Prof. Drew Creal

Working Papers

Interest Rate Uncertainty and Economic Fluctuations, with Cynthia Jing Wu. October 2014 This paper was formerly titled: Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty.

A class of non-Gaussian state space models with exact likelihood inference, Appendix . July 2014 , This paper was formerly titled: Exact likelihood inference for autoregressive gamma stochastic volatility models.

The multinational advantage, with Leslie Robinson, Jonathan Rogers and Sarah C. Zechman, (submitted). May 2014

Testing for Parameter Instability Across Competing Modelling Frameworks, with Francesco Calvori, Siem Jan Koopman, and André Lucas, (submitted). January 2014

High-dimensional dynamic stochastic copula mdoels, with Ruey Tsay. Appendix . January 2014 ,

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

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

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