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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SSRN CITATIONS
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Top 6,251

in Total Papers Citations

131

CROSSREF CITATIONS

80

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 1,010 (31,355)
Citation 3

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firm valuation, segment reporting, international accounting, multinational corporations

2.

Monetary Policy Uncertainty and Economic Fluctuations

Downloads 972 ( 33,079)
Citation 28

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 951 (33,610)
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 University of Notre Dame - Department of Economics
Downloads 21 (707,948)
Citation 16

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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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3.

Bond Risk Premia in Consumption-Based Models

Downloads 515 ( 76,434)
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 University of Notre Dame - Department of Economics
Downloads 381 (108,064)

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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 University of Notre Dame - Department of Economics
Downloads 118 (322,325)
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 2022
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 16 (750,873)

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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 409 (100,438)
Citation 11

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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 399 (103,293)
Citation 32

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

6.

Generalized autoregressive Method of Moments

Downloads 273 (155,345)
Citation 4

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 - School of Business and Economics and University of Gothenburg, Centre for Finance
Downloads 203 (206,351)
Citation 2

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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 - School of Business and Economics and University of Gothenburg, Centre for Finance
Downloads 70 (448,323)
Citation 2

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

7.

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 242 (174,941)
Citation 1

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affine term structure models, unspanned stochastic volatility, estimation

8.

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 240 (176,393)
Citation 2

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

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 - School of Business and Economics
Downloads 203 (206,510)
Citation 22

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dynamic dependence, multivariate Student's t distribution, copula

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
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 - School of Business and Economics
Downloads 198 (211,186)
Citation 1

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

11.

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 193 (216,034)
Citation 3

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

12.

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

Downloads 163 (249,660)
Citation 16

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 - School of Business and Economics
Downloads 109 (340,865)
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 - School of Business and Economics
Downloads 54 (510,590)

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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 68 (449,522)

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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 21 (686,099)
Citation 1

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 83 Posted: 05 Nov 2018 Last Revised: 16 May 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 21 (707,948)

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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
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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 University of Notre Dame - Department of Economics
Downloads 15 (733,941)
Citation 7

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16.

Multihorizon Currency Returns and Purchasing Power Parity

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Multihorizon Currency Returns and Purchasing Power Parity

NBER Working Paper No. w24563
Number of pages: 59 Posted: 02 May 2018 Last Revised: 12 Feb 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 11 (798,609)

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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 (914,212)
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affine term structure model, cointegration, multiple horizons, purchasing power parity, uncovered interest parity