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Drew D. Creal |
Working PapersObservation driven mixed measurement dynamic factor models with an application to credit risk, with Bernd Schwaab, Siem Jan Koopman and André Lucas, (submitted). February 2011 Modeling dynamic volatilities and correlations under skewness and fat tails, with Xin Zhang, Siem Jan Koopman and André Lucas, (submitted). May 2011 |
PublicationsAnalysis of filtering and smoothing algorithms for Levy-driven stochastic volatility models. Computational Statistics and Data Analysis, (2008), Vol. 52, pp. 2863-2876. The relationship between the Beveridge-Nelson decomposition and other popular permanent-transitory decompositions 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. Journal of Econometrics, (2009), Vol. 149 (1), pp. 2-11. 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 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, Matlab Code coming soon,Ox Code coming soon 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 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 , Ox Code coming soon |