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 Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics, (2020) Covid EconomicsHarvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, (2020) Journal of Applied Econometrics, forthcoming
Harvey, A. C. and Kattuman, P. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, (2020) Harvard Data Science Review
Harvey, A. C. and Ito, R. Modeling time series when some observations are zero, (2020) Journal of Econometrics
Harvey, A. C. and Lange, R-J. Modeling the Interactions between Volatility and Returns using EGARCH‐M, (2018) Journal of Time Series Analysis
Working Papers
Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment, (2020) NIESR Discussion Paper Number 517Cambridge Working Papers in Economics
Harvey, A. C., Hurn, S., Thiele, S. Modeling directional (circular) time series, (2019) CWPE1971Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility, (2019) CWPE1950
Harvey, A. C., Liao, Y. Dynamic Tobit models, (2019) CWPE1913
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 PressKeynes Fund Sponsored Projects
Harvey, A. C., Dynamic Models for Volatility and Heavy Tails (JHLC)
Harvey, A. C., Dynamic Models for Volatility and Heavy Tails (JHLH)
Harvey, A., Persistence and Forecasting in Climate and Environmental Econometrics (JHUS)
COVID-19 Economic Research
Special Features: Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus
PhD Students
Supervisor
Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Time Series, Heavy Tailed Distribution, Circular Data and Financial Econometrics
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Time Series, Heavy Tailed Distribution, Circular Data and Financial Econometrics
