Drew D. Creal : Citation Profile

University of Illinois at Urbana-Champaign

13

H index

15

i10 index

1444

Citations

RESEARCH PRODUCTION:

21

Articles

24

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 80
   Journals where Drew D. Creal has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 12 (0.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcr106
   Updated: 2026-10-31    RAS profile: 2026-10-14    
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Relations with other researchers

Works with:

Chernov, Mikhail (4)

Hördahl, Peter (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 (166)

Koopman, Siem Jan (106)

Blasques, Francisco (60)

Harvey, Andrew (47)

Schwaab, Bernd (42)

Blazsek, Szabolcs (31)

Zhang, Xin (31)

Schaumburg, Julia (30)

Escribano, Alvaro (27)

Hansen, Peter (20)

Francq, Christian (18)

Cites to:

Koopman, Siem Jan (44)

Lucas, Andre (27)

Shephard, Neil (22)

Reichlin, Lucrezia (22)

Harvey, Andrew (18)

Watson, Mark (17)

Engle, Robert (15)

Nelson, Charles (15)

Lippi, Marco (15)

Singleton, Kenneth (13)

Duffee, Greg (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 / Centre for Economic Policy Research3
Working Papers / University of Washington, Department of Economics3

Recent works citing Drew D. Creal (2026 and 2025)

YearTitle of citing document
2025Modeling prices from speculative markets: bursting bubbles or deflating balloons?. (2025). Wang, Linqi ; Harvey, Andrew ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025008.

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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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2026CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2026Kullback-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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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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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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2026Long 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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2025Learning from crises: A new class of time-varying parameter VARs with observable adaptation. (2025). Korobilis, Dimitris ; Hardy, Nicolas. In: Papers. RePEc:arx:papers:2512.03763.

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2026Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing. (2026). van Heel, Simon Donker ; Shephard, Neil. In: Papers. RePEc:arx:papers:2512.16745.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Luger, Richard ; Liu, Xiaochun. In: Papers. RePEc:arx:papers:2603.02357.

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2026Semi-structured multi-state delinquency model for mortgage default. (2026). Klein, Nadja ; Lessmann, Stefan ; Xia, Wangzhen ; Medina-Olivares, Victor. In: Papers. RePEc:arx:papers:2603.26309.

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2026Generalized Autoregressive Multivariate Models: From Binary to Poisson. (2026). Meddahi, Nour ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2604.14394.

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2026Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models. (2026). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2605.01665.

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2026Tweedies Formula and Score-Driven Updating. (2026). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2605.15902.

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2026Generative Predictive Distributions for Time Series. (2026). Meitz, Mika ; Llorens-Terrazas, Jordi. In: Papers. RePEc:arx:papers:2606.16773.

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2026Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns. (2026). Zhang, Yansong ; He, Sichao. In: Papers. RePEc:arx:papers:2606.30037.

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2026Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity. (2026). Hansen, Peter Reinhard ; Chen, Xinxian ; Tong, Chen. In: Papers. RePEc:arx:papers:2607.03669.

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2026Indirect Variational Inference: Applications to Earnings Dynamics. (2026). Lamadon, Thibaut ; Bonhomme, Stephane ; Balke, Neele. In: Papers. RePEc:arx:papers:2607.15168.

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2026Climate-Conditioned Cascade Modeling for Multi-Peril Reinsurance: Analysis and Controlled Numerical Applications. (2026). Shokrollahi, F ; Salavati, E ; Karimi, N. In: Papers. RePEc:arx:papers:2608.09456.

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2026Filtering without recursion and some of its uses in financial economics. (2026). Shephard, Neil ; van Heel, Simon Donker. In: Papers. RePEc:arx:papers:2609.07207.

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2026A Balanced Parametrization of Correlation Matrices. (2026). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2610.14511.

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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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2026Do Monetary Policy Shocks Affect the Neutral Rate of Interest?. (2026). Leiva-Leon, Danilo ; Uzeda, Luis ; Sekkel, Rodrigo ; Leiva-Len, Danilo. In: Staff Working Papers. RePEc:bca:bocawp:26-6.

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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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2025Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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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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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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2026How Redistributive are Public Health Care Schemes? Evidence from Medicare and Medicaid in Old Age. (2026). McCauley, J ; French, E ; Arapakis, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2677.

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2026Monotonic Polynomial GARCH Models for Conditional Higher Moments. (2026). Sssmuth, Bernd ; Beiner, Rouven. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12734.

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2026Diagnosing and Stabilizing Dynamic Correlations in Multivariate Stochastic Volatility Models. (2026). Veiga, Helena ; Marn, Juan Miguel ; Guo, Hongfei. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:50561.

