skip to content
 

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 Economics
Harvey, 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 517

Cambridge Working Papers in Economics

Harvey, A. Score-Driven Time Series Models, (2021) CWPE2133
Harvey, A. and Palumbo, D. Regime Switching Models for Directional and Linear Observations, (2021) CWPE2123
Harvey, A. C. Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment, (2021) CWPE2114

Authored Book

Harvey, A. C. Dynamic models for Volatility and Heavy Tails, (2013) Econometric Society Monograph - Cambridge University Press

Chapter 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 Press

Research Activities


NIESR Weekly Covid-19 Tracker Using Time Series Model - Publication Date: 2021-02-21
A new study co-authored by Emeritus Professor Andrew Harvey produces good forecasts of epidemics before new cases or deaths peak.


Keynes 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

Professor Andrew Harvey













Professor of Econometrics

Research Group:
Econometrics

CV: Curriculum Vitae


Contact Details
Email: andrew.harvey@econ.cam.ac.uk
Room: 73
College: Fellow of Corpus Christi College


Links