Selected Bibliography for Drew D. Creal

Associate Professor of Econometrics and Statistics

Home page of Drew D. Creal

Published Works

"Generalized Autoregressive Score Models with Applications." Drew Creal, Siem Jan Koopman and André Lucas; Journal of Applied Econometrics, 2013, 28(5), pp. 777-95.
http://dx.doi.org/10.1002/jae.1279

"A Survey of Sequential Monte Carlo Methods for Economics and Finance." Drew Creal; Econometric Reviews, 2011, 31(3), pp. 245-96.
http://dx.doi.org/10.1080/07474938.2011.607333

"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations." Drew Creal, Siem Jan Koopman and André Lucas; Journal of Business & Economic Statistics, 2011, 29(4), pp. 552-63.
http://dx.doi.org/10.1198/jbes.2011.10070

"Extracting a Robust Us Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter." Drew Creal, Siem Jan Koopman and Eric Zivot; Journal of Applied Econometrics, 2010, 25(4), pp. 695-719.
http://dx.doi.org/10.1002/jae.1185

"Testing the Assumptions Behind Importance Sampling." Siem Jan Koopman, Neil Shephard and Drew Creal; Journal of Econometrics, 2009, 149(1), pp. 2-11.
http://dx.doi.org/10.1016/j.jeconom.2008.10.002

"The Relationship between the Beveridge-Nelson Decomposition and Other Permanent-Transitory Decompositions That Are Popular in Economics." Kum Hwa Oh, Eric Zivot and Drew Creal; Journal of Econometrics, 2008, 146(2), pp. 207-19.
http://dx.doi.org/10.1016/j.jeconom.2008.08.021

"Analysis of Filtering and Smoothing Algorithms for Lévy-Driven Stochastic Volatility Models." Drew D. Creal; Computational Statistics & Data Analysis, 2008, 52(6), pp. 2863-76.
http://dx.doi.org/10.1016/j.csda.2007.07.009