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 0 64 1 3 10 192
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 1 168 1 2 10 386
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 2 111 1 4 12 270
A survey of sequential Monte Carlo methods for economics and finance 1 1 7 514 3 10 40 1,287
Bond Risk Premia in Consumption-based Models 0 0 2 31 3 5 25 87
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 1 4 21 106
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters 0 1 1 37 0 1 1 106
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 76 0 1 5 148
Generalized Autoregressive Method of Moments 1 3 4 73 2 7 26 107
International Yield Curves and Currency Puzzles 0 0 1 35 1 2 7 42
International yield curves and currency puzzles 0 0 1 36 0 1 2 79
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 51 0 1 20 142
Monetary Policy Uncertainty and Economic Fluctuations 0 0 6 69 1 2 40 168
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 18 0 2 4 31
Multihorizon Currency Returns and Purchasing Power Parity 0 0 1 20 0 1 6 36
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 54 1 2 9 150
Observation driven mixed-measurement dynamic factor models with an application to credit risk 1 1 3 40 2 5 14 142
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 2 3 0 1 23 35
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 3 4 0 2 8 17
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 2 3 3 0 3 15 15
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 18 0 3 7 66
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 85 2 5 12 230
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 1 64 0 6 14 250
Total Working Papers 3 10 39 1,610 19 73 331 4,092

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 2 6 0 1 4 23
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 5 25 2 6 21 93
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 1 55 0 3 10 192
A Survey of Sequential Monte Carlo Methods for Economics and Finance 0 2 7 13 1 7 31 55
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 1 85 1 3 9 200
Bond risk premia in consumption‐based models 0 0 0 0 1 2 7 7
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 1 3 17 0 3 17 107
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 131 0 3 13 345
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 0 5 78 2 5 21 266
High dimensional dynamic stochastic copula models 0 0 6 48 1 4 28 215
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 0 2 14 1 6 22 82
Market-Based Credit Ratings 0 0 0 2 0 0 0 30
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 4 6 35 0 5 19 172
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 3 0 0 4 24
Testing the assumptions behind importance sampling 0 0 0 65 0 2 6 264
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 1 3 4 187 1 5 16 536
Total Journal Articles 1 12 42 764 10 55 228 2,611

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 8 0 3 14 40
Total Chapters 0 0 1 8 0 3 14 40

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Statistics updated 2021-10-04