Prof. Drew Creal

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


Working Papers

"Monetary Policy Uncertainty and Economic Fluctuations" with Jing Cynthia Wu, August 2014, This paper was formerly titled: ``Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty''
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"A Class of Non-Gaussian State Space Models with Exact Likelihood Inference", July 2014.
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"The Multinational Advantage" with Leslie Robinson, Jonathan Rogers, and Sarah C. Zechman May 2014.
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"Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility" with Jing Cynthia Wu, April 2014. This paper was formerly titled: ``Estimation of non-Gaussian Affine Term Structure Models''
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"Testing for Parameter Instability Across Competing Modelling Frameworks", with Francesco Calvori, Siem Jan Koopman, and André Lucas, January 2014
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"High-dimensional Dynamic Stochastic Copula Models " with Ruey Tsay, January 2014.
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Notes on univariate GAS volatility models

"Univariate Generalized Autoregressive Score Volatility Models" with Siem Jan Koopman, and André Lucas, February 2012.
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Publications

"Market-based Credit Ratings" with Robert Gramacy, and Ruey Tsay, forthcoming in the Journal of Business and Economic Statistics.
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"Observation-driven Mixed Measurement Dynamic Factor Models with an Application to Credit Risk" with Bernd Schwaab, Siem Jan Koopman, and André Lucas, forthcoming in The Review of Economics and Statistics.
Download Working Paper Version | Ox Code with Data | Online Appendix
"Generalized Autoregressive Score Models with Applications" with Siem Jan Koopman, and André Lucas, Journal of Applied Econometrics, Vol. 28, No. 5, pp. 777-795, 2013.
Download Early Working Paper Version | Ox Code | Matlab Code | Online Appendix

Go to Generalized autoregressive score (GAS) models website

"A Survey of Sequential Monte Carlo Methods for Economics and Finance", Econometric Reviews, Vol. 31, No. 3, pp. 245-296, 2012.
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"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, Vol. 29, No. 4, pp. 552-563, 2011.
Download Working Paper Version | Ox Code | Matlab Code (Coming eventually)
"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, Vol. 25, No. 4, pp. 695-719, 2010.
Download Working Paper Version | Data | Online Appendix
"Testing the Assumptions Behind Importance Sampling" with Siem Jan Koopman, and Neil Shephard, Journal of Econometrics, Vol. 149, No. 1, pp. 2-11, 2009.
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"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, Vol. 146, No. 2, pp. 207-219, 2008.
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"Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models", Computational Statistics and Data Analysis, Vol. 52, pp. 2863-2876, 2008.
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Older Working Papers

"Modeling Dynamic Volatilities and Correlations Under Skewness and Fat Tails" with Xin Zhang, Siem Jan Koopman, and André Lucas, February 2012.
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"Sequential Monte Carlo samplers for Bayesian DSGE models", August 2007.
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