Drew Creal

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations Journal of Business and Economic Statistics	2025-01-20	Paper
Market-Based Credit Ratings Journal of Business and Economic Statistics	2025-01-20	Paper
A Class of Non-Gaussian State Space Models With Exact Likelihood Inference Journal of Business and Economic Statistics	2024-10-09	Paper
Bayesian estimation of cluster covariance matrices of unknown form Journal of Econometrics	2024-06-12	Paper
Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics	2024-02-13	Paper
A survey of sequential Monte Carlo methods for economics and finance Econometric Reviews	2022-05-31	Paper
Bond risk premia in consumption-based models Quantitative Economics	2021-06-03	Paper
Monetary policy uncertainty and economic fluctuations International Economic Review	2018-04-11	Paper
Testing the assumptions behind importance sampling Journal of Econometrics	2016-07-04	Paper
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics Journal of Econometrics	2016-06-22	Paper
High dimensional dynamic stochastic copula models Journal of Econometrics	2015-10-30	Paper
Estimation of affine term structure models with spanned or unspanned stochastic volatility Journal of Econometrics	2015-05-06	Paper
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models Computational Statistics and Data Analysis	2009-06-12	Paper

Research outcomes over time

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