Drew D. Creal
Personal Details
First Name: | Drew |
Middle Name: | Dennis |
Last Name: | Creal |
Suffix: | |
RePEc Short-ID: | pcr106 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/view/drewcreal | |
University of Illinois Urbana-Champaign David Kinley Hall 1407 W Gregory Dr Suite 15 Urbana, IL 61801 | |
Terminal Degree: | 2007 Department of Economics; University of Washington (from RePEc Genealogy) |
Affiliation
Department of Economics
University of Illinois at Urbana-Champaign
Urbana-Champaign, Illinois (United States)http://www.economics.illinois.edu/
RePEc:edi:deuiuus (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Chernov, Mikhail & Creal, Drew, 2022.
"International yield curves and currency puzzles,"
CEPR Discussion Papers
13252, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Drew Creal & Peter Hördahl, 2021.
"Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds,"
BIS Working Papers
918, Bank for International Settlements.
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020. "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers 27500, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Creal, Drew, 2018.
"Multihorizon Currency Returns and Purchasing Power Parity,"
CEPR Discussion Papers
12893, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
- Drew D. Creal & Jing Cynthia Wu, 2016.
"Bond Risk Premia in Consumption-based Models,"
NBER Working Papers
22183, National Bureau of Economic Research, Inc.
- Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
- Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
- Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility,"
NBER Working Papers
20115, National Bureau of Economic Research, Inc.
- Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Monetary Policy Uncertainty and Economic Fluctuations,"
NBER Working Papers
20594, National Bureau of Economic Research, Inc.
- Drew D. Creal & Jing Cynthia Wu, 2017. "Monetary Policy Uncertainty And Economic Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013.
"Observation driven mixed-measurement dynamic factor models with an application to credit risk,"
Working Paper Series
1626, European Central Bank.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
- 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.
- 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.
- Drew Creal & Siem Jan Koopman & André Lucas, 2010.
"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations,"
Tinbergen Institute Discussion Papers
10-032/2, Tinbergen Institute.
- 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.
- Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
- 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.
- 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.
- 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.
- Drew Creal, 2012. "A Survey of Sequential Monte Carlo Methods for Economics and Finance," Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
- 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.
- 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.
- 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.
- 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.
- 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
- Creal, Drew & Kim, Jaeho, 2024. "Bayesian estimation of cluster covariance matrices of unknown form," Journal of Econometrics, Elsevier, vol. 241(1).
- Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin, 2024. "Observation-driven filtering of time-varying parameters using moment conditions," Journal of Econometrics, Elsevier, vol. 238(2).
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023.
"Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds,"
Journal of International Economics, Elsevier, vol. 140(C).
- Mikhail Chernov & Drew Creal & Peter Hördahl, 2021. "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers 918, Bank for International Settlements.
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020. "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers 27500, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Drew Creal, 2023.
"International Yield Curves and Currency Puzzles,"
Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew Creal, 2021. "The PPP View of Multihorizon Currency Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2728-2772.
- Drew D. Creal & Jing Cynthia Wu, 2020.
"Bond risk premia in consumption‐based models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
- Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
- Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas, 2017. "Testing for Parameter Instability across Different Modeling Frameworks," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 223-246.
- Drew D. Creal & Jing Cynthia Wu, 2017.
"Monetary Policy Uncertainty And Economic Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Monetary Policy Uncertainty and Economic Fluctuations," NBER Working Papers 20594, National Bureau of Economic Research, Inc.
- Drew D. Creal, 2017. "A Class of Non-Gaussian State Space Models With Exact Likelihood Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 585-597, October.
- Creal, Drew D. & Tsay, Ruey S., 2015. "High dimensional dynamic stochastic copula models," Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345.
- Creal, Drew D. & Wu, Jing Cynthia, 2015.
"Estimation of affine term structure models with spanned or unspanned stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
- Drew D. Creal & Robert B. Gramacy & Ruey S. Tsay, 2014. "Market-Based Credit Ratings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 430-444, July.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014.
"Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
- 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.
- 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, August.
- Drew Creal, 2012.
"A Survey of Sequential Monte Carlo Methods for Economics and Finance,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
- 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.
- 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.
- Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
- Drew Creal & Siem Jan Koopman & André Lucas, 2010. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers 10-032/2, Tinbergen Institute.
- 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.
- 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.
- 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.
- 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.
- 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.
Chapters
- Mikhail Chernov & Drew Creal & Peter Hördahl, 2019. "Determinants of Asia-Pacific government bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 29-39, Bank for International Settlements.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- Euclidian citation score
- Wu-Index
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (9) 2007-05-12 2008-08-06 2008-12-14 2009-04-18 2011-02-26 2011-03-26 2014-05-24 2015-04-25 2016-01-03. Author is listed
- NEP-MON: Monetary Economics (5) 2014-12-19 2018-05-14 2018-05-21 2018-11-19 2018-11-26. Author is listed
- NEP-ETS: Econometric Time Series (4) 2008-12-14 2009-04-18 2015-04-25 2016-01-03
- NEP-MAC: Macroeconomics (4) 2008-08-06 2014-05-24 2014-12-19 2016-05-08
- NEP-OPM: Open Economy Macroeconomics (4) 2018-05-14 2018-05-21 2018-11-19 2018-11-26
- NEP-RMG: Risk Management (3) 2007-05-12 2011-03-26 2014-04-05
- NEP-SEA: South East Asia (2) 2020-08-24 2021-06-14
- NEP-BAN: Banking (1) 2014-04-05
- NEP-CBA: Central Banking (1) 2014-12-19
- NEP-FOR: Forecasting (1) 2009-04-18
- NEP-IFN: International Finance (1) 2018-11-26
- NEP-ORE: Operations Research (1) 2014-05-24
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
- NEP-UPT: Utility Models and Prospect Theory (1) 2016-05-08
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