oh, Kum Hwa & Zivot, Eric & Creal, Drew
Testing the assumptions behind importance sampling (RePEc:eee:econom:v:149:y:2009:i:1:p:2-11)
by Koopman, Siem Jan & Shephard, Neil & Creal, Drew
Estimation of affine term structure models with spanned or unspanned stochastic volatility (RePEc:eee:econom:v:185:y:2015:i:1:p:60-81)
by Creal, Drew D. & Wu, Jing Cynthia
High dimensional dynamic stochastic copula models (RePEc:eee:econom:v:189:y:2015:i:2:p:335-345)
by Creal, Drew D. & Tsay, Ruey S.
Observation-driven filtering of time-varying parameters using moment conditions (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512)
by Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin
Bayesian estimation of cluster covariance matrices of unknown form (RePEc:eee:econom:v:241:y:2024:i:1:s030440762400071x)
by Creal, Drew & Kim, Jaeho
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds (RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246)
by Chernov, Mikhail & Creal, Drew & Hördahl, Peter
A General Framework for Observation Driven Time-Varying Parameter Models (RePEc:hst:ghsdps:gd08-038)
by Drew Creal & Siem Jan Koopman & Andre Lucas
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter (RePEc:jae:japmet:v:25:y:2010:i:4:p:695-719)
by Drew Creal & Siem Jan Koopman & Eric Zivot
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (RePEc:nbr:nberwo:20115)
by Drew D. Creal & Jing Cynthia Wu
Monetary Policy Uncertainty and Economic Fluctuations (RePEc:nbr:nberwo:20594)
by Drew D. Creal & Jing Cynthia Wu
Bond Risk Premia in Consumption-based Models (RePEc:nbr:nberwo:22183)
by Drew D. Creal & Jing Cynthia Wu
Multihorizon Currency Returns and Purchasing Power Parity (RePEc:nbr:nberwo:24563)
by Mikhail Chernov & Drew D. Creal
International Yield Curves and Currency Puzzles (RePEc:nbr:nberwo:25206)
by Mikhail Chernov & Drew D. Creal
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds (RePEc:nbr:nberwo:27500)
by Mikhail Chernov & Drew D. Creal & Peter Hördahl
Testing for Parameter Instability across Different Modeling Frameworks (RePEc:oup:jfinec:v:15:y:2017:i:2:p:223-246.)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas
The PPP View of Multihorizon Currency Risk Premiums (RePEc:oup:rfinst:v:34:y:2021:i:6:p:2728-2772.)
by Mikhail Chernov & Drew Creal
A Survey of Sequential Monte Carlo Methods for Economics and Finance (RePEc:taf:emetrv:v:31:y:2012:i:3:p:245-296)
by Drew Creal
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:taf:jnlbes:v:29:y:2011:i:4:p:552-563)
by Drew Creal & Siem Jan Koopman & André Lucas
Market-Based Credit Ratings (RePEc:taf:jnlbes:v:32:y:2014:i:3:p:430-444)
by Drew D. Creal & Robert B. Gramacy & Ruey S. Tsay
A Class of Non-Gaussian State Space Models With Exact Likelihood Inference (RePEc:taf:jnlbes:v:35:y:2017:i:4:p:585-597)
by Drew D. Creal
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model (RePEc:tin:wpaper:20080069)
by Drew Creal & Siem Jan Koopman & Eric Zivot
A General Framework for Observation Driven Time-Varying Parameter Models (RePEc:tin:wpaper:20080108)
by Drew Creal & Siem Jan Koopman & André Lucas
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:tin:wpaper:20100032)
by Drew Creal & Siem Jan Koopman & André Lucas
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (RePEc:tin:wpaper:20110042)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails (RePEc:tin:wpaper:20110078)
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas
Testing for Parameter Instability in Competing Modeling Frameworks (RePEc:tin:wpaper:20140010)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas
Generalized Autoregressive Method of Moments (RePEc:tin:wpaper:20150138)
by Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (RePEc:tpr:restat:v:96:y:2014:i:5:p:898-915)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andrï¿½ Lucas
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks (RePEc:udb:wpaper:uwec-2006-16-fc)
by Kum Hwa Oh & Eric Zivot & Drew Creal
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters (RePEc:udb:wpaper:uwec-2006-18)
by Drew Creal & Ying Gu & Eric Zivot
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter (RePEc:udb:wpaper:uwec-2008-15-fc)
by Drew Creal & Siem Jan Koopman & Eric Zivot
A survey of sequential Monte Carlo methods for economics and finance (RePEc:vua:wpaper:2009-18)
by Creal, D.
Monetary Policy Uncertainty And Economic Fluctuations (RePEc:wly:iecrev:v:58:y:2017:i:4:p:1317-1354)
by Drew D. Creal & Jing Cynthia Wu
Generalized Autoregressive Score Models With Applications (RePEc:wly:japmet:v:28:y:2013:i:5:p:777-795)
by Drew Creal & Siem Jan Koopman & André Lucas
Bond risk premia in consumption‐based models (RePEc:wly:quante:v:11:y:2020:i:4:p:1461-1484)
by Drew D. Creal & Jing Cynthia Wu

The profile is maintained by Drew D. Creal

Permanent link: http://authors.repec.org/pro/pcr106/