| Generalized autoregressive score models with applications D Creal, SJ Koopman, A Lucas Journal of Applied Econometrics 28 (5), 777-795, 2013 | 1197* | 2013 |
| A survey of sequential Monte Carlo methods for economics and finance D Creal Econometric reviews 31 (3), 245-296, 2012 | 372 | 2012 |
| A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations D Creal, SJ Koopman, A Lucas Journal of Business & Economic Statistics 29 (4), 552-563, 2011 | 369 | 2011 |
| Monetary policy uncertainty and economic fluctuations DD Creal, JC Wu International Economic Review 58 (4), 1317-1354, 2017 | 221* | 2017 |
| Observation-driven mixed-measurement dynamic factor models with an application to credit risk D Creal, B Schwaab, SJ Koopman, A Lucas Review of Economics and Statistics 96 (5), 898-915, 2014 | 183 | 2014 |
| High dimensional dynamic stochastic copula models DD Creal, RS Tsay Journal of Econometrics 189 (2), 335-345, 2015 | 148 | 2015 |
| Testing the assumptions behind importance sampling SJ Koopman, N Shephard, D Creal Journal of Econometrics 149 (1), 2-11, 2009 | 123 | 2009 |
| Estimation of affine term structure models with spanned or unspanned stochastic volatility DD Creal, JC Wu Journal of Econometrics 185 (1), 60-81, 2015 | 81 | 2015 |
| Bond risk premia in consumption‐based models DD Creal, JC Wu Quantitative Economics 11 (4), 1461-1484, 2020 | 75 | 2020 |
| The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics KH Oh, E Zivot, D Creal Journal of Econometrics 146 (2), 207-219, 2008 | 74* | 2008 |
| Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter D Creal, SJ Koopman, E Zivot Journal of applied econometrics 25 (4), 695-719, 2010 | 50 | 2010 |
| The multinational advantage D Creal, LA Robinson, JL Rogers, SLC Zechman Fama-Miller Working Paper, Chicago Booth Research Paper, 2014 | 49 | 2014 |
| Market-based credit ratings DD Creal, RB Gramacy, RS Tsay Journal of Business & Economic Statistics 32 (3), 430-444, 2014 | 43 | 2014 |
| Sequential Monte Carlo Samplers for Bayesian DSGE Models D Creal Manuscript, University Chicago Booth, 245-296, 2007 | 40 | 2007 |
| Testing for parameter instability across different modeling frameworks F Calvori, D Creal, SJ Koopman, A Lucas Journal of Financial Econometrics 15 (2), 223-246, 2017 | 33 | 2017 |
| Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models DD Creal Computational Statistics & Data Analysis 52 (6), 2863-2876, 2008 | 32 | 2008 |
| The PPP view of multihorizon currency risk premiums M Chernov, D Creal The Review of Financial Studies 34 (6), 2728-2772, 2021 | 31* | 2021 |
| A class of non-Gaussian state space models with exact likelihood inference DD Creal Journal of Business & Economic Statistics 35 (4), 585-597, 2017 | 31 | 2017 |
| rate risks: Evidence from Asia-Pacific local currency bonds M Chernov, D Creal, P Hördahl | 24* | 2021 |
| Generalized autoregressive method of moments D Creal, SJ Koopman, A Lucas, M Zamojski Tinbergen Institute Discussion Paper 15-138/III, 2018 | 23 | 2018 |
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit Amsterdam確認したメール アドレス: vu.nl