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2026Data Cloning in Latent-Variable Time-Series Models: Likelihood Theory and Estimability Diagnostics. (2026). Marn, Juan Miguel ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:50565.

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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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2026Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter. (2026). Zhang, Xin ; Dinnocenzo, Enzo ; Schwaab, Bernd ; Lucas, Andr. In: Working Paper Series. RePEc:ecb:ecbwps:20263166.

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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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2025Fixed-time control of nonlinear systems with time-varying gains: A novel stability criterion. (2025). Wang, Yu-Long ; Sun, Lin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:200:y:2025:i:p3:s0960077925010951.

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2026Estimation of nonlinear DSGE models through Laplace based solutions. (2026). Leon-Gonzalez, Roberto ; Kyzy, Elnura Baiaman. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:182:y:2026:i:c:s0165188925001861.

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2026Risky news and credit market sentiment. (2026). Thorsrud, Leif Anders ; Labonne, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:187:y:2026:i:c:s0165188926000771.

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2026Market-based short-rate uncertainty and time-varying expected returns. (2026). Yin, Ximing ; Huang, Difang ; Yu, Deshui. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:188:y:2026:i:c:s0165188926000941.

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2026Waves of uncertainty: Time-varying spillovers of China’s economic policies on belt and road economies. (2026). Zhou, Baicheng ; Wang, Shu ; Liu, Weijiang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:90:y:2026:i:c:p:238-265.

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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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2025Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach. (2025). Han, Yingwei ; Li, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001774.

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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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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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2026Unobserved component models, approximate filters and dynamic adaptive mixture models. (2026). Catania, Leopoldo ; Dinnocenzo, Enzo ; Luati, Alessandra. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625002088.

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2026A multivariate realized GARCH model. (2026). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625000946.

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2026Convolution-t distributions. (2026). Hansen, Peter ; Tong, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pb:s0304407626000333.

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2026Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models. (2026). Lucas, Andre ; Lin, Yicong ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:255:y:2026:i:c:s0304407626000394.

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2026Implicit score-driven filters for time-varying parameter models. (2026). Lange, Rutger-Jan ; van Dijk, Dick ; van Os, Bram. In: Journal of Econometrics. RePEc:eee:econom:v:255:y:2026:i:c:s0304407626000722.

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2026Bayesian model comparison for large Bayesian VARs after the COVID-19 pandemic. (2026). Chan, Joshua ; Zhang, Wei ; Yu, Xuewen. In: Journal of Econometrics. RePEc:eee:econom:v:256:y:2026:i:pb:s0304407625001265.

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2026A dynamic state-space HAR model. (2026). Trapani, Lorenzo ; Izzeldin, Marwan ; Ghalayini, Aya ; Tsionas, Mike. In: Journal of Econometrics. RePEc:eee:econom:v:256:y:2026:i:pb:s030440762500199x.

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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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2026Uncertainty and the term structure of interest rates. (2026). Poon, Aubrey ; Zhu, Dan ; Cross, Jamie L. In: European Economic Review. RePEc:eee:eecrev:v:187:y:2026:i:c:s0014292126000966.

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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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2025Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?. (2025). Phylaktis, Kate ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000635.

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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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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Mixed-frequency Quantile Regression Forests for Value-at-Risk forecasting. (2025). Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s014098832500533x.

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2026Score-driven global climate zones from 1940 to 2024: A new objective climate classification method. (2026). Escribano, Alvaro ; Blazsek, Szabolcs ; Kristf, Erzsbet. In: Energy Economics. RePEc:eee:eneeco:v:156:y:2026:i:c:s0140988326000824.

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2026A novel framework for probabilistic forecasting of electricity forward curves. (2026). Fleten, Stein-Erik ; Street, Alexandre ; Valladao, Davi ; Dietze, Marina. In: Energy Economics. RePEc:eee:eneeco:v:157:y:2026:i:c:s0140988326001726.

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2025On the time-varying relation between monetary policy uncertainty and bond risk premia. (2025). Yin, Ximing ; Li, Luyang ; Yu, Deshui. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925005526.

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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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2025The pitfalls of continuous heavy-tailed distributions in high-frequency data analysis. (2025). Hol, Vladimr. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pe:s154461232501918x.

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2025The impact of U.S. monetary policy uncertainty on abnormal cross-border capital flows. (2025). Zhou, YE ; Zhang, Wenbo ; Ma, Sichao ; Che, Jinfang. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pe:s1544612325020094.

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2026Supply versus risk in sovereign yields: Evidence from Germany’s 500 billion fiscal shock. (2026). Winkler, Sebastian ; Schiereck, Dirk. In: Finance Research Letters. RePEc:eee:finlet:v:91:y:2026:i:c:s1544612326000267.

