Browsing All of EconStor by Author Creal, Drew
Showing results 1 to 9 of 9
| Year of Publication | Title | Author(s) |
| 2008 | The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model | Creal, Drew; Koopman, Siem Jan; Zivot, Eric |
| 2008 | A General Framework for Observation Driven Time-Varying Parameter Models | Creal, Drew; Koopman, Siem Jan; Lucas, André |
| 2010 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations | Creal, Drew; Koopman, Siem Jan; Lucas, André |
| 2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk | Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre |
| 2011 | Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails | Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre |
| 2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk | Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André |
| 2014 | Testing for Parameter Instability in Competing Modeling Frameworks | Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; Lucas, Andre |
| 2015 | Generalized Autoregressive Method of Moments | Creal, Drew; Koopman, Siem Jan; Lucas, André; Zamojski, Marcin |
| 2020 | Bond risk premia in consumption-based models | Creal, Drew; Wu, Jing Cynthia |
