Drew D. Creal : Citation Profile

Are you Drew D. Creal?

University of Notre Dame

12

H index

13

i10 index

1135

Citations

RESEARCH PRODUCTION:

20

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 63
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 11 (0.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcr106
   Updated: 2024-04-18    RAS profile: 2024-03-06    
   Missing citations? Add them    Incorrect content? Let us know

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 (142)

Koopman, Siem Jan (95)

Blasques, Francisco (60)

Harvey, Andrew (44)

Schwaab, Bernd (39)

Zhang, Xin (31)

Schaumburg, Julia (26)

Blazsek, Szabolcs (25)

Escribano, Alvaro (23)

Schorfheide, Frank (18)

Petrella, Ivan (17)

Cites to:

Koopman, Siem Jan (38)

Lucas, Andre (23)

Shephard, Neil (22)

Reichlin, Lucrezia (19)

Harvey, Andrew (17)

Watson, Mark (17)

Nelson, Charles (15)

Lippi, Marco (15)

Forni, Mario (13)

Singleton, Kenneth (13)

Duffee, Greg (13)

Main data

Where Drew D. Creal has published?

Journals with more than one article published# docs
Journal of Econometrics5
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 (2024 and 2023)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

Full description at Econpapers || Download paper

2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

Full description at Econpapers || Download paper

2023Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

Full description at Econpapers || Download paper

2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

Full description at Econpapers || Download paper

2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

Full description at Econpapers || Download paper

2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

Full description at Econpapers || Download paper

2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

Full description at Econpapers || Download paper

2023Online 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

Full description at Econpapers || Download paper

2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

Full description at Econpapers || Download paper

2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

Full description at Econpapers || Download paper

2023Regime switching models for circular and linear time series. (2023). Harvey, Andrew ; Palumbo, Dario. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Monetary Policy Uncertainty and Inflation Expectations. (2023). Blagov, Boris ; Arcealfaro, Gabriel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:70-94.

Full description at Econpapers || Download paper

2023Productivity and Performance: A GMM approach. (2023). Kumbhakar, Subal C ; Tsionas, Mike G. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:2:p:331-344.

Full description at Econpapers || Download paper

2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

Full description at Econpapers || Download paper

2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

Full description at Econpapers || Download paper

2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

Full description at Econpapers || Download paper

2023Heterogeneity of Consumption Responses to Income Shocks in the Presence of Nonlinear Persistence. (2023). Blundell, Richard ; Light, Jack ; Bonhomme, Stephane ; Arellano, Manuel. In: Working Papers. RePEc:cmf:wpaper:wp2023_2301.

Full description at Econpapers || Download paper

2023Response of Agriculture Production to Change of Foreign Direct Investment and Public Agriculture Expenditure in South Africa: A Monte Carlo Simulation Analysis. (2023). Khobai, Hlalefang ; Mbiakop, William Djamfa ; Raoul, Djomo Choumbou. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-06-1.

Full description at Econpapers || Download paper

2023Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries. (2023). Aladwani, Jassim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-54.

Full description at Econpapers || Download paper

2023Time-varying impacts of monetary policy uncertainty on Chinas housing market. (2023). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003182.

Full description at Econpapers || Download paper

2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

Full description at Econpapers || Download paper

2023Sequential Bayesian inference for agent-based models with application to the Chinese business cycle. (2023). Wang, Qianchao ; Li, Yong ; Zhang, Qiaosen. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001931.

Full description at Econpapers || Download paper

2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

Full description at Econpapers || Download paper

2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

Full description at Econpapers || Download paper

2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

Full description at Econpapers || Download paper

2023Large stochastic volatility in mean VARs. (2023). Poon, Aubrey ; Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s030440762300163x.

Full description at Econpapers || Download paper

2023Dynamic Tobit models. (2023). Liao, Yin ; Harvey, Andew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:72-83.

Full description at Econpapers || Download paper

2023Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104.

Full description at Econpapers || Download paper

2023Management and takeover decisions. (2023). Kazakis, Pantelis ; Delis, Manthos D ; Zopounidis, Constantin. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1256-1268.

Full description at Econpapers || Download paper

2023Lumpy and intermittent retail demand forecasts with score-driven models. (2023). Borenstein, Denis ; Fernandes, Cristiano ; Sarlo, Rodrigo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1146-1160.

Full description at Econpapers || Download paper

2023The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?. (2023). Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383.

Full description at Econpapers || Download paper

2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

Full description at Econpapers || Download paper

2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

Full description at Econpapers || Download paper

2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

Full description at Econpapers || Download paper

2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

Full description at Econpapers || Download paper

2023Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

Full description at Econpapers || Download paper

2023The impact of the Russia–Ukraine conflict on the energy subsector stocks in China: A network-based approach. (2023). Pan, Huanxue ; Deng, Jing ; Ouyang, Wenpei ; Chen, Ying ; Xu, Zihan ; Xing, Xiaoyun. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000193.

Full description at Econpapers || Download paper

2023Monetary policy uncertainty and corporate cash holdings: Evidence from China. (2023). Wang, Xingjian ; Han, Haozhe. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000384.

Full description at Econpapers || Download paper

2023Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence. (2023). Verbeken, Brecht ; Boudt, Kris ; Borms, Samuel ; Algaba, Andres. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:266-278.

