Drew D. Creal : Citation Profile

University of Illinois at Urbana-Champaign

13

H index

14

i10 index

1325

Citations

RESEARCH PRODUCTION:

21

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 73
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 12 (0.9 %)

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   Permalink: http://citec.repec.org/pcr106
   Updated: 2026-01-10    RAS profile: 2024-07-08    
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Relations with other researchers

Works with:

Chernov, Mikhail (6)

Hördahl, Peter (4)

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

Is cited by:

Lucas, Andre (155)

Koopman, Siem Jan (101)

Blasques, Francisco (60)

Harvey, Andrew (47)

Schwaab, Bernd (42)

Zhang, Xin (31)

Schaumburg, Julia (30)

Blazsek, Szabolcs (28)

Escribano, Alvaro (24)

Schorfheide, Frank (18)

Francq, Christian (17)

Cites to:

Koopman, Siem Jan (43)

Lucas, Andre (27)

Reichlin, Lucrezia (22)

Shephard, Neil (22)

Harvey, Andrew (18)

Watson, Mark (17)

Nelson, Charles (15)

Lippi, Marco (15)

Engle, Robert (15)

Duffee, Greg (13)

Singleton, Kenneth (13)

Main data

Where Drew D. Creal has published?

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

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

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

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

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2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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

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2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH. (2025). Suresh, Sathvika Thorali ; Singh, Aryan ; Reilly, Paul O ; Sharif, Daim ; Haughey, Patrick ; Kumar, Adarsh Sajeev ; Anvar, Aakhil ; McCarthy, Eoghan. In: Papers. RePEc:arx:papers:2505.06950.

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2025Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. (2025). Wu, Yinhao ; He, Ping. In: Papers. RePEc:arx:papers:2509.09105.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025Perceived interconnections between Canadian banks and non-bank financial intermediaries under stress. (2025). Ojea Ferreiro, Javier. In: Staff Analytical Notes. RePEc:bca:bocsan:25-26.

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2024The structural Theta method and its predictive performance in the M4-Competition. (2024). Silvestrini, Andrea ; Sbrana, Giacomo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1457_24.

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

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2025Bayesian estimation of DSGE models: An update. (2025). Nason, James ; Guerron, Pablo ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1097.

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2024Has the Phillips curve flattened?. (2024). Rossi, Barbara ; Inoue, Atsushi ; Wang, Yiru. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:22.

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2025Loan Loss Provisions and Bank Value in the United States: A Moderation Analysis of Economic Policy Uncertainty. (2025). Kim-Leng, Goh ; Wan-Fei, Lai. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:23:n:1002.

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2024Hidden Threshold Models with applications to asymmetric cycles. (2024). Harvey, Andrew ; Simons, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2448.

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2024Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models. (2024). Escribano, Alvaro ; Blazsek, Szabolcs ; Kristof, Erzsebet. In: UC3M Working papers. Economics. RePEc:cte:werepe:39546.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

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

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

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2025The impact of the COVID-19 pandemic on sovereign debt default risk. (2025). Meng, Hui ; Zhang, Ziyi ; Guo, Yanhong. In: Journal of Asian Economics. RePEc:eee:asieco:v:99:y:2025:i:c:s1049007825000569.

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

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

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

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

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2025The international spillovers of US monetary policy uncertainty: Is it a dilemma or trilemma for monetary policy?. (2025). Luo, Jingru ; Liu, Jingting ; Alba, Joseph D ; Wang, Peiming. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s0264999325001178.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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

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

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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

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

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

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

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

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

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

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models. (2024). Armillotta, Mirko ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002458.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025An order-invariant score-driven dynamic factor model. (2025). Artemova, Mariia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001277.

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

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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

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

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

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models. (2024). Escribano, Alvaro ; Blazsek, Szabolcs ; Kristof, Erzsebet. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002998.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2025Uncertainty characterization for generation adequacy assessments – Including an application to the recent European energy crisis. (2025). Weber, Christoph ; Schneider, Dennis ; Spilger, Maike. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001276.

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

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

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

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

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

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

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

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2025Within-regime volatility dynamics for observable- and Markov-switching score-driven models. (2025). Blazsek, Szabolcs ; Shadoff, Samantha R ; Kong, Dejun. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401660x.

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2025Macroeconomic factors, industrial enterprises, and debt default prediction: Based on the VAR-GRU model. (2025). Duan, Mohan ; Luo, YI ; Liu, Zhenqing. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s154461232500385x.

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

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

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

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

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2025Asymmetric uncertainty: Nowcasting using skewness in real-time data. (2025). Labonne, Paul. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:229-250.

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2025The structural Theta method and its predictive performance in the M4-Competition. (2025). Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:940-952.

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

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

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2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Honig, Igor ; Kircher, Felix. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

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

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

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

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

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2025Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?. (2025). Wang, Ben Zhe ; Ying, Shan ; Sheen, Jeffrey ; Gu, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000567.

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2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102.

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2024Ranking-based second stage in data envelopment analysis: An application to research efficiency in higher education. (2024). Hol, Vladimir. In: Operations Research Perspectives. RePEc:eee:oprepe:v:12:y:2024:i:c:s2214716024000101.

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

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

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2024Term spread spillovers to Latin America and emergence of the ‘Twin Ds’. (2024). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006749.

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2024Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period. (2024). Jiang, Yong ; Ren, Yi-Shuai ; Yang, Xiao-Guang ; Al-Nassar, Nassar S ; Ma, Chao-Qun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001910.

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2025Optimizing portfolio performance with DeFi tokens: Insights from a dynamic R-vine copula-based mean-CVaR approach. (2025). Anwar, Rija ; Sharif, Arshian ; Raza, Syed Ali. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925001898.

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2024Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality. (2024). Blazsek, Szabolcs ; Dos, William M ; Edwards, Andreco S. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:3:p:25-:d:1471346.

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2025A Fusion of Statistical and Machine Learning Methods: GARCH-XGBoost for Improved Volatility Modelling of the JSE Top40 Index. (2025). Maingo, Israel ; Ravele, Thakhani ; Sigauke, Caston. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:155-:d:1731685.

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2025Markov Observation Models and Deepfakes. (2025). Kouritzin, Michael A. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2128-:d:1690359.

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2025A Hybrid GAS-ATT-LSTM Architecture for Predicting Non-Stationary Financial Time Series. (2025). Astudillo, Kevin ; Varela-Alds, Jos ; Ferreira, Guillermo ; Soliz, Mateo ; Flores, Miguel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:14:p:2300-:d:1704423.

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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.
[Full Text][Citation analysis]		article167
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: 167		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 nother version. Agregated cites: 167		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]		paper16
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: 16		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: 16		article
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2023International Yield Curves and Currency Puzzles In: Journal of Finance.
[Full Text][Citation analysis]		article2
2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 2		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]		paper91
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: 91		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: 91		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]		article32
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]		article34
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: 34		paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2024Bayesian estimation of cluster covariance matrices of unknown form In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper42
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: 42		paper
2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article7
2008Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014Monetary Policy Uncertainty and Economic Fluctuations In: NBER Working Papers.
[Full Text][Citation analysis]		paper88
2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		article
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper20
2020Bond risk premia in consumption‐based models.(2020) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		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]		article119
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: 119		paper
2014Market-Based Credit Ratings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article5
2017A Class of Non-Gaussian State Space Models With Exact Likelihood Inference In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2008The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper12
2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper7
2006The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks In: Working Papers.
[Full Text][Citation analysis]		paper3
2006Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters In: Working Papers.
[Full Text][Citation analysis]		paper0
2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article528

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