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. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, (2020) Covid Economics: Vetted and Real-Time PapersHarvey, 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
Harvey, 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
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 PressKeynes Fund Sponsored Projects
Dynamic Models for volatility and heavy tails (JHLC) Research Output
Dynamic Models for volatility and heavy tails (JHLH) Research Output
Persistence and Forecasting in Climate and Environmental Econometrics (JHUS)
Teaching
MPhil R301a Advanced Econometrics II: Time Series
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
