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 Liao, Y. Dynamic Tobit models, Econometrics and Statistics, (2021)Harvey, A. C. and Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics, Journal of the Royal Society Interface, (2021) vol 18(182): 20210179
Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment, National Institute Economic Review, (2021) vol 257 pp. 83-100
Harvey, A. C. Score-Driven Time Series Models, Annual Review of Statistics and Its Application, to appear, (2021)
Harvey, A. C., Kattuman, P. and Thamotheram, C. Tracking The Mutant: Forecasting and Nowcasting COVID-19 in the UK in 2021, National Institute Economic Review, (2021) vol 256 pp. 110-126
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, Journal of Applied Econometrics, (2020) vol 36 pp. 71-85
Harvey, A. C. and Kattuman, P. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, Harvard Data Science Review , (2020): Special Issue 1 - COVID-19
Cambridge Working Papers in Economics
Harvey, A. and Palumbo, D. Regime Switching Models for Directional and Linear Observations, (2021) CWPE2123Harvey, A. C. Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment, (2021) CWPE2114
Harvey, A. C., Hurn, S., Thiele, S. Modeling directional (circular) time series, (2019) CWPE1971
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
Neuro Tensors in Finance Mini-Conference
The Janeway Institute is organising a mini-conference on Neuro Tensors in Finance. It will be held in the Faculty of Economics, in March 2023.
Event Date - Thursday 16th March 2023
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. C., Persistence and Forecasting in Climate and Environmental Econometrics (JHUS)
Harvey, A. and Simons, J., Forecasting and Policy in Environmental Econometrics (JHVL)
COVID-19 Economic Research
Special Features: Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus
Computer Programs
Time Series Lab- Dynamic Score Edition - is a menu-driven program with a with a high-quality graphical interface that enables the user to fit linear time series models, such as ARIMA, and the new score-driven nonlinear models.
A companion program, Time Series Lab - State Space Edition - can analyze time series based on Structural Time Series Models
Free versions of both programs can be downloaded at https://timeserieslab.com
Time Series Course
A time series course will be given in Cambridge on December 20-21 of 2021. Download course overview for details. The course will make use of STAMP and the TSL software. TSL can be downloaded without charge at https://timeserieslab.com
Registration is through Timberlake Consultants Ltd at https://www.timberlake.co.uk/courses/econometrics-winter-school-cambridge-2021.html
Teaching
MPhil R301a Advanced Econometrics II: Time Series