Prof. Drew Creal

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

Observation 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


Publications

Analysis 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

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