Drew D. Creal
Assistant Professor of Econometrics and Statistics
5807 South Woodlawn Avenue
Chicago IL 60637
773.834.5249 v.
dcreal@ChicagoBooth.edu

Working Papers

A class of non-Gaussian state space models with exact likelihood inference, Appendix . April 2013 , This paper was formerly titled: Exact likelihood inference for autoregressive gamma stochastic volatility models.

Estimation of non-Gaussian affine term structure models, with Jing Cynthia Wu, (submitted). March 2013

The multinational advantage, with Leslie Robinson, Jonathan Rogers and Sarah C. Zechman, (submitted). February 2013

Market-based credit ratings, with Robert Gramacy and Ruey Tsay, (submitted). September 2012

Modeling dynamic volatilities and correlations under skewness and fat tails, with Xin Zhang, Siem Jan Koopman and André Lucas, (submitted). February 2012

Sequential Monte Carlo samplers for Bayesian DSGE models, (working paper). August 2007

Notes on univariate GAS volatility models

Univariate generalized autoregressive score volatility models, with Siem Jan Koopman and André Lucas. August 2012, Matlab Code

Publications

Observation-driven mixed measurement dynamic factor models with an application to credit risk, with Bernd Schwaab, Siem Jan Koopman and André Lucas, The Review of Economics and Statistics, forthcoming, Earlier version of the paper, Online appendix, Ox Code with macro data

Generalized autoregressive score models with applications, with Siem Jan Koopman and André Lucas, Journal of Applied Econometrics, forthcoming, Earlier version of the paper (temporary), Appendix , Matlab Code , Ox Code

A survey of sequential Monte Carlo methods for economics and finance, Econometric Reviews, (2012), Vol. 31 (3), pp. 245-296, Earlier version of the paper , Matlab Code with data, Ox Code with data

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations, with Siem Jan Koopman and André Lucas, Journal of Business and Economic Statistics, (2011), Vol. 29 (4), pp. 552–563, Earlier version of the paper , Matlab Code coming (eventually) , Ox Code

Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter, with Siem Jan Koopman and Eric Zivot, Journal of Applied Econometrics, (2010), Vol. 25 (4), pp. 695-719, Appendix, raw U.S. macro data

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics, with Kum Hwa Oh and Eric Zivot. Journal of Econometrics, (2008), Vol. 146 (2), pp. 207-219., U.S. real gdp data

Testing the assumptions behind importance sampling, with Siem Jan Koopman and Neil Shephard. Earlier version of the paper Journal of Econometrics, (2009), Vol. 149 (1), pp. 2-11. Ox Code with data

Analysis of filtering and smoothing algorithms for Levy-driven stochastic volatility models. Computational Statistics and Data Analysis, (2008), Vol. 52, pp. 2863-2876.