Drew Creal

Available identifiers

Publication	Date of Publication	Type
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations	2025-01-20	Paper
Market-Based Credit Ratings	2025-01-20	Paper
A Class of Non-Gaussian State Space Models With Exact Likelihood Inference	2024-10-09	Paper
Bayesian estimation of cluster covariance matrices of unknown form	2024-06-12	Paper
Observation-driven filtering of time-varying parameters using moment conditions	2024-02-13	Paper
A Survey of Sequential Monte Carlo Methods for Economics and Finance	2022-05-31	Paper
Bond risk premia in consumption‐based models	2021-06-03	Paper
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS	2018-04-11	Paper
Testing the assumptions behind importance sampling	2016-07-04	Paper
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics	2016-06-22	Paper
High dimensional dynamic stochastic copula models	2015-10-30	Paper
Estimation of affine term structure models with spanned or unspanned stochastic volatility	2015-05-06	Paper
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models	2009-06-12	Paper

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