Drew D. Creal : Citation Profile


Are you Drew D. Creal?

University of Notre Dame

12

H index

12

i10 index

635

Citations

RESEARCH PRODUCTION:

15

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 45
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 9 (1.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcr106
   Updated: 2021-01-16    RAS profile: 2020-08-06    
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Relations with other researchers


Works with:

Chernov, Mikhail (5)

Lucas, Andre (2)

Koopman, Siem Jan (2)

Wu, Jing Cynthia (2)

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 (118)

Koopman, Siem Jan (66)

Blasques, Francisco (52)

Harvey, Andrew (38)

Schwaab, Bernd (36)

Zhang, Xin (27)

Schaumburg, Julia (21)

Escribano, Alvaro (13)

Delle Monache, Davide (12)

Petrella, Ivan (12)

Blazsek, Szabolcs (12)

Cites to:

Koopman, Siem Jan (37)

Lucas, Andre (22)

Shephard, Neil (20)

Reichlin, Lucrezia (18)

Harvey, Andrew (17)

Lippi, Marco (14)

Watson, Mark (12)

Forni, Mario (12)

Trimbur, Thomas (11)

Engle, Robert (11)

Singleton, Kenneth (11)

Main data


Where Drew D. Creal has published?


Journals with more than one article published# docs
Journal of Econometrics4
Journal of Business & Economic Statistics3

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute7
Working Papers / University of Washington, Department of Economics3

Recent works citing Drew D. Creal (2021 and 2020)


YearTitle of citing document
2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

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2020Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Zero-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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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Gregory Clive ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.06880.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726.

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2020Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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

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2020Indicators of uncertainty: a brief user’s guide. (2020). Rossi, Luca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_564_20.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones. (2020). Blazsek, Szabolcs ; Licht, Adrian ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:31339.

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2020International Drivers of Policy Uncertainty in Emerging Economies. (2020). SOAVE, GIAN PAULO . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00839.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model. (2020). Liu, Zehao ; Han, Yang ; Ma, Jun. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x19300781.

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2020Variational inference for high dimensional structured factor copulas. (2020). Nguyen, Hoang ; Galeano, Pedro ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320301031.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Deviance information criterion for latent variable models and misspecified models. (2020). Yu, Jun ; Zeng, Tao ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:450-493.

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2020The dynamic factor network model with an application to international trade. (2020). Koopman, Siem Jan ; Brauning, Falk. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:494-515.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2020Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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2020GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167.

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2020On a model of environmental performance and technology gaps. (2020). Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1141-1152.

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2020Measuring Chinas monetary policy uncertainty and its impact on the real economy. (2020). Tang, Yao ; Xiang, Jingjie ; Li, LI. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014119306077.

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2020Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627.

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2020Dependence structure in the Australian electricity markets: New evidence from regular vine copulae. (2020). Gözgör, Giray ; Apergis, Nicholas ; Wang, Shixuan ; Marco, Chi Keung ; Gozgor, Giray . In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301742.

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2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:50-71.

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2020Dynamic exchange rate dependences: The effect of the U.S.-China trade war. (2020). Lien, Donald ; Xu, Yingying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301220.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

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2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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2020Demand forecasting under fill rate constraints—The case of re-order points. (2020). Bruzda, Joanna. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1342-1361.

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2020Fiscal policy uncertainty and the business cycle: Time series evidence from Italy. (2020). Tommasino, Pietro ; Rossi, Luca ; Anzuini, Alessio. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:65:y:2020:i:c:s0164070420301646.

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2020Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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2020Monetary policy uncertainty. (2020). Rogers, John ; Husted, Lucas ; Sun, BO. In: Journal of Monetary Economics. RePEc:eee:moneco:v:115:y:2020:i:c:p:20-36.

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2020Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405.

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2020Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets. (2020). Matkovskyy, Roman ; Dowling, Michael ; Jalan, Akanksha. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:150-155.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2020Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise. (2020). Xiong, Jie ; Pan, Xiaoyang ; Maroulas, Vasileios. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:1:p:203-231.

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2020Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound. (2020). McCoy, Eric. In: European Economy - Economic Briefs. RePEc:euf:ecobri:055.

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2020No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:88748.

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2020Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Yang, Lu ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3700-:d:386267.

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2020Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?. (2020). Hamori, Shigeyuki ; Liu, Guizhou. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1179-:d:328478.

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2020Observation Driven Long Run Equilibria. (2020). Lont, Johannes ; Asak, Katarzyna. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09903-0.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Monetary Policy and Interest Rate Spreads. (2020). Serletis, Apostolos ; Nsafoah, Dennis. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:3:d:10.1007_s11079-019-09572-4.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2013.

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2020Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic. (2020). Demircan, Hamza ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2016.

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2020Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Working Paper series. RePEc:rim:rimwps:20-23.

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2020The Spending Behavior of Government through the Lenses of Global Uncertainty and Economic Integration. (2020). Nguyen, Canh ; Schinckus, Christophe. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:2:p:35-57.

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2020Forecasting output growth using a DSGE-based decomposition of the South African yield curve. (2020). Hollander, Hylton ; GUPTA, RANGAN ; Steinbach, Rudi. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-018-1607-4.

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2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe. (2020). Tonzer, Lena ; Schaumburg, Julia ; Boehm, Hannes. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200008.

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2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model. (2020). van Dijk, Dick ; van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200057.

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2020Modeling extreme events: time-varying extreme tail shape. (2020). Lucas, Andre ; Schwaab, Bernd ; Zhang, Xin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200076.

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2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

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2020Negative interest rate policy and the yield curve. (2020). Xia, Fan Dora ; Wu, Jing Cynthia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:653-672.

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2021Directional news impact curve. (2021). Anatolyev, Stanislav. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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2020Optimal futures hedging for energy commodities: An application of the GAS model. (2020). Xu, Yingying ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1090-1108.

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2020ECONOMIC FLUCTUATIONS AND THE SHADOW ECONOMY: A GLOBAL STUDY. (2020). Nguyen, Canh ; Su, Dinh ; Schinckus, Christophe. In: Global Economy Journal (GEJ). RePEc:wsi:gejxxx:v:20:y:2020:i:03:n:s2194565920500153.

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2020Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach. (2020). Lai, Kin Keung ; Wang, Junwei ; Liang, Zhicheng. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:19:y:2020:i:01:n:s0219622019500445.

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2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020.

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2020Financial linkages and sectoral business cycle synchronisation: Evidence from Europe. (2020). Tonzer, Lena ; Schaumburg, Julia ; Bohm, Hannes. In: IWH Discussion Papers. RePEc:zbw:iwhdps:22020.

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Works by Drew D. Creal:


YearTitleTypeCited
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 105
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2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
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2018International yield curves and currency puzzles In: CEPR Discussion Papers.
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2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2008Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models In: Computational Statistics & Data Analysis.
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article15
2008The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics In: Journal of Econometrics.
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2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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2015Estimation of affine term structure models with spanned or unspanned stochastic volatility In: Journal of Econometrics.
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2014Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility.(2014) In: NBER Working Papers.
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2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
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2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 21
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2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
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2008Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 3
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2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
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2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
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2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds In: NBER Working Papers.
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