Drew Creal

University of Chicago - Booth School of Business - Econometrics and Statistics

Chicago, IL 60637

United States

  • University of Chicago - Booth School of Business - Econometrics and Statistics

SCHOLARLY PAPERS

16

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6,008

TOTAL CITATIONS
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Top 6,880

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122

Scholarly Papers (16)

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1.

The Multinational Advantage

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-37
Number of pages: 49 Posted: 28 Sep 2011 Last Revised: 20 Sep 2014
Drew Creal, Leslie A. Robinson, Jonathan L. Rogers and Sarah L. C. Zechman
University of Chicago - Booth School of Business - Econometrics and Statistics, Dartmouth College - Tuck School of Business, University of Colorado at Boulder - Leeds School of Business and University of Colorado at Boulder - Leeds School of Business
Downloads 1,081 (42,302)
Citation 3

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firm valuation, segment reporting, international accounting, multinational corporations

2.

Monetary Policy Uncertainty and Economic Fluctuations

Downloads 1,022 (45,767)
Citation 24

Monetary Policy Uncertainty and Economic Fluctuations

Chicago Booth Research Paper No. 14-32
Number of pages: 61 Posted: 04 Oct 2014 Last Revised: 28 Nov 2016
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 982 (47,642)
Citation 8

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Uncertainty, monetary policy, term premium, macroeconomic fluctuations, affine term structure models, stochastic volatility, Bayesian estimation

Monetary Policy Uncertainty and Economic Fluctuations

NBER Working Paper No. w20594
Number of pages: 61 Posted: 22 Oct 2014 Last Revised: 10 Apr 2022
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 40 (878,492)
Citation 16

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3.

Bond Risk Premia in Consumption-Based Models

Downloads 636 (86,153)
Citation 3

Bond Risk Premia in Consumption-Based Models

Chicago Booth Research Paper No. 16-10
Number of pages: 81 Posted: 13 Apr 2016 Last Revised: 07 Dec 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 448 (131,246)

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bond risk premia, term structure of interest rates, stochastic rate of time preference, MCMC, particle filter, recursive preferences, stochastic volatility

Bond Risk Premia in Consumption-Based Models

Number of pages: 35 Posted: 22 Apr 2019 Last Revised: 11 May 2020
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 153 (391,455)
Citation 3

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Bond Risk Premia; Term Structure of Interest Rates; Stochastic Rate of Time Preference; MCMC; Particle Filter; Recursive Preferences; Stochastic Volatility

Bond Risk Premia in Consumption-Based Models

NBER Working Paper No. w22183
Number of pages: 59 Posted: 25 Apr 2016 Last Revised: 11 Feb 2023
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 35 (923,497)

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4.

A General Framework for Observation Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper No. 08-108/4
Number of pages: 54 Posted: 11 Nov 2008
Drew Creal, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 544 (105,049)
Citation 2

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dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas

5.

High Dimensional Dynamic Stochastic Copula Models

Chicago Booth Research Paper No. 14-25
Number of pages: 35 Posted: 25 Jul 2014
Drew Creal and Ruey S. Tsay
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 510 (113,694)
Citation 11

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state space models, dynamic copulas, Bayesian estimation, particle filters, credit default swaps

6.

Generalized autoregressive Method of Moments

Downloads 413 (146,096)
Citation 7

Generalized autoregressive Method of Moments

Tinbergen Institute Discussion Paper 15-138/III
Number of pages: 45 Posted: 20 Jan 2016 Last Revised: 01 Jul 2018
Drew Creal, Siem Jan Koopman, Andre Lucas and Marcin Zamojski
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Gothenburg, Centre for Finance
Downloads 261 (237,513)
Citation 5

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dynamic models, time-varying parameters, generalized method of moments, non-linearity, equity premium puzzle, CCAPM

Generalized Autoregressive Method of Moments

Tinbergen Institute Discussion Paper 15-138/III
Number of pages: 47 Posted: 27 Jul 2018
Drew Creal, Siem Jan Koopman, Andre Lucas and Marcin Zamojski
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Gothenburg, Centre for Finance
Downloads 152 (393,622)
Citation 2

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dynamic models, time-varying parameters, generalized method of moments, non-linearity

7.

