Drew D. Creal : Citation Profile


Are you Drew D. Creal?

University of Notre Dame

11

H index

12

i10 index

557

Citations

RESEARCH PRODUCTION:

15

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 46
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 174.    Total self citations: 9 (1.59 %)

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   Permalink: http://citec.repec.org/pcr106
   Updated: 2020-05-16    RAS profile: 2020-04-20    
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Relations with other researchers


Works with:

Wu, Jing Cynthia (5)

Chernov, Mikhail (4)

Koopman, Siem Jan (4)

Lucas, Andre (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 (115)

Koopman, Siem Jan (66)

Blasques, Francisco (52)

Harvey, Andrew (37)

Zhang, Xin (27)

Schwaab, Bernd (25)

Schaumburg, Julia (21)

Escribano, Alvaro (13)

Sucarrat, Genaro (12)

Delle Monache, Davide (11)

Petrella, Ivan (11)

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)

Engle, Robert (11)

Trimbur, Thomas (11)

Nelson, Charles (9)

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 (2019 and 2018)


YearTitle of citing document
2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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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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2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2018A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295.

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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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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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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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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Monetary Policy Uncertainty: A Tale of Two Tails. (2018). Sekhposyan, Tatevik ; Dahlhaus, Tatjana. In: Staff Working Papers. RePEc:bca:bocawp:18-50.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018Predictive Power of us Monetary Policy Uncertainty Shock on Stock Returns in Australia and New Zealand. (2018). Cai, Yifei. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:4:p:470-488.

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2017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2018Forecasting aggregate claims using score‐driven time series models. (2018). Arozo, Mariana ; Eduardo, . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:354-374.

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2018Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Modeling directional (circular) time series. (2019). Harvey, Andrew ; Thiele, S ; Hurn, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971.

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2019Yield Curve and Financial Uncertainty: Evidence Based on US Data. (2019). Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7697.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model. (2019). Venditti, Fabrizio ; Petrella, Ivan ; delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14107.

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2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:28451.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2019Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Ding, Yue ; Pang, Tianxiao . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292.

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2017Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319.

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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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2018Business investment in EU countries. (2018). Maria, José ; Lozej, Matija ; Júlio, Paulo ; Giordano, Claire ; de Winter, Jasper ; Buss, Ginters ; Banbura, Marta ; Gavura, Miroslav ; Pool, Sebastian ; Papageorgiou, Dimitris ; Bursian, Dirk ; Michail, Nektarios ; Ambrocio, Gene ; Meinen, Philipp ; Albani, Maria ; Carrascal, Carmen Martinez ; Babura, Marta ; Zevi, Giordano ; Malthe-Thagaard, Sune ; Toth, Mate ; le Roux, Julien ; san Juan, Lucio ; Julio, Paulo ; Sanjuan, Lucio ; Ravnik, Rafael. In: Occasional Paper Series. RePEc:ecb:ecbops:2018215.

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Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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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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2019Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46.

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2019Efficient inference for nonlinear state space models: An automatic sample size selection rule. (2019). Chan, Ngai Hang ; Cheng, Jing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:138:y:2019:i:c:p:143-154.

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2019A shadow rate New Keynesian model. (2019). Wu, Jing Cynthia ; Zhang, JI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:7.

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2019Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons. (2019). Peng, Hongfeng ; Shi, Jing ; Liao, Yin ; Bu, DI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188918302483.

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2019Reexamining time-varying bond risk premia in the post-financial crisis era. (2019). Zhang, Wei ; Guo, Bin ; Fan, Xiaoyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301745.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2019Monetary policy volatility shocks in Brazil. (2019). Fasolo, Angelo. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:348-360.

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

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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2019The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach. (2019). Ba, Nguyen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:90-110.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2018DSGE Models with observation-driven time-varying volatility. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:169-171.

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2018A machine learning approach to identifying different types of uncertainty. (2018). Yung, Julieta ; Saltzman, Bennett. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:58-62.

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2018Specification tests based on MCMC output. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:237-260.

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2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Tempered particle filtering. (2019). Schorfheide, Frank ; Herbst, Edward. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:26-44.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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2019Accelerating score-driven time series models. (2019). Koopman, S J ; Gorgi, P ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:359-376.

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

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2019Particle filtering, learning, and smoothing for mixed-frequency state-space models. (2019). Yang, Hanlin ; Leippold, Markus. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:25-41.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2018Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards. (2018). Djeundje, Viani Biatat ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:697-709.

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2019A Bayesian semiparametric approach to stochastic frontiers and productivity. (2019). Tsionas, Mike G ; Mallick, Sushanta K. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:391-402.

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Modelling market implied ratings using LASSO variable selection techniques. (2018). Sermpinis, Georgios ; Zhang, Ping ; Tsoukas, Serafeim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:19-35.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2019A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2018Analysis of the international propagation of contagion between oil and stock markets. (2018). Zhang, Guofu ; Liu, Wei. In: Energy. RePEc:eee:energy:v:165:y:2018:i:pa:p:469-486.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Bitcoin returns and risk: A general GARCH and GAS analysis. (2019). Troster, Victor ; Tiwari, Aviral ; Shahbaz, Muhammad ; Macedo, Demian Nicolas. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:187-193.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Inversion copulas from nonlinear state space models with an application to inflation forecasting. (2018). Smith, Michael Stanley ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:389-407.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2019Forecasting football match results in national league competitions using score-driven time series models. (2019). Lit, Rutger ; Koopman, Siem Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:797-809.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2019). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1735-1747.

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2019Decomposing global yield curve co-movement. (2019). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:500-513.

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2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty. (2018). Wohar, Mark ; GUPTA, RANGAN ; Risse, Marian ; Ma, Jun. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:317-337.

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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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2018Inference in Bayesian Proxy-SVARs. (2018). Waggoner, Daniel ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Working Papers. RePEc:fda:fdaddt:2018-13.

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2018Inference in Bayesian Proxy-SVARs. (2018). Waggoner, Daniel ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-16.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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2019A Unified Measure of Fed Monetary Policy Shocks. (2019). Rogers, John ; Wu, Wenbin ; Bu, Chunya. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-43.

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More than 100 citations found, this list is not complete...

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: 100
article
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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chapter0
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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This paper has another version. Agregated cites: 0
paper
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: 0
paper
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper49
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 49
paper
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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This paper has another version. Agregated cites: 49
article
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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article16
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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article28
2015Estimation of affine term structure models with spanned or unspanned stochastic volatility In: Journal of Econometrics.
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article11
2014Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
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article17
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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paper21
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
paper
2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
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article3
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
paper
2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
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paper15
2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
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This paper has another version. Agregated cites: 15
article
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
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paper6
2017Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics.
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article1
2012A Survey of Sequential Monte Carlo Methods for Economics and Finance In: Econometric Reviews.
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article26
2009A survey of sequential Monte Carlo methods for economics and finance.(2009) In: Serie Research Memoranda.
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This paper has another version. Agregated cites: 26
paper
2014Market-Based Credit Ratings In: Journal of Business & Economic Statistics.
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article2
2017A Class of Non-Gaussian State Space Models With Exact Likelihood Inference In: Journal of Business & Economic Statistics.
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article2
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.
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paper1
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
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paper12
2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
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paper1
2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
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paper2
2006The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks In: Working Papers.
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paper3
2006Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters In: Working Papers.
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paper0
2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
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article226

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