← All authors Drew Creal University of Notre Dame (per OpenAlex) · OpenAlex
9 papers in scope · 9 published · 1 on the econ.EM arXiv · 1,741 citations · h-index 8 (over the papers listed here)
Papers Observation-driven filtering of time-varying parameters using moment conditions
published 2024 · Journal of Econometrics · 3 citations
Testing for Parameter Instability across Different Modeling Frameworks
published 2016 · Journal of Financial Econometrics · 13 citations
High dimensional dynamic stochastic copula models
published 2015 · Journal of Econometrics · 113 citations · first circulated 2014
Market-Based Credit Ratings
published 2014 · Journal of Business and Economic Statistics · 26 citations · first circulated 2012
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
published 2013 · The Review of Economics and Statistics · 119 citations · first circulated 2010
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
published 2012 · Journal of Applied Econometrics · 1007 citations
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
published 2011 · Journal of Business and Economic Statistics · 299 citations · first circulated 2009
Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter
published 2010 · Journal of Applied Econometrics · 50 citations · first circulated 2008
Testing the assumptions behind importance sampling
published 2008 · Journal of Econometrics · 111 citations · first circulated 2002
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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