Information about:
Drew D. Creal

Other registered authors

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

• Booth School of Business
  University of Chicago

  Location: Chicago, Illinois (United States)
  Homepage: http://www.chicagobooth.edu/
  Email:
  Phone:
  Fax:
  Postal: :1101 East 58th Street, Chicago, Illinois 60637
  Handle: RePEc:edi:sbuchus (registered authors at this institution)

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:
   • Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

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:
   • 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," Working Papers UWEC-2008-15, University of Washington, Department of Economics. [Downloadable!]

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!]

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)

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

This page was last updated on 2009-11-15.