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Information about:
Drew D. Creal

Personal Details | Affiliation | Works
This is information that was supplied by Drew Creal in registering through RePEc. If you are Drew D. Creal , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Drew
Middle Name: D.
Last Name: Creal
Suffix:

RePEc Short-ID: pcr106

Email: [This author has chosen not to make the email address public]
Homepage: http://staff.feweb.vu.nl/dcreal
Postal Address: 5807 S. Woodlawn Ave University of Chicago, Booth School of Business Chicago, IL 60637
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  2. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  3. Drew Creal & Ying Gu & Eric Zivot, 2006. "Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters," Working Papers UWEC-2006-18, University of Washington, Department of Economics. [Downloadable!]

  4. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics. [Downloadable!]

Articles

  1. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April. [Downloadable!] (restricted)

  2. Creal, Drew D., 2008. "Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February. [Downloadable!] (restricted)

  3. Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October. [Downloadable!] (restricted)

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2008-08-06 2008-11-25 Author is listed
  2. NEP-ECM: Econometrics (5) 2007-05-12 2008-08-06 2008-11-25 2008-12-14 2009-04-18 Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2008-08-06 2008-12-14 2009-04-18 Author is listed
  4. NEP-FOR: Forecasting (1) 2009-04-18
  5. NEP-MAC: Macroeconomics (2) 2008-08-06 2008-11-25 Author is listed
  6. NEP-RMG: Risk Management (1) 2007-05-12
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This page was last updated on 2009-10-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.