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 67 3 11 18 219
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 2 174 0 7 15 424
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 1 119 3 10 16 313
A survey of sequential Monte Carlo methods for economics and finance 0 1 2 536 1 13 21 1,365
Bond Risk Premia in Consumption-based Models 0 0 0 34 1 8 11 130
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 7 14 14 131
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters 0 0 0 38 0 4 9 116
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 1 8 12 184
Generalized Autoregressive Method of Moments 0 1 1 75 3 8 12 152
International Yield Curves and Currency Puzzles 0 0 0 38 1 12 12 68
International yield curves and currency puzzles 0 0 0 38 0 7 11 102
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 1 1 56 2 7 9 162
Monetary Policy Uncertainty and Economic Fluctuations 0 0 0 73 0 7 15 206
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 21 2 7 8 50
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 1 4 9 52
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 4 6 162
Observation driven mixed-measurement dynamic factor models with an application to credit risk 1 1 2 50 1 6 13 173
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 1 8 1 8 15 73
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 0 7 5 16 17 58
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 0 14 3 11 17 57
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 3 9 87
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 6 45 48 284
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 0 5 9 306
Total Working Papers 1 5 11 1,711 42 225 326 4,874

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 0 7 2 8 14 43
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 30 1 7 11 123
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 57 7 22 27 227
A Survey of Sequential Monte Carlo Methods for Economics and Finance 1 1 7 37 2 8 18 155
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 0 2 3 265
Bayesian estimation of cluster covariance matrices of unknown form 0 0 2 7 1 5 11 21
Bond risk premia in consumption‐based models 0 0 0 3 0 8 13 32
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 0 2 22 3 8 16 149
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 1 1 138 2 7 11 377
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 1 7 113 6 11 31 370
High dimensional dynamic stochastic copula models 0 0 3 73 3 14 26 313
International Yield Curves and Currency Puzzles 1 3 3 15 1 11 18 67
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 0 4 26 1 3 12 148
Market-Based Credit Ratings 0 0 3 13 0 7 13 55
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 1 2 45 1 6 12 207
Observation-driven filtering of time-varying parameters using moment conditions 1 1 2 8 1 7 11 22
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 6 1 4 10 26
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 2 8 11 37
Testing the assumptions behind importance sampling 0 0 0 67 1 5 10 282
The PPP View of Multihorizon Currency Risk Premiums 0 0 1 15 2 5 8 68
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 1 194 2 4 6 571
Total Journal Articles 4 8 40 966 39 160 292 3,558

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 1 3 5 20 4 14 24 102
Total Chapters 1 3 5 20 4 14 24 102

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Statistics updated 2026-03-04