Drew D. Creal
Names
| first: |
Drew |
| middle: |
Dennis |
| last: |
Creal |
Identifer
Contact
Affiliations
-
University of Illinois at Urbana-Champaign
/ Department of Economics
Research profile
author of:
- Conditionally linear, matrix normal state space models (repec:arx:papers:2609.18734)
by Drew D. Creal & Marcelo C. Medeiros & Rodrigo Sarlo - 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, André - 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 & Hördahl, 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 & Andr� 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