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