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Chernov, Mikhail [Author] ; Creal, Drew [Other]

International Yield Curves and Currency Puzzles

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[S.l.]: SSRN, [2018]

Published in: NBER Working Paper ; No. w25206
Chernov, Mikhail [Author] ; Creal, Drew [Other]

Multihorizon Currency Returns and Purchasing Power Parity

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[S.l.]: SSRN, [2018]

Published in: NBER Working Paper ; No. w24563
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Bond Risk Premia in Consumption-Based Models

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[S.l.]: SSRN, [2020]
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Bond Risk Premia in Consumption-Based Models

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[S.l.]: SSRN, [2017]

Published in: Chicago Booth Research Paper ; No. 16-10
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Bond Risk Premia in Consumption-Based Models

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[S.l.]: SSRN, [2016]

Published in: NBER Working Paper ; No. w22183
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

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[S.l.]: SSRN, [2017]

Published in: Chicago Booth Research Paper ; No. 13-72
Creal, Drew [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]; Zamojski, Marcin [Other]

Generalized autoregressive Method of Moments

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 15-138/III
Creal, Drew [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]; Zamojski, Marcin [Other]

Generalized Autoregressive Method of Moments

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 15-138/III
Creal, Drew [Author] ; Tsay, Ruey S. [Other]

High Dimensional Dynamic Stochastic Copula Models

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[S.l.]: SSRN, [2018]

Published in: Chicago Booth Research Paper ; No. 14-25
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Monetary Policy Uncertainty and Economic Fluctuations

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[S.l.]: SSRN, [2016]

Published in: Chicago Booth Research Paper ; No. 14-32
Creal, Drew [Author]

A Class of Non-Gaussian State Space Models with Exact Likelihood Inference

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[S.l.]: SSRN, [2014]

Published in: Chicago Booth Research Paper ; No. 14-24
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

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[S.l.]: SSRN, [2014]

Published in: NBER Working Paper ; No. w20115
Creal, Drew [Author] ; Wu, Jing Cynthia [Other]

Monetary Policy Uncertainty and Economic Fluctuations

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[S.l.]: SSRN, [2014]

Published in: NBER Working Paper ; No. w20594
Creal, Drew [Author] ; Robinson, Leslie A. [Other]; Rogers, Jonathan L. [Other]; Zechman, Sarah L. C. [Other]

The Multinational Advantage

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[S.l.]: SSRN, [2014]

Published in: Fama-Miller Working Paper
Creal, Drew [Author] ; Schwaab, Bernd [Other]; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

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[S.l.]: SSRN, [2014]

Published in: ECB Working Paper ; No. 1626
Creal, Drew [Author] ; Gramacy, Robert [Other]; Tsay, Ruey S. [Other]

Market-Based Credit Ratings

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[S.l.]: SSRN, [2013]
Creal, Drew [Author] ; Schwaab, Bernd [Other]; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

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[S.l.]: SSRN, [2011]

Published in: Tinbergen Institute Discussion Paper 11-042/DSF 16
Creal, Drew [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

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[S.l.]: SSRN, [2010]

Published in: Tinbergen Institute Discussion Paper 10-032/2
Creal, Drew [Author] ; Koopman, Siem Jan [Other]

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-Varying Multivariate Trend-Cycle Model

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[S.l.]: SSRN, [2008]

Published in: Tinbergen Institute Discussion Paper 08-069/4
Creal, Drew [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

A General Framework for Observation Driven Time-Varying Parameter Models

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[S.l.]: SSRN, [2008]

Published in: Tinbergen Institute Discussion Paper ; No. 08-108/4

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