Drew D. Creal

Patrick J. O’Malley III and Christine A. O’Malley Associate Professor of Economics

University of Notre Dame, Department of Economics

Email: dcreal@nd.edu

Curriculum Vitae | Google Scholar


Working Papers

Publications

Monetary Policy Uncertainty and Economic Fluctuations, with Jing Cynthia Wu, International Economic Review, Vol. 58, No. 4, pp. 1317-1354, 2017.

A Class of Non-Gaussian State Space Models with Exact Likelihood Inference, Journal of Business and Economic Statistics, Vol. 35, No. 4, pp. 585-597, 2017.

Download Appendix | Matlab Code

Testing for Parameter Instability Across Different Modelling Frameworks, with Francesco Calvori, Siem Jan Koopman, and André Lucas, Journal of Financial Econometrics, Vol. 15, No. 2, pp. 223-246, 2017.

High-dimensional Dynamic Stochastic Copula Models, with Ruey Tsay, Journal of Econometrics, Vol. 189, No. 2, pp. 335-345, 2015.

Download Appendix | Matlab Code

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility, with Jing Cynthia Wu, Journal of Econometrics, Vol. 185, No. 1, pp. 60-81, 2015.

Matlab Code

Observation-driven Mixed Measurement Dynamic Factor Models with an Application to Credit Risk, with Bernd Schwaab, Siem Jan Koopman, and André Lucas, The Review of Economics and Statistics, Vol. 96, No. 5, pp. 898-915, 2014.

Ox Code | Online Appendix

Market-based Credit Ratings, with Robert Gramacy, and Ruey Tsay, Journal of Business and Economic Statistics,Vol. 32, No. 3, pp. 430-444, 2014.

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.

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.

Ox Code | Matlab Code

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.

Ox Code

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.

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.

Ox Code

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.

Data

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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