Faculty

Institution

Unit

Venue

Drew Creal

University of Notre Dame

Affiliations

College of Arts and Letters

Economics

NoneDrew Creal is currently serving as a College Of Arts And Letters faculty at University of Notre Dame.

Honors

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Experiences

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Education

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Drew Creal

University of Notre Dame

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statistics statistical methodology finance statistical models financial time series analysis economics econometrics time series economic modelling applied mathematics economic dynamics computational statistics volatility modeling stochastic process financial stability statistical inference bayesian analysis quantitative analysis (finance) international financial markets financial studies finance research applied statistics mathematical finance global finance term structure model economic fluctuation macroeconomic forecasting exchange rates theoretical economics financial econometrics financial mathematics bond markets economic analysis international money multivariate analysis semi-nonparametric estimation monte carlo sequential monte carlo monte carlo sampling shock (economics) inflation expectation latent variable models latent modeling economic forecasting parameter estimation business cycle analysis stochastic calculus foreign exchange markets exchange rate movement markov chain monte carlo gas model transmission mechanism credit risk unspanned stochastic volatility likelihood function decision science policy modeling global strategy option pricing monte carlo methods monetary theory sampling theory sampling techniques sampling (statistics) high-frequency financial econometrics generalized autoregressive score scaled score simulation-based algorithms particle filters new class future correlations uncertainty react mixed-frequency panel data other permanent-transitory decompositions beveridge-nelson decomposition business cycle frequencies

Notable Scholarly Works

Notable Federal Grants

Collaborators

Bayesian Estimation of Cluster Covariance Matrices of Unknown Form. Journal of Econometrics (2024)

Drew CrealJaeho Kim

estimation theorycluster covariance matricesstatistical inferencebayesian analysisstatisticsstatistical models

Observation-Driven Filtering of Time-Varying Parameters Using Moment Conditions. Journal of Econometrics (2024)

Drew CrealSiem Jan KoopmanAndré LucasMarcin Zamojski

statistical methodologysignal processingfilter (signal processing)filtering techniquestatisticsstochastic processobservation-driven filteringapplied mathematicstime series

Bayesian Estimation of Block Covariance Matrices. SSRN Electronic Journal (2022)

Drew CrealJaeho Kim

bayesian statisticsapplied probabilitystatistical methodologybayesian hierarchical modelingbayesian analysismonte carloblock covariance matrixcomputational statisticsblock covariance matricesapplied statisticsmarkov chain monte carlostatistical inferenceapplied mathematicsstatisticsstatistical models

International Yield Curves and Currency Puzzles. The Journal of Finance (2022)

MIKHAIL CHERNOVDREW CREAL

foreign exchange marketscurrency depreciation ratedomestic pricing kernelsinterest ratesinternational financial marketsinternational economicsexchange ratesinternational financecurrency puzzlesglobal financeeconomicsexchange rate movementinternational moneyfinance

Sovereign Credit and Exchange Rate Risks: Evidence From Asia-Pacific Local Currency Bonds. Journal of International Economics (2022)

Mikhail ChernovDrew CrealPeter Hördahl

asian economicsexchange rate risksinterest ratesinternational financial marketsbond marketssovereign creditexchange ratesinternational financeglobal financeeconomicsinternational debtfinance

Bond Risk Premia in Consumption‐Based Models. Quantitative Economics (2020)

Drew D. CrealJing Cynthia Wu

stochastic volatilityfinancial economicsfinancial stabilityfinance researchterm structure modelfinancial studiesinternational financial marketsbond marketsasset pricingbond risk premiarisk price channelfinancial mathematicseconomicseconomic modellingfinancevolatility modeling

The Ppp View of Multihorizon Currency Risk Premiums. Review of Financial Studies (2020)

Mikhail ChernovDrew Creal

foreign exchange marketsnominal depreciation ratesfinancial economicsppp viewnominal exchange rateinterest ratesinternational financial marketsexchange ratesinternational financeeconomicseconomic modellingexchange rate movementinternational moneyfinance

Determinants of Asia-Pacific Government Bond Yields. (2019)

Mikhail ChernovDrew CrealPeter Hördahl

financial economicsfinancial stabilityasian economicsinterest ratesinternational financial marketsbond marketsexchange ratesinternational financebond yieldsglobal financeinternational capital marketseconomicslocal variablesfinanceasia-pacific local currency

Generalized Autoregressive Method of Moments. SSRN Electronic Journal (2018)

Drew CrealSiem Jan KoopmanAndre LucasMarcin Zamojski

statistical methodologyquantitative analysis (finance)financial economicsautoregressive methodfinance researchupdating schemefinancial studieseconomic dynamicsasset pricingcomputational financefinancial mathematicsunknown dynamicsfinancial econometricsfinancial time series analysismathematical financefinanceapplied mathematicsstatistics

A Class of Non-Gaussian State Space Models With Exact Likelihood Inference. Figshare (2017)

Drew D. Creal

stochastic volatilitystatistical methodologylikelihood functiongaussian analysisexact likelihood inferencegaussian processbayesian analysisbayesian econometricsstochastic processcomputational statisticsstatistical inferenceapplied mathematicsstatisticsstatistical models

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Drew Creal

University of Notre Dame

Affiliations

College of Arts and Letters

Economics

NoneDrew Creal is currently serving as a College Of Arts And Letters faculty at University of Notre Dame.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Drew Creal

University of Notre Dame

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Bayesian Estimation of Cluster Covariance Matrices of Unknown Form. Journal of Econometrics (2024)

Drew CrealJaeho Kim

estimation theorycluster covariance matricesstatistical inferencebayesian analysisstatisticsstatistical models

Observation-Driven Filtering of Time-Varying Parameters Using Moment Conditions. Journal of Econometrics (2024)

Drew CrealSiem Jan KoopmanAndré LucasMarcin Zamojski

statistical methodologysignal processingfilter (signal processing)filtering techniquestatisticsstochastic processobservation-driven filteringapplied mathematicstime series

Bayesian Estimation of Block Covariance Matrices. SSRN Electronic Journal (2022)

Drew CrealJaeho Kim

International Yield Curves and Currency Puzzles. The Journal of Finance (2022)

MIKHAIL CHERNOVDREW CREAL

Sovereign Credit and Exchange Rate Risks: Evidence From Asia-Pacific Local Currency Bonds. Journal of International Economics (2022)

Mikhail ChernovDrew CrealPeter Hördahl

asian economicsexchange rate risksinterest ratesinternational financial marketsbond marketssovereign creditexchange ratesinternational financeglobal financeeconomicsinternational debtfinance

Bond Risk Premia in Consumption‐Based Models. Quantitative Economics (2020)

Drew D. CrealJing Cynthia Wu

The Ppp View of Multihorizon Currency Risk Premiums. Review of Financial Studies (2020)

Mikhail ChernovDrew Creal

Determinants of Asia-Pacific Government Bond Yields. (2019)

Mikhail ChernovDrew CrealPeter Hördahl

Generalized Autoregressive Method of Moments. SSRN Electronic Journal (2018)

Drew CrealSiem Jan KoopmanAndre LucasMarcin Zamojski

A Class of Non-Gaussian State Space Models With Exact Likelihood Inference. Figshare (2017)

Drew D. Creal

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