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 Lange, R-J. Modeling the Interactions between Volatility and Returns using EGARCH‐M, (2018) Journal of Time Series AnalysisHarvey, A. C. and Lange, R-J. Volatility Modeling with a Generalized t Distribution, (2017) Journal of Time Series Analysis
Harvey, 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
Cambridge Working Papers in Economics
Harvey, A., Hurn, S., Thiele, S. Modeling directional (circular) time series, (2019) CWPE1971Harvey, A. and Palumbo, D. Score-Driven Models for Realized Volatility, (2019) CWPE1950
Harvey, A., 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 PressResearch Activities
Workshop on Score-Driven Time Series Models - Publication Date: 2018-11-15
Cambridge-INET are holding an event "Workshop on score-driven time series models" on 28th and 29th March 2018, from 9.00am - 5.00pm, in Winstanley lecture theatre, Trinity College, Cambridge. Please register you interest.
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
PhD Students
Supervisor
Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Econometrics, Macroeconometrics, Empirical Finance, Asset Pricing
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Econometrics, Macroeconometrics, Empirical Finance, Asset Pricing
