Drew Creal

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

Chicago, IL 60637

United States

SCHOLARLY PAPERS

16

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15

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Scholarly Papers (16)

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
University of Chicago - Booth School of Business - Econometrics and Statistics, Dartmouth College - Accounting, University of Colorado at Boulder - Leeds School of Business and University of Colorado at Boulder - Leeds School of Business
Downloads 940 (23,145)

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firm valuation, segment reporting, international accounting, multinational corporations

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 University of Notre Dame - Department of Economics
Downloads 913 (23,787)

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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
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 13 (574,547)

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Monetary Policy Uncertainty and Economic Fluctuations

International Economic Review, Vol. 58, Issue 4, pp. 1317-1354, 2017
Number of pages: 38 Posted: 05 Dec 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
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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 University of Notre Dame - Department of Economics
Downloads 368 (78,015)

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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: 72 Posted: 22 Apr 2019
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 26 (492,517)

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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
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 11 (587,772)

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4.

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 362 (80,207)

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

5.

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 - School of Business and Economics
Downloads 319 (92,570)

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

6.

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 University of Notre Dame - Department of Economics
Downloads 227 (132,244)

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affine term structure models, unspanned stochastic volatility, estimation

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 226 (132,808)

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

8.

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 - School of Business and Economics
Downloads 180 (164,169)

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dynamic dependence, multivariate Student's t distribution, copula

9.

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 178 (165,796)

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

10.

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
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 - School of Business and Economics
Downloads 175 (168,372)

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

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
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and
Downloads 126 (221,549)

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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
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and
Downloads 31 (465,644)

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

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
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 - School of Business and Economics
Downloads 105 (253,518)

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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
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 - School of Business and Economics
Downloads 31 (465,644)

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

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 61 (347,473)

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

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 48 Posted: 05 Nov 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 9 (601,098)
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International Yield Curves and Currency Puzzles

CEPR Discussion Paper No. DP13252
Number of pages: 50 Posted: 22 Oct 2018 Last Revised: 14 Jan 2019
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
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affine models, bond valuation, Exchange Rates, FX disconnect

Multihorizon Currency Returns and Purchasing Power Parity

NBER Working Paper No. w24563
Number of pages: 59 Posted: 02 May 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 5 (628,558)
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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 1 (669,933)
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affine term structure model, cointegration, multiple horizons, purchasing power parity, uncovered interest parity

16.

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
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 6 (595,162)

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