Drew D. Creal : Citation Profile


Are you Drew D. Creal?

University of Chicago

8

H index

7

i10 index

315

Citations

RESEARCH PRODUCTION:

11

Articles

15

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 31
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 8 (2.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcr106
   Updated: 2017-09-16    RAS profile: 2015-12-10    
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Relations with other researchers


Works with:

Lucas, Andre (4)

Wu, Jing Cynthia (4)

Koopman, Siem Jan (4)

Schwaab, Bernd (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 (96)

Koopman, Siem Jan (51)

Blasques, Francisco (36)

Harvey, Andrew (27)

Schwaab, Bernd (25)

Zhang, Xin (24)

Sucarrat, Genaro (10)

McAleer, Michael (10)

Delle Monache, Davide (9)

Petrella, Ivan (9)

Baruník, Jozef (8)

Cites to:

Koopman, Siem Jan (31)

Shephard, Neil (19)

Reichlin, Lucrezia (18)

Harvey, Andrew (16)

Lucas, Andre (15)

Lippi, Marco (13)

Watson, Mark (13)

Forni, Mario (11)

Trimbur, Thomas (11)

Nelson, Charles (9)

Hallin, Marc (8)

Main data


Where Drew D. Creal has published?


Journals with more than one article published# docs
Journal of Econometrics4
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
Working Papers / University of Washington, Department of Economics3

Recent works citing Drew D. Creal (2017 and 2016)


YearTitle of citing document
2016Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution. (2016). Andreasen, Martin M ; Jorgensen, Kasper . In: CREATES Research Papers. RePEc:aah:create:2016-16.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree . In: Papers. RePEc:arx:papers:1401.3911.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya E. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016Nowcasting using news topics Big Data versus big bank. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0046.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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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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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Bouri, Elie ; Roubaud, David ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2016Accounting for missing values in score-driven time-varying parameter models. (2016). Lucas, Andre ; Schaumburg, Julia ; Opschoor, Anne . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:96-98.

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2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2016Testing against changing correlation. (2016). Harvey, Andrew ; Thiele, Stephen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:575-589.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2016Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics. (2016). Bartels, Mariana ; Ziegelmann, Flavio A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:66-79.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models. (2016). Lucas, Andre ; Łasak, Katarzyna ; Koopman, Siem Jan ; Blasques, Francisco. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:875-887.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2016Commodity prices and fiscal policy design: Procyclical despite a rule. (2016). Thorsrud, Leif ; Bjørnland, Hilde. In: CAMA Working Papers. RePEc:een:camaaa:2016-27.

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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Working Papers. RePEc:hal:wpaper:hal-01377971.

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2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

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2016A plausible model of yield curve dynamics. (2016). Magnus, Gideon . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:30:y:2016:i:2:d:10.1007_s11408-016-0265-9.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: MPRA Paper. RePEc:pra:mprapa:72736.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Pang, Tianxiao ; Ding, Yue . In: MPRA Paper. RePEc:pra:mprapa:80556.

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2017Modelling an Emergent Economy and Parameter Instability Problem. (2017). Dobrescu, Emilian . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:5-28.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

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2017The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital. (2017). Liang, Kun ; Jia, Zelin ; Ning, Weihong ; Lin, Zhangxi ; Jiang, Cuiqing . In: Electronic Commerce Research. RePEc:spr:elcore:v:17:y:2017:i:1:d:10.1007_s10660-016-9231-x.

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2017Cyclicality in Losses on Bank Loans. (2017). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Bank Business Models at Zero Interest Rates. (2016). Schwaab, Bernd ; Lucas, Andre ; Schaumburg, Julia . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160066.

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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. (2016). Lucas, Andre ; Opschoor, Anne ; Schaumburg, Julia . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160067.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160082.

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2016The Dynamic Factor Network Model with an Application to Global Credit-Risk. (2016). Bräuning, Falk ; Brauning, Falk ; Koopman, Siem Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160105.

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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Blasques, Francisco F ; Jan, Siem ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170059.

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2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models. (2017). Jan, Siem ; Lit, Rutger . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170062.

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2017A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models. (2017). Blasques, Francisco ; Nientker, Marc . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170072.

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2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: EMF Research Papers. RePEc:wrk:wrkemf:13.

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2016Can Affine Models Match the Moments in Bond Yields?. (2016). Feldhutter, Peter . In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:06:y:2016:i:02:p:1650009-01-1650009-56.

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2016The determinants of CDS spreads: Evidence from the model space. (2016). Pelster, Matthias ; Vilsmeier, Johannes . In: Discussion Papers. RePEc:zbw:bubdps:432016.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:55.

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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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article68
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: 68
article
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 68
paper
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper30
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: 30
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: 30
article
2008Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models In: Computational Statistics & Data Analysis.
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article10
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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article10
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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article20
2015Estimation of affine term structure models with spanned or unspanned stochastic volatility In: Journal of Econometrics.
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article7
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: 7
paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
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article6
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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paper15
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: 15
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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article2
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: 2
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2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
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paper0
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
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paper1
2014Market-Based Credit Ratings In: Journal of Business & Economic Statistics.
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article1
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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2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
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2006The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks In: Working Papers.
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2006Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters In: Working Papers.
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2009A survey of sequential Monte Carlo methods for economics and finance In: Serie Research Memoranda.
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2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
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