Research Interests
Time series; financial econometrics; state space models; signal extraction; volatility.
Biography
Fellow of the Econometric Society and a Fellow of the British Academy (FBA). Author of two textbooks, The Econometric Analysis of Time Series and Time Series Models, and two research monographs, Forecasting, Structural Time Series Models and the Kalman Filter and Dynamic Models for Volatility and Heavy Tails.
Recent Publications
Published Papers
Harvey, A. C. and R-J. Lange Volatility Modelling with a Generalized t-distribution, (2017) Journal of Time Series AnalysisHarvey, A. C.and Thiele, S. Testing against changing correlation, (2016) Journal of Empirical Finance
Caivano, M., Harvey, A. C. and Luati, A. Robust time series models with trend and seasonal components, (2016) SERIEs : Journal of the Spanish Economic Association
Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage, (2014) Computational Statistics & Data Analysis
Harvey, A. C. and Luati, A. Filtering with heavy tails, (2014) Journal of the American Statistical Association
Cambridge Working Papers in Economics
Harvey, A. and Thiele, S. Co-integration and control: assessing the impact of events using time series data, (2017) CWPE1731Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns, (2015) CWPE1518
Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution, (2015) CWPE1517
Harvey, A. C. and Thiele, S. Testing against Changing Correlation, (2014) CWPE1439
Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail, (2013) CWPE1326
Authored Book
Harvey, A. C. Dynamic models for Volatility and Heavy Tails, (2013) Econometric Society Monograph - Cambridge University PressChapter in Book
Dell Monache, D. and Harvey, A. C. Specification and misspecification of unobserved components models, (2012) in the book: Economic time series: modeling and seasonality - CRC PressRecent Activities
Economic Statistics Centre of Excellence - Publication Date: 2016-11-17
Following the Bean Independent Review of UK Economic Statistics, the Office for National Statistics (ONS) recently announced that the National Institute of Economic and Social Research in collaboration with a consortium of leading economic institutions including the University of Cambridge will form the Economic Statistics Centre of Excellence (ESCoE).
Andrew Harvey New Book Published in April - Publication Date: 2013-02-10
Andrew Harvey has a new book called, Dynamic Models for Volatility and Heavy Tails, published in April 2013.
Research Grants
Time-Varying Quantiles (ESRC)
Dynamic Common Factor Models For Regional Time Series (ESRC)
Keynes Fund Sponsored Projects
Dynamic Models for volatility and heavy tails (JHLC) Research Output
Dynamic Models for volatility and heavy tails (JHLH) Research Output
Teaching
MPhil R301 Econometrics II
