Access Statistics for Drew D. Creal

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 66 0 0 2 201
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 118 0 1 6 297
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 0 0 2 409
A survey of sequential Monte Carlo methods for economics and finance 0 0 5 534 1 1 10 1,345
Bond Risk Premia in Consumption-based Models 0 0 0 34 0 0 1 119
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 0 0 1 117
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters 0 0 0 38 0 0 0 107
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 1 79 2 4 10 175
Generalized Autoregressive Method of Moments 0 0 0 74 0 0 3 140
International Yield Curves and Currency Puzzles 0 0 0 38 0 0 0 56
International yield curves and currency puzzles 0 0 0 38 0 2 3 91
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 0 55 0 1 2 153
Monetary Policy Uncertainty and Economic Fluctuations 0 0 1 73 0 2 3 193
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 0 2 4 43
Multihorizon Currency Returns and Purchasing Power Parity 0 0 1 21 0 0 1 42
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 0 0 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 3 48 1 1 7 161
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 0 7 0 2 4 59
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 7 0 2 20 41
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 1 14 1 2 3 41
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 0 1 2 78
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 0 0 1 236
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 0 2 2 298
Total Working Papers 0 0 15 1,700 5 23 87 4,558

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Class of Non-Gaussian State Space Models With Exact Likelihood Inference 0 0 1 7 0 0 3 29
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 29 0 0 5 112
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 57 0 0 3 200
A Survey of Sequential Monte Carlo Methods for Economics and Finance 1 1 3 31 1 2 9 139
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 0 0 1 262
Bayesian estimation of cluster covariance matrices of unknown form 0 4 6 6 1 5 12 12
Bond risk premia in consumption‐based models 0 0 0 3 0 1 4 20
Estimation of affine term structure models with spanned or unspanned stochastic volatility 1 1 1 21 1 2 5 134
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 137 1 3 7 368
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 4 8 108 2 6 16 342
High dimensional dynamic stochastic copula models 0 0 3 70 3 3 14 290
International Yield Curves and Currency Puzzles 0 0 3 12 1 1 12 50
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 1 1 2 23 1 3 7 138
Market-Based Credit Ratings 0 2 5 11 0 2 5 43
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 1 1 2 44 2 3 7 197
Observation-driven filtering of time-varying parameters using moment conditions 0 0 4 6 0 1 6 11
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 1 1 1 6 2 2 7 18
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 1 1 1 27
Testing the assumptions behind importance sampling 0 0 0 67 0 1 2 272
The PPP View of Multihorizon Currency Risk Premiums 0 0 3 14 0 1 4 61
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 0 193 0 0 6 565
Total Journal Articles 6 15 44 935 16 37 136 3,290

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Determinants of Asia-Pacific government bond yields 0 0 1 15 0 3 9 80
Total Chapters 0 0 1 15 0 3 9 80

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Statistics updated 2025-05-12