Full description at Econpapers || Download paper

2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

Full description at Econpapers || Download paper

2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

Full description at Econpapers || Download paper

2023The RWDAR model: A novel state-space approach to forecasting. (2023). Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:922-937.

Full description at Econpapers || Download paper

2023Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187.

Full description at Econpapers || Download paper

2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

Full description at Econpapers || Download paper

2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

Full description at Econpapers || Download paper

2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

Full description at Econpapers || Download paper

2023Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x.

Full description at Econpapers || Download paper

2023Tail dependence and risk spillover effects between Chinas carbon market and energy markets. (2023). Dong, Xiuliang ; Man, Yuanyuan ; Liu, Jianing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:553-567.

Full description at Econpapers || Download paper

2023Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model. (2023). Hailemariam, Abebe ; Ivanovski, Kris. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:97-111.

Full description at Econpapers || Download paper

2023Particle MCMC in Forecasting Frailty-Correlated Default Models with Expert Opinion. (2023). Nguyen, HA. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:334-:d:1193913.

Full description at Econpapers || Download paper

2023Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007.

Full description at Econpapers || Download paper

2023Modeling extreme events:time-varying extreme tail shape. (2023). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0399.

Full description at Econpapers || Download paper

2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

Full description at Econpapers || Download paper

2023The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4.

Full description at Econpapers || Download paper

2023Investigating the Links between UK House Prices and Share Prices with Copulas. (2023). Tsiaras, Leonidas ; Bissoondeeal, Rakesh K. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:3:d:10.1007_s11146-021-09854-0.

Full description at Econpapers || Download paper

2023Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4.

Full description at Econpapers || Download paper

2023Explicit minimal representation of variance matrices, and its implication for dynamic volatility models. (2023). Abadir, Karim M. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:1:p:88-104..

Full description at Econpapers || Download paper

2023Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience. (2023). Fernandez-Gamez, Manuel A ; Salas, Belen M ; Alaminos, David. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01836-2.

Full description at Econpapers || Download paper

2023A Non-Parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax. (2023). Tsionas, Mike G ; Bournakis, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:118100.

Full description at Econpapers || Download paper

2023Monetary Policy and Firm Dynamics. (). rossi, lorenza ; mumtaz, haroon ; Fasani, Stefano. In: Review of Economic Dynamics. RePEc:red:issued:21-105.

Full description at Econpapers || Download paper

2023Forecasting binary outcomes in soccer. (2023). Mattera, Raffaele. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-021-04224-8.

Full description at Econpapers || Download paper

2023Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8.

Full description at Econpapers || Download paper

2023Multivariate models of commodity futures markets: a dynamic copula approach. (2023). Zhang, Yu Yvette ; Wang, Qiaoyu ; Li, QI ; Chen, Sihong. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02373-2.

Full description at Econpapers || Download paper

2023The response of household debt to COVID-19 using a neural networks VAR in OECD. (2023). Ongena, Steven ; Tsionas, Mike G ; Mamatzakis, Emmanuel C. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02325-2.

Full description at Econpapers || Download paper

2023Sovereign default network and currency risk premia. (2023). Yang, Lu ; Cui, Xue. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00485-3.

Full description at Econpapers || Download paper

2023Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model. (2023). Sampi, James ; Koopman, S J ; Gorgi, P ; Blasques, F. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230007.

Full description at Econpapers || Download paper

2023Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037.

Full description at Econpapers || Download paper

2023Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence. (2023). Song, Mingxuan ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230049.

Full description at Econpapers || Download paper

2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

Full description at Econpapers || Download paper

2023Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models. (2023). Gorgi, Paolo ; Armillotta, Mirko. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230054.

Full description at Econpapers || Download paper

2023Heterogeneity of Consumption Responses to Income Shocks in the Presence of Nonlinear Persistence. (2023). Blundell, Richard ; Light, Jack ; Bonhomme, Stephane ; Arellano, Manuel. In: TSE Working Papers. RePEc:tse:wpaper:128075.

Full description at Econpapers || Download paper

2023Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155.

Full description at Econpapers || Download paper

2023Commodity price uncertainty as a leading indicator of economic activity. (2023). Bakas, Dimitrios ; Triantafyllou, Athanasios ; Ioakimidis, Marilou. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4194-4219.

Full description at Econpapers || Download paper

2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

Full description at Econpapers || Download paper

2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

Full description at Econpapers || Download paper

2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

Full description at Econpapers || Download paper

2023Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach. (2023). Wang, Chao ; Storti, Giuseppe. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1648-1663.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity. (2023). Zhang, Dongna ; Dai, Xingyu ; Wang, Qunwei ; Marco, Chi Keung. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2167-2196.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

Works by Drew D. Creal:

YearTitleTypeCited
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article150
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: 150		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: 150		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]		paper9
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: 9		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: 9		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: 9		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]		paper81
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: 81		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: 81		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]		article26
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]		article28
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: 28		paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
[Full Text][Citation analysis]		article54
2024Observation-driven filtering of time-varying parameters using moment conditions 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]		article5
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: 5		paper
2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
[Full Text][Citation analysis]		paper71
2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 71		article
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2020Bond risk premia in consumption?based models.(2020) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		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]		article110
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: 110		paper
2014Market-Based Credit Ratings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2017A Class of Non-Gaussian State Space Models With Exact Likelihood Inference In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article7
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]		paper5
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]		article446

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team