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Drew D. Creal

Institution: University of Illinois at Urbana-Champaign

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/view/drewcreal

First Publication: 2008

Most Recent: 2024

RePEc ID: pcr106 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 8.41 0.00 0.00 8.41 93%
Last 10 Years 0.00 12.45 2.02 0.00 14.46 94%
All Time 0.00 22.87 2.69 0.00 25.56 95%

Publication Statistics

Raw Publications 16
Coauthorship-Adjusted Count 14.14

Publications (16)

Year Article Journal Tier Authors
2024 Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics A 4
2024 Bayesian estimation of cluster covariance matrices of unknown form Journal of Econometrics A 2
2023 International Yield Curves and Currency Puzzles Journal of Finance A 2
2023 Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds Journal of International Economics A 3
2021 The PPP View of Multihorizon Currency Risk Premiums The Review of Financial Studies A 2
2020 Bond risk premia in consumption‐based models Quantitative Economics B 2
2017 A Class of Non-Gaussian State Space Models With Exact Likelihood Inference Journal of Business & Economic Statistics A 1
2017 Monetary Policy Uncertainty and Economic Fluctuations International Economic Review B 2
2015 Estimation of affine term structure models with spanned or unspanned stochastic volatility Journal of Econometrics A 2
2015 High dimensional dynamic stochastic copula models Journal of Econometrics A 2
2014 Market-Based Credit Ratings Journal of Business & Economic Statistics A 3
2014 Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics A 4
2013 Generalized Autoregressive Score Models with Applications Journal of Applied Econometrics B 3
2011 A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations Journal of Business & Economic Statistics A 3
2009 Testing the assumptions behind importance sampling Journal of Econometrics A 3
2008 The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics Journal of Econometrics A 3