Drew D. Creal : Citation Profile

University of Illinois at Urbana-Champaign

12

H index

14

i10 index

1255

Citations

RESEARCH PRODUCTION:

21

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 69
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 12 (0.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcr106
   Updated: 2025-04-05    RAS profile: 2024-07-08    
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Relations with other researchers

Works with:

Chernov, Mikhail (6)

Hördahl, Peter (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Drew D. Creal.

Is cited by:

Lucas, Andre (148)

Koopman, Siem Jan (101)

Blasques, Francisco (60)

Harvey, Andrew (47)

Schwaab, Bernd (42)

Zhang, Xin (31)

Blazsek, Szabolcs (27)

Schaumburg, Julia (26)

Escribano, Alvaro (24)

Schorfheide, Frank (18)

Lange, Rutger-Jan (16)

Cites to:

Koopman, Siem Jan (43)

Lucas, Andre (27)

Shephard, Neil (22)

Reichlin, Lucrezia (22)

Harvey, Andrew (18)

Watson, Mark (17)

Lippi, Marco (15)

Engle, Robert (15)

Nelson, Charles (15)

Wu, Jing Cynthia (13)

Duffee, Greg (13)

Main data

Production by document typearticlechapterpaper200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20062007200820092010201120122013201420152016201720182019202020212022202320240204060Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20062007200820092010201120122013201420152016201720182019202020212022202320240250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 12Most cited documents12345678910111213140250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Drew D. Creal has published?

Journals with more than one article published# docs
Journal of Econometrics6
Journal of Business & Economic Statistics3

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute7
NBER Working Papers / National Bureau of Economic Research, Inc6
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Papers / University of Washington, Department of Economics3

Recent works citing Drew D. Creal (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2024A Non‐parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax. (2024). Bournakis, Ioannis ; Tsionas, Mike. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:641-671.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2024Research of the non-linear dynamic relationship between global economic policy uncertainty and crude oil prices. (2024). Wang, Longle ; You, Zhe ; Gong, Mengqi ; Ruan, Dapeng. In: Journal of Asian Economics. RePEc:eee:asieco:v:90:y:2024:i:c:s1049007823000933.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Bonds, currencies and expectational errors. (2024). Sihvonen, Markus ; Granziera, Eleonora. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001963.

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2024The Term Structure of Monetary Policy Uncertainty. (2024). Herriford, Trenton ; Bundick, Brent ; Smith, Lee A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188923002099.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024Diversification value of green Bonds: Fresh evidence from China. (2024). Huang, Ziling ; Zhou, You ; Lin, Lichao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797.

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2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). Koopman, S J ; Gorgi, P ; van Brummelen, J ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2024Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence. (2024). Blundell, Richard ; Light, Jack ; Bonhomme, Stephane ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407623001434.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Active or passive? Revisiting the role of fiscal policy during high inflation. (2024). Kriwoluzky, Alexander ; Ettmeier, Stephanie. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124002034.

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2024A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Crook, Jonathan ; Goldmann, Leonie. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126.

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2024Exploring the relationship between Chinas economic policy uncertainty and business cycles: Exogenous impulse or endogenous responses?. (2024). Ming, Che ; Zixiang, Zhu ; Yujia, LI. In: Emerging Markets Review. RePEc:eee:ememar:v:58:y:2024:i:c:s156601412300095x.

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2024Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain. (2024). Chen, Ying ; Peng, Hanqiu ; Trimborn, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000641.

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2024Enhancing the accuracy of Chinas electricity consumption forecasting through economic cycle division: An MSAR-OPLS scenario analysis. (2024). Pan, Xianyou ; Sun, Feihu ; Shu, Yalin ; Xie, Pinjie. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003906.

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2024Extreme risk contagions among fossil energy companies in China: Insights from a multilayer dynamic network analysis. (2024). Xu, Zihan ; Xing, Xiaoyun ; Deng, Jing. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224021194.

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2024Global economic policy uncertainty and oil price uncertainty: Which is more important for global economic activity?. (2024). Li, Yujia ; Wang, LI ; Che, Ming. In: Energy. RePEc:eee:energy:v:310:y:2024:i:c:s0360544224030810.

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2024Structured factor copulas for modeling the systemic risk of European and United States banks. (2024). Nguyen, Hoang ; Galeano, Pedro ; Ausn, Concepcin M ; Virbickait, Audron. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005532.

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2024The effect of financial statement comparability on the gaps between credit ratings and bond implied ratings: Focusing on the moderating effect of Korean business groups. (2024). Kim, Yong-Shik. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005702.

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2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

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2024Monetary policy uncertainty and financial risk: The mediating role of corporate investment. (2024). Yang, Wenshuai ; Tang, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013321.

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2024Oil shocks and currency behavior: A dual approach to digital and traditional currencies. (2024). Mishra, Sibanjan ; ben Zaied, Younes ; Yaqoob, Tanzeela ; Afshan, Sahar. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000747.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2024Spillover effects of US monetary policy on emerging markets amidst uncertainty. (2024). Lastauskas, Povilas ; Minh, Anh Dinh. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000222.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective. (2024). Sahuc, Jean-Guillaume ; Renne, Jean-Paul ; Mouabbi, Sarah. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000517.

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2024Asset pricing with time preference shocks: Existence and uniqueness. (2024). Zhang, Junnan ; Wilms, Ole ; Stachurski, John. In: Journal of Economic Theory. RePEc:eee:jetheo:v:216:y:2024:i:c:s0022053123001771.

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2024Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2024Measuring systemic risk in Asian foreign exchange markets. (2024). Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001220.

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2024What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434.

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2024The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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2024The Macroeconomic Impact of Global and Country-Specific Climate Risk. (2024). Vitenu-Sackey, Prince Asare ; Byrne, Joseph P. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:3:d:10.1007_s10640-023-00831-0.

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2024Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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Works by Drew D. Creal:

Year  ↓Title  ↓Type  ↓Cited  ↓
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article161
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 161		article
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 161		paper
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
[Full Text][Citation analysis]		paper12
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2023International Yield Curves and Currency Puzzles In: Journal of Finance.
[Full Text][Citation analysis]		article1
2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]		paper87
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		article
2008Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article16
2008The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2015Estimation of affine term structure models with spanned or unspanned stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2014Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2024Bayesian estimation of cluster covariance matrices of unknown form In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper41
2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article7
2008Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
[Full Text][Citation analysis]		paper81
2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper19
2020Bond risk premia in consumption‐based models.(2020) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2017Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2021The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
2012A Survey of Sequential Monte Carlo Methods for Economics and Finance In: Econometric Reviews.
[Full Text][Citation analysis]		article115
2009A survey of sequential Monte Carlo methods for economics and finance.(2009) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 115		paper
2014Market-Based Credit Ratings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article5
2017A Class of Non-Gaussian State Space Models With Exact Likelihood Inference In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2008The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper12
2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper7
2006The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks In: Working Papers.
[Full Text][Citation analysis]		paper3
2006Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters In: Working Papers.
[Full Text][Citation analysis]		paper0
2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article496

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