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 1 1 67 3 7 7 208
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 118 1 4 7 303
A General Framework for Observation Driven Time-Varying Parameter Models 2 2 2 174 4 7 8 417
A survey of sequential Monte Carlo methods for economics and finance 0 1 2 535 1 5 10 1,352
Bond Risk Premia in Consumption-based Models 0 0 0 34 3 3 4 122
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 0 0 0 117
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters 0 0 0 38 2 5 5 112
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 1 1 5 176
Generalized Autoregressive Method of Moments 0 0 0 74 1 3 5 144
International Yield Curves and Currency Puzzles 0 0 0 38 0 0 0 56
International yield curves and currency puzzles 0 0 0 38 1 2 6 95
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 0 55 0 0 3 155
Monetary Policy Uncertainty and Economic Fluctuations 0 0 0 73 2 2 8 199
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 21 0 1 1 43
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 2 3 7 48
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 2 2 158
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 49 1 3 8 167
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 1 1 8 4 5 8 65
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 7 1 1 8 42
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 0 14 2 2 7 46
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 5 6 8 84
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 2 3 4 239
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 0 3 5 301
Total Working Papers 2 5 8 1,706 37 68 126 4,649

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 2 4 7 35
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 57 1 5 6 205
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 2 30 1 2 6 116
A Survey of Sequential Monte Carlo Methods for Economics and Finance 2 3 6 36 4 6 10 147
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 1 1 1 263
Bayesian estimation of cluster covariance matrices of unknown form 0 1 5 7 1 3 9 16
Bond risk premia in consumption‐based models 0 0 0 3 3 3 8 24
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 1 2 22 1 3 10 141
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 137 2 2 5 370
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 3 9 112 4 11 24 359
High dimensional dynamic stochastic copula models 0 0 3 73 1 3 15 299
International Yield Curves and Currency Puzzles 0 0 0 12 4 4 10 56
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 1 4 26 0 3 11 145
Market-Based Credit Ratings 0 0 6 13 0 1 9 48
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 44 2 3 8 201
Observation-driven filtering of time-varying parameters using moment conditions 0 0 3 7 1 1 7 15
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 6 1 4 8 22
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 1 3 29
Testing the assumptions behind importance sampling 0 0 0 67 3 3 6 277
The PPP View of Multihorizon Currency Risk Premiums 0 0 1 15 0 0 3 63
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 1 194 0 0 3 567
Total Journal Articles 3 10 45 958 32 63 169 3,398

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 2 2 17 2 5 11 88
Total Chapters 1 2 2 17 2 5 11 88

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Statistics updated 2025-12-06