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 8 11 15 216
A General Framework for Observation Driven Time-Varying Parameter Models 1 1 1 119 5 8 14 310
A General Framework for Observation Driven Time-Varying Parameter Models 0 2 2 174 3 11 15 424
A survey of sequential Monte Carlo methods for economics and finance 0 1 2 536 8 13 20 1,364
Bond Risk Premia in Consumption-based Models 0 0 0 34 4 10 10 129
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 7 7 7 124
Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters 0 0 0 38 2 6 9 116
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 4 8 12 183
Generalized Autoregressive Method of Moments 1 1 1 75 4 6 9 149
International Yield Curves and Currency Puzzles 0 0 0 38 10 11 11 67
International yield curves and currency puzzles 0 0 0 38 5 8 13 102
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 1 1 1 56 3 5 8 160
Monetary Policy Uncertainty and Economic Fluctuations 0 0 0 73 3 9 15 206
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 3 5 10 51
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 21 4 5 6 48
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 5 6 162
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 49 5 6 12 172
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 1 8 5 11 15 72
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 0 7 9 12 14 53
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 0 14 6 10 15 54
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 7 9 86
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 32 41 42 278
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 3 5 10 306
Total Working Papers 3 6 10 1,710 135 220 297 4,832

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 3 8 12 41
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 30 6 7 10 122
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 57 8 16 20 220
A Survey of Sequential Monte Carlo Methods for Economics and Finance 0 2 6 36 4 10 16 153
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 2 3 3 265
Bayesian estimation of cluster covariance matrices of unknown form 0 0 5 7 3 5 13 20
Bond risk premia in consumption‐based models 0 0 0 3 7 11 13 32
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 0 2 22 4 6 14 146
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 1 1 138 3 7 10 375
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 1 8 112 4 9 28 364
High dimensional dynamic stochastic copula models 0 0 3 73 5 12 23 310
International Yield Curves and Currency Puzzles 2 2 2 14 6 14 17 66
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 0 4 26 2 2 12 147
Market-Based Credit Ratings 0 0 4 13 5 7 14 55
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 1 2 45 4 7 12 206
Observation-driven filtering of time-varying parameters using moment conditions 0 0 1 7 4 7 11 21
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 6 3 4 9 25
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 3 6 9 35
Testing the assumptions behind importance sampling 0 0 0 67 4 7 10 281
The PPP View of Multihorizon Currency Risk Premiums 0 0 1 15 2 3 6 66
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 1 194 1 2 4 569
Total Journal Articles 2 7 42 962 83 153 266 3,519

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 3 4 19 5 12 21 98
Total Chapters 0 3 4 19 5 12 21 98

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Statistics updated 2026-02-12