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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - In: Journal of econometrics 185 (2015) 1, pp. 60-81
Persistent link: https://www.econbiz.de/10011339903
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Testable implications of affine term structure models
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of econometrics 178 (2014) 1, pp. 231-242
Persistent link: https://www.econbiz.de/10010256167
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Identification and estimation of Gaussian affine term structure models
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of econometrics 168 (2012) 2, pp. 315-331
Persistent link: https://www.econbiz.de/10009612732
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The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
Oh, Kum Hwa; Zivot, Eric; Creal, Drew - In: Journal of econometrics 146 (2008) 2, pp. 207-219
Persistent link: https://www.econbiz.de/10003782911
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Testing the assumptions behind importance sampling
Koopman, Siem Jan; Shephard, Neil G.; Creal, Drew - In: Journal of econometrics 149 (2009) 1, pp. 2-11
Persistent link: https://www.econbiz.de/10003833708
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Observation-driven filtering of time-varying parameters using moment conditions
Creal, Drew; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073945
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Bayesian estimation of cluster covariance matrices of unknown form
Creal, Drew; Kim, Jaeho - In: Journal of econometrics 241 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015075138
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Testing the assumptions behind importance sampling
Koopman, Siem Jan; Shephard, Neil; Creal, Drew - In: Journal of econometrics 149 (2009) 1, pp. 2-11
Persistent link: https://www.econbiz.de/10008237918
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The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
Oh, Kum Hwa; Zivot, Eric; Creal, Drew - In: Journal of econometrics 146 (2008) 2, pp. 207-219
Persistent link: https://www.econbiz.de/10008135104