Market-Based Credit Ratings

Number of pages: 31 Posted: 15 Aug 2013
Drew Creal, Robert Gramacy and Ruey S. Tsay
University of Chicago - Booth School of Business - Econometrics and Statistics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 338 (182,495)
Citation 2

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credit ratings, clustering, credit default swaps, default risk, survival functions

8.

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

Chicago Booth Research Paper No. 13-72
Number of pages: 61 Posted: 15 Aug 2013 Last Revised: 09 Apr 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 272 (229,257)

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affine term structure models, unspanned stochastic volatility, estimation

9.

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

Tinbergen Institute Discussion Paper 10-032/2
Number of pages: 32 Posted: 24 Mar 2010 Last Revised: 14 Oct 2010
Drew Creal, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 256 (243,727)
Citation 32

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dynamic dependence, multivariate Student's t distribution, copula

10.

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

Downloads 246 (253,724)
Citation 14

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

Tinbergen Institute Discussion Paper 11-042/DSF 16
Number of pages: 43 Posted: 22 Feb 2011
Drew Creal, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 140 (421,014)
Citation 14

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panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model

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

ECB Working Paper No. 1626
Number of pages: 43 Posted: 04 Jan 2014
Drew Creal, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 106 (523,653)

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panel data; loss given default; default risk; dynamic beta density; dynamic ordered probit; dynamic factor model

11.

Testing for Parameter Instability in Competing Modeling Frameworks

Tinbergen Institute 14-010/IV/71
Number of pages: 40 Posted: 18 Jan 2014 Last Revised: 06 Feb 2014
Francesco Calvori, Drew Creal, Siem Jan Koopman and Andre Lucas
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 232 (268,631)

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time-varying parameters; observation driven models; parameter driven models; structural breaks; generalized autoregressive score model; regime switching; credit risk

12.

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

Chicago Booth Research Paper No. 14-24
Number of pages: 30 Posted: 15 Aug 2013 Last Revised: 24 Jul 2014
Drew Creal
University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 231 (269,718)
Citation 3

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state space models, filtering, Markov-switching, stochastic intensity, stochastic volatility, Bayesian inference, autoregressive-gamma process

13.

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

Tinbergen Institute Discussion Paper 08-069/4
Number of pages: 30 Posted: 31 Jul 2008
Drew Creal and Siem Jan Koopman
University of Chicago - Booth School of Business - Econometrics and Statistics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 96 (556,089)

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Bandpass filter, Markov chain Monte Carlo, Stochastic volatility, Trend-cycle decomposition, Unobserved components time series model

14.

International Yield Curves and Currency Puzzles

Downloads 57 (737,486)

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 83 Posted: 05 Nov 2018 Last Revised: 17 May 2023
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 56 (759,305)

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International Yield Curves and Currency Puzzles

CEPR Discussion Paper No. DP13252
Number of pages: 85 Posted: 22 Oct 2018 Last Revised: 29 Mar 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 1 (1,322,822)
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affine models, bond valuation, Exchange Rates, FX disconnect

15.

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

NBER Working Paper No. w20115
Number of pages: 61 Posted: 19 May 2014 Last Revised: 19 Jun 2022
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and The University of Illinois at Urbana-Champaign
Downloads 39 (864,203)
Citation 21

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16.

Multihorizon Currency Returns and Purchasing Power Parity

Downloads 35 (898,728)

Multihorizon Currency Returns and Purchasing Power Parity

NBER Working Paper No. w24563
Number of pages: 59 Posted: 02 May 2018 Last Revised: 12 Feb 2023
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 33 (942,702)

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Multihorizon Currency Returns and Purchasing Power Parity

CEPR Discussion Paper No. DP12893
Number of pages: 63 Posted: 01 May 2018 Last Revised: 22 Oct 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 2 (1,311,979)
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affine term structure model, cointegration, multiple horizons, purchasing power parity, uncovered interest parity