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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 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
Harvey, A. C. and Lange, R-J. Volatility Modeling with a Generalized t Distribution, (2017) Journal of Time Series Analysis

Cambridge Working Papers in Economics

Harvey, A., Hurn, S., Thiele, S. Modeling directional (circular) time series, (2019) CWPE1971
Harvey, 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 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

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


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