Drew D. Creal

发表

A Survey of Sequential Monte Carlo Methods for Economics and Finance

Drew D. Creal, 2012 .

Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

Drew D. Creal, 2008, Comput. Stat. Data Anal..

Sequential Monte Carlo samplers for Bayesian DSGE models

Drew D. Creal, 2007 .

High Dimensional Dynamic Stochastic Copula Models

Ruey S. Tsay, Drew D. Creal, R. Tsay, 2014 .

Mixed Measurement Dynamic Factor Models

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2010 .

Testing for Parameter Instability in Competing Modeling Frameworks

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2014 .

Generalized autoregressive score models with applications ∗

Drew D. Creal, S. Koopman, A. Lucas, 2010 .

Testing the assumptions behind importance sampling

Drew D. Creal, N. Shephard, S. Koopman, 2009 .

NBER WORKING PAPER SERIES BOND RISK PREMIA IN CONSUMPTION-BASED MODELS

Drew D. Creal, Jing Cynthia Wu, 2016 .

No . 14-25 High Dimensional Dynamic Stochastic Copula Models

Drew D. Creal, R. Tsay, 2014 .

Generalized autoregressive Method of Moments

Drew D. Creal, S. Koopman, A. Lucas, 2015 .

Generalized Autoregressive Score Models

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2012 .

The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics

Drew D. Creal, Eric Zivot, Kum Hwa Oh, 2008 .

Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter

Drew D. Creal, Eric Zivot, S. Koopman, 2010 .

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-Varying Multivariate Trend-Cycle Model

Drew D. Creal, S. Koopman, S. J. Koopman, 2008 .

Testing for Parameter Instability across Different Modeling Frameworks

Drew D. Creal, S. Koopman, A. Lucas, 2016 .

Testing for Parameter Instability across Competing Modeling Frameworks ∗

Drew D. Creal, S. Koopman, A. Lucas, 2014 .

Monetary Policy Uncertainty and Economic Fluctuations

Drew D. Creal, Jing Cynthia Wu, 2017 .

Exact likelihood inference for autoregressive gamma stochastic volatility models 1

Drew D. Creal, 2012 .

A Class of Non-Gaussian State Space Models With Exact Likelihood Inference

Drew D. Creal, 2014 .

Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

Drew D. Creal, Peter Hördahl, Mikhail Chernov, 2020, SSRN Electronic Journal.

Monetary Policy Uncertainty and Economic Fluctuations ∗

Drew D. Creal, Jing Cynthia Wu, 2014 .

Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Siem Jan Koopman, Drew D. Creal, André Lucas, 2011, Review of Economics and Statistics.

TI 11-042 / DSF 16 Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Andre Lucas, Drew D. Creal, Bernd Schwaab, 2011 .

Interest Rate Uncertainty and Economic Fluctuations

Drew D. Creal, Jing Cynthia Wu, 2014 .

Research Unit for Statistical and Empirical Analysis in Social Sciences (hi-stat) Global Coe Hi-stat Discussion Paper Series a General Framework for Observation Driven Time-varying Parameter Models a General Framework for Observation Driven Time-varying Parameter Models *

Andre Lucas, Drew D. Creal, S. Koopman, 2022 .

The Multinational Advantage

Drew D. Creal, Jonathan L. Rogers, Sarah L. C. Zechman, 2014 .

Market-Based Credit Ratings

Drew D. Creal, R. Gramacy, R. Tsay, 2012 .

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Siem Jan Koopman, Drew D. Creal, André Lucas, 2010 .

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

Drew D. Creal, Jing Cynthia Wu, 2014 .

The PPP View of Multihorizon Currency Risk Premiums

Drew D. Creal, Mikhail Chernov, 2020 .

The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks

Drew D. Creal, Eric Zivot, Kum Hwa Oh, 2006 .

NBER WORKING PAPER SERIES MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS

Drew D. Creal, Jing Cynthia Wu, Jing Cynthia Wu, 2016 .

Generalized Autoregressive Score Models with Applications ∗

Drew D. Creal, A. Lucas, S. J. Koopman, 2011 .

Generalized Autoregressive Score Models

Drew D. Creal, A. Lucas, S. J. Koopman, 2012 .

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS

Drew D. Creal, A. Lucas, S. J. Koopman, 2013 .

A general framework for observation-driven time-varying parameter models ∗

Drew D. Creal, A. Lucas, S. J. Koopman, 2010 .

Multihorizon Currency Returns and Purchasing Power Parity

Drew D. Creal, Mikhail Chernov, 2018 .

Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters

Drew D. Creal, Y. Gu, E. Zivot, 2006 .

Evaluating structural models for the U . S . short rate using EMM and optimal filters

Drew D. Creal, Y. Gu, E. Zivot, 2007 .

Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter

Drew D. Creal, S. J. Koopman, E. Zivot, 2010 .

Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty

Drew D. Creal, Jing Cynthia Wu, 2014 .

Interest Rate Uncertainty and Economic Fluctuations

Drew D. Creal, Jing Cynthia Wu, 2014 .

Estimation of non-Gaussian Ane Term Structure Models

Drew D. Creal, Jing Cynthia Wu, 2013 .

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Drew D. Creal, A. Lucas, Xin Zhang, 2011 .

A New Model for Dynamic Correlations under Skewness and Fat Tails

Drew D. Creal, A. Lucas, Xin Zhang, 2011 .

NBER WORKING PAPER SERIES BOND RISK PREMIA IN CONSUMPTION-BASED MODELS

Drew D. Creal, Jing Cynthia Wu, 2016 .