Drew Creal

2.8k total citations · 1 hit paper
42 papers, 1.7k citations indexed

About

Drew Creal is a scholar working on Finance, General Economics, Econometrics and Finance and Economics and Econometrics. According to data from OpenAlex, Drew Creal has authored 42 papers receiving a total of 1.7k indexed citations (citations by other indexed papers that have themselves been cited), including 36 papers in Finance, 16 papers in General Economics, Econometrics and Finance and 13 papers in Economics and Econometrics. Recurrent topics in Drew Creal's work include Financial Risk and Volatility Modeling (25 papers), Monetary Policy and Economic Impact (15 papers) and Stochastic processes and financial applications (12 papers). Drew Creal is often cited by papers focused on Financial Risk and Volatility Modeling (25 papers), Monetary Policy and Economic Impact (15 papers) and Stochastic processes and financial applications (12 papers). Drew Creal collaborates with scholars based in United States, Netherlands and Denmark. Drew Creal's co-authors include Siem Jan Koopman, André Lucas, Jing Cynthia Wu, Ruey S. Tsay, Bernd Schwaab, Neil Shephard, Eric Zivot, Mikhail Chernov, Robert B. Gramacy and Leslie A. Robinson and has published in prestigious journals such as The Journal of Finance, Review of Financial Studies and The Review of Economics and Statistics.

In The Last Decade

Drew Creal

39 papers receiving 1.6k citations

Hit Papers

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2012 2026 2016 2021 2012 200 400 600
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    2012 616 citations Drew Creal, Siem Jan Koopman et al. Journal of Applied Econometrics profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Drew Creal United States 15 1.1k 1.1k 600 201 142 42 1.7k
Esther Ruiz Spain 20 1.9k 1.7× 1.6k 1.5× 844 1.4× 261 1.3× 315 2.2× 71 2.4k
John M. Maheu Canada 19 1.1k 1.0× 980 0.9× 421 0.7× 119 0.6× 162 1.1× 49 1.4k
Tae‐Hwy Lee United States 19 960 0.8× 1.2k 1.2× 763 1.3× 170 0.8× 308 2.2× 48 1.8k
Umberto Cherubini Italy 13 1.1k 0.9× 670 0.6× 263 0.4× 239 1.2× 248 1.7× 53 1.5k
Marc S. Paolella Switzerland 23 1.0k 0.9× 1.0k 0.9× 329 0.5× 212 1.1× 167 1.2× 78 1.6k
Zhijie Xiao United States 22 1.0k 0.9× 1.6k 1.4× 979 1.6× 629 3.1× 199 1.4× 104 2.5k
Giampiero M. Gallo Italy 22 1.4k 1.2× 1.3k 1.2× 596 1.0× 149 0.7× 199 1.4× 68 1.8k
Raffaella Giacomini United Kingdom 16 648 0.6× 981 0.9× 859 1.4× 161 0.8× 297 2.1× 33 1.5k
Joshua C. C. Chan Australia 23 731 0.6× 1.1k 1.0× 1.0k 1.7× 224 1.1× 259 1.8× 76 1.8k
Anders Rahbek Denmark 21 1.1k 1.0× 1.1k 1.0× 1.0k 1.7× 448 2.2× 97 0.7× 76 1.8k

Countries citing papers authored by Drew Creal

Since Specialization
Citations

This map shows the geographic impact of Drew Creal's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Drew Creal with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Drew Creal more than expected).

Fields of papers citing papers by Drew Creal

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Drew Creal. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Drew Creal. The network helps show where Drew Creal may publish in the future.

Co-authorship network of co-authors of Drew Creal

This figure shows the co-authorship network connecting the top 25 collaborators of Drew Creal. A scholar is included among the top collaborators of Drew Creal based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Drew Creal. Drew Creal is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Creal, Drew & Jaeho Kim. (2024). Bayesian estimation of cluster covariance matrices of unknown form. Journal of Econometrics. 241(1). 105725–105725.
2.
Creal, Drew, et al.. (2024). Observation-driven filtering of time-varying parameters using moment conditions. Journal of Econometrics. 238(2). 105635–105635. 2 indexed citations
3.
Creal, Drew & Jaeho Kim. (2022). Bayesian Estimation of Block Covariance Matrices. SSRN Electronic Journal. 1 indexed citations
4.
Chernov, Mikhail & Drew Creal. (2022). International Yield Curves and Currency Puzzles. The Journal of Finance. 78(1). 209–245. 10 indexed citations
5.
Creal, Drew & Jing Cynthia Wu. (2020). Bond risk premia in consumption‐based models. Quantitative Economics. 11(4). 1461–1484. 13 indexed citations
6.
Chernov, Mikhail, Drew Creal, & Peter Hördahl. (2019). Determinants of Asia-Pacific Government Bond Yields. BIS Papers chapters. 102. 29–39. 1 indexed citations
7.
Creal, Drew & Jing Cynthia Wu. (2019). Bond Risk Premia in Consumption-Based Models. SSRN Electronic Journal. 1 indexed citations
8.
Creal, Drew & Jing Cynthia Wu. (2017). Bond Risk Premia in Consumption-Based Models. SSRN Electronic Journal. 4 indexed citations
9.
Creal, Drew, Robert B. Gramacy, & Ruey S. Tsay. (2014). Market-Based Credit Ratings. Journal of Business and Economic Statistics. 32(3). 430–444. 17 indexed citations
10.
Creal, Drew, Bernd Schwaab, Siem Jan Koopman, & André Lucas. (2013). Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk. The Review of Economics and Statistics. 96(5). 898–915. 85 indexed citations
11.
Creal, Drew & Jing Cynthia Wu. (2013). Estimation of Non-Gaussian Affine Term Structure Models. SSRN Electronic Journal. 5 indexed citations
12.
Creal, Drew, Siem Jan Koopman, & André Lucas. (2012). GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS. Journal of Applied Econometrics. 28(5). 777–795. 616 indexed citations breakdown →
13.
Creal, Drew, Leslie A. Robinson, Jonathan L. Rogers, & Sarah L. C. Zechman. (2012). The Multinational Advantage. SSRN Electronic Journal. 14 indexed citations
14.
Creal, Drew. (2011). A Survey of Sequential Monte Carlo Methods for Economics and Finance. Econometric Reviews. 31(3). 245–296. 175 indexed citations
15.
Zhang, Xin, Drew Creal, Siem Jan Koopman, & André Lucas. (2011). Modeling Dynamic Volatilities and Correlations Under Skewness and Fat Tails. SSRN Electronic Journal. 9 indexed citations
16.
Creal, Drew, Siem Jan Koopman, & André Lucas. (2011). A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations. Journal of Business and Economic Statistics. 29(4). 552–563. 188 indexed citations
17.
Creal, Drew, Siem Jan Koopman, & Eric Zivot. (2010). Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter. Journal of Applied Econometrics. 25(4). 695–719. 22 indexed citations
18.
Creal, Drew, Siem Jan Koopman, & André Lucas. (2010). A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations. SSRN Electronic Journal. 18 indexed citations
19.
Zivot, Eric, et al.. (2008). The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics. Journal of Econometrics. 146(2). 207–219. 31 indexed citations
20.
Creal, Drew & Siem Jan Koopman. (2008). The Effect of the Great Moderation on the U.S. Business Cycle in a Time-Varying Multivariate Trend-Cycle Model. SSRN Electronic Journal. 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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