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Drew Dennis Creal

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

Personal Details

First Name: Drew
Middle Name: Dennis
Last Name: Creal
Suffix:

RePEc Short-ID: pcr106

Email: [This author has chosen not to make the email address public]
Homepage: http://faculty.chicagobooth.edu/drew.creal/index.html
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 (more details at EDIRC)

Works

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Working papers

  1. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  2. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  3. Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
  4. Drew Creal & Siem Jan Koopman & Andr� Lucas, 2010. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers 10-032/2, Tinbergen Institute.
  5. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. 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.
  7. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
  8. Drew Creal & Siem Jan Koopman & Andr� Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute.
  9. 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.
  10. 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.

Articles

  1. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, 08.
  2. Creal, Drew & Koopman, Siem Jan & Lucas, André, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 552-563.
  3. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010. "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
  4. 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.
  5. 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.
  6. 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.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2011-03-26
  2. NEP-BEC: Business Economics (1) 2008-08-06
  3. NEP-ECM: Econometrics (6) 2007-05-12 2008-08-06 2008-12-14 2009-04-18 2011-02-26 2011-03-26. Author is listed
  4. NEP-ETS: Econometric Time Series (4) 2008-08-06 2008-12-14 2009-04-18 2011-02-26. Author is listed
  5. NEP-FOR: Forecasting (1) 2009-04-18
  6. NEP-MAC: Macroeconomics (1) 2008-08-06
  7. NEP-RMG: Risk Management (2) 2007-05-12 2011-03-26. Author is listed

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