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 66 0 0 3 201
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 0 0 2 409
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 118 1 1 8 297
A survey of sequential Monte Carlo methods for economics and finance 0 1 6 534 0 2 10 1,344
Bond Risk Premia in Consumption-based Models 0 0 1 34 0 1 2 119
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility 0 0 0 36 0 0 2 117
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 79 1 1 7 172
Generalized Autoregressive Method of Moments 0 0 0 74 0 1 6 140
International Yield Curves and Currency Puzzles 0 0 0 38 0 0 0 56
International yield curves and currency puzzles 0 0 0 38 2 2 3 91
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 2 55 1 1 4 153
Monetary Policy Uncertainty and Economic Fluctuations 0 0 2 73 0 0 3 191
Multihorizon Currency Returns and Purchasing Power Parity 0 0 1 21 0 0 1 42
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 19 2 2 5 43
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 0 0 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 3 48 0 1 7 160
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds 0 0 0 7 1 1 3 58
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 1 1 7 2 7 20 41
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds 0 0 1 14 1 1 3 40
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 2 2 78
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 1 1 236
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks 0 0 0 65 1 1 1 297
Total Working Papers 0 2 20 1,700 13 25 93 4,548

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 1 1 7 0 1 3 29
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 57 0 1 3 200
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 1 29 0 2 5 112
A Survey of Sequential Monte Carlo Methods for Economics and Finance 0 0 4 30 0 0 9 137
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 0 0 0 86 0 0 1 262
Bayesian estimation of cluster covariance matrices of unknown form 3 3 5 5 3 3 10 10
Bond risk premia in consumption‐based models 0 0 0 3 0 3 3 19
Estimation of affine term structure models with spanned or unspanned stochastic volatility 0 0 0 20 1 2 6 133
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 137 1 1 6 366
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2 3 6 106 3 4 15 339
High dimensional dynamic stochastic copula models 0 0 5 70 0 3 14 287
International Yield Curves and Currency Puzzles 0 0 4 12 0 3 14 49
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 0 0 1 22 1 2 5 136
Market-Based Credit Ratings 1 3 4 10 1 3 4 42
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 43 1 2 5 195
Observation-driven filtering of time-varying parameters using moment conditions 0 2 5 6 1 3 10 11
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds 0 0 1 5 0 2 7 16
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 0 0 26
Testing the assumptions behind importance sampling 0 0 0 67 1 1 2 272
The PPP View of Multihorizon Currency Risk Premiums 0 0 4 14 0 0 4 60
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics 0 0 0 193 0 1 8 565
Total Journal Articles 6 13 44 926 13 37 134 3,266

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 15 1 1 9 78
Total Chapters 0 0 1 15 1 1 9 78

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Statistics updated 2025-03-03