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Drew Creal
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Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
1100*2013
A survey of sequential Monte Carlo methods for economics and finance
D Creal
Econometric reviews 31 (3), 245-296, 2012
3572012
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
D Creal, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 29 (4), 552-563, 2011
3512011
Monetary policy uncertainty and economic fluctuations
DD Creal, JC Wu
International Economic Review 58 (4), 1317-1354, 2017
206*2017
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
D Creal, B Schwaab, SJ Koopman, A Lucas
Review of Economics and Statistics 96 (5), 898-915, 2014
1762014
High dimensional dynamic stochastic copula models
DD Creal, RS Tsay
Journal of Econometrics 189 (2), 335-345, 2015
1342015
Testing the assumptions behind importance sampling
SJ Koopman, N Shephard, D Creal
Journal of Econometrics 149 (1), 2-11, 2009
1222009
Estimation of affine term structure models with spanned or unspanned stochastic volatility
DD Creal, JC Wu
Journal of Econometrics 185 (1), 60-81, 2015
792015
Bond risk premia in consumption‐based models
DD Creal, JC Wu
Quantitative Economics 11 (4), 1461-1484, 2020
722020
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
KH Oh, E Zivot, D Creal
Journal of Econometrics 146 (2), 207-219, 2008
72*2008
The multinational advantage
D Creal, LA Robinson, JL Rogers, SLC Zechman
Fama-Miller Working Paper, Chicago Booth Research Paper, 2014
502014
Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter
D Creal, SJ Koopman, E Zivot
Journal of applied econometrics 25 (4), 695-719, 2010
462010
Market-based credit ratings
DD Creal, RB Gramacy, RS Tsay
Journal of Business & Economic Statistics 32 (3), 430-444, 2014
392014
Analysis of filtering and smoothing algorithms for LÚvy-driven stochastic volatility models
DD Creal
Computational Statistics & Data Analysis 52 (6), 2863-2876, 2008
342008
Sequential Monte Carlo Samplers for Bayesian DSGE Models
D Creal
Manuscript, University Chicago Booth, 245-296, 2007
332007
A class of non-Gaussian state space models with exact likelihood inference
DD Creal
Journal of Business & Economic Statistics 35 (4), 585-597, 2017
302017
Testing for parameter instability across different modeling frameworks
F Calvori, D Creal, SJ Koopman, A Lucas
Journal of Financial Econometrics 15 (2), 223-246, 2017
292017
The PPP view of multihorizon currency risk premiums
M Chernov, D Creal
The Review of Financial Studies 34 (6), 2728-2772, 2021
27*2021
International yield curves and currency puzzles
M Chernov, D Creal
The Journal of Finance 78 (1), 209-245, 2023
222023
Generalized autoregressive method of moments
D Creal, SJ Koopman, A Lucas, M Zamojski
Tinbergen Institute Discussion Paper 15-138/III, 2018
202018
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Artikelen 1–20