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2026From micro risks to macro contagion: assessing systemic risk across the hydrogen energy supply chain with a dynamic factor copula. (2026). He, Lingyun ; Chen, Ling. In: Finance Research Letters. RePEc:eee:finlet:v:96:y:2026:i:c:s1544612326002369.

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2026Tail market linkage between Canadian banks and non-bank financial intermediaries. (2026). Ojea-Ferreiro, Javier. In: Finance Research Letters. RePEc:eee:finlet:v:97:y:2026:i:c:s1544612326003508.

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2026Navigating uncertainty: How do interest rate fluctuations affect ESG performance?. (2026). Bilyay-Erdogan, Seda ; Vural-Yava, Idem. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:107:y:2026:i:c:s1042443125001726.

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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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2026When to be discrete: The importance of time formulation in the modeling of extreme events in finance. (2026). Herrera, Rodrigo ; Bie-Barkowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:1:p:61-84.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Liu, Xiaochun ; Luger, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:3:p:872-888.

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2026Forecasting systemic risk measures using a dynamic semiparametric approach based on the Asymmetric Laplace distribution. (2026). Yang, Yaming. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:3:p:989-1007.

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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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2026Government bond risk and return in the US and China. (2026). Whitelaw, Robert F ; Carpenter, Jennifer N ; Lu, Fangzhou. In: Journal of Financial Economics. RePEc:eee:jfinec:v:176:y:2026:i:c:s0304405x25002326.

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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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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; G. Coulombe, Raphaelle. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:159:y:2025:i:c:s0261560625001780.

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2026Kendall’s tau and Spearman’s rho for normal location-scale and skew-normal scale mixture copulas. (2026). Lu, YE. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:214:y:2026:i:c:s0047259x26000394.

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2025Green transitions and asymmetric volatility spillovers: A time-varying GAS copula analysis of clean and fossil energy markets. (2025). Hamza, Tahar ; Mili, Mehdi ; Sohrab, Ebrahim. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:32:y:2025:i:c:s1703494925000398.

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2026Price transmission and market integration in Chinas EXW-FOB rare earth elements market. (2026). Nguemgaing, Hlne Flore. In: Resources Policy. RePEc:eee:jrpoli:v:116:y:2026:i:c:s030142072600084x.

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2026Stock and sovereign risks, and stock, bond and currency returns in crises in an emerging market: An integrated VARX model. (2026). Fang, Zhongzheng ; Luong, Long Kim ; Park, Keehwan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:81:y:2026:i:c:s1042444x25000404.

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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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2025Do domestic and US economic policy uncertainty increase China’s macro-financial risk connectedness?. (2025). Zhou, Yang ; Hu, Chunyang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003940.

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2026Do Monetary Policy Shocks Affect the Neutral Rate of Interest?. (2026). Uzeda, Luis ; Leiva-Leon, Danilo ; Sekkel, Rodrigo ; Leiva-Len, Danilo. In: Working Papers. RePEc:fip:fedbwp:102795.

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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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2025Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach. (2025). Shi, Mingfu ; Zhang, Chuanhai ; Chen, Qingqing ; Hrdle, Wolfgang Karl. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:20:p:3332-:d:1774963.

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2025Estimator’s Properties of Specific Time-Dependent Multivariate Time Series. (2025). Mlard, Guy. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1163-:d:1625328.

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2025Learning from crises: A new class of time-varying parameter VARs with observable adaptation. (2025). Korobilis, Dimitris ; Hardy, Nicolas. In: Working Papers. RePEc:gla:glaewp:2025_12.

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2025Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0446.

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

Works by Drew D. Creal:

YearTitleTypeCited
2026Conditionally linear, matrix normal state space models In: Papers.
[Full Text][Citation analysis]		paper0
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article177
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 nother version. Agregated cites: 177		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: 177		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]		paper18
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: 18		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: 18		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: 18		paper
2023International Yield Curves and Currency Puzzles In: Journal of Finance.
[Full Text][Citation analysis]		article3
2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		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]		paper94
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: 94		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 nother version. Agregated cites: 94		article
2008Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article18
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]		article34
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article35
2015Estimation of affine term structure models with spanned or unspanned stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
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: 36		paper
2015High dimensional dynamic stochastic copula models In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2024Bayesian estimation of cluster covariance matrices of unknown form In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper44
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: 44		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]		paper97
2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS.(2017) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97		article
2016Bond Risk Premia in Consumption-based Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper26
2020Bond risk premia in consumption‐based models.(2020) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2017Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article9
2021The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies.
[Full Text][Citation analysis]		article5
2012A Survey of Sequential Monte Carlo Methods for Economics and Finance In: Econometric Reviews.
[Full Text][Citation analysis]		article124
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: 124		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]		article12
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]		article585

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