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 65 1 1 4 199
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 4 117 2 3 9 291
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 2 172 0 0 7 407
A survey of sequential Monte Carlo methods for economics and finance 1 1 6 529 1 4 17 1,335
Bond Risk Premia in Consumption-based Models 0 1 2 34 0 1 6 118
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 0 1 2 116
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 78 0 0 9 165
Generalized Autoregressive Method of Moments 0 0 1 74 1 4 9 137
International Yield Curves and Currency Puzzles 0 0 1 38 0 0 4 56
International yield curves and currency puzzles 0 0 0 38 0 0 1 88
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 2 2 3 55 2 2 3 151
Monetary Policy Uncertainty and Economic Fluctuations 0 1 1 72 1 2 6 190
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 20 0 0 0 41
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 1 1 2 39
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 57 0 0 3 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 45 1 2 4 154
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 1 7 0 1 5 55
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 0 6 0 0 1 21
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 0 13 1 1 3 38
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 0 1 2 76
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 1 235
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 0 0 11 296
Total Working Papers 3 5 25 1,685 11 24 109 4,471


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 6 0 0 0 26
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 2 28 0 1 9 107
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 56 0 0 1 197
A Survey of Sequential Monte Carlo Methods for Economics and Finance 2 3 8 28 2 4 25 130
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 0 0 12 261
Bond risk premia in consumption‐based models 0 0 1 3 0 0 1 16
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 0 0 20 0 2 7 129
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 1 5 137 0 1 6 361
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 1 7 100 0 4 18 326
High dimensional dynamic stochastic copula models 1 2 10 67 1 3 22 276
International Yield Curves and Currency Puzzles 0 1 6 9 0 4 19 38
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 1 3 21 0 2 14 131
Market-Based Credit Ratings 0 0 2 6 0 0 2 38
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 42 0 0 2 190
Observation-driven filtering of time-varying parameters using moment conditions 0 2 2 2 0 5 5 5
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 1 1 4 5 1 2 8 11
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 0 1 26
Testing the assumptions behind importance sampling 0 0 1 67 0 0 2 270
The PPP View of Multihorizon Currency Risk Premiums 0 2 3 11 0 2 13 57
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 1 193 1 2 6 559
Total Journal Articles 4 14 56 891 5 32 173 3,154


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 3 14 1 2 9 71
Total Chapters 0 0 3 14 1 2 9 71


Statistics updated 2024-05-04