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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 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) CWPE2123
Harvey, 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 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


Tracking the Mutant Strain: Forecasting Covid in the UK - Publication Date: 2021-07-26
Andrew Harvey's main research is on time series, focusing on financial time series and climate change. In March 2020 the first UK lockdown diverted his attention to modelling the spread of epidemics. He began work on COVID-19 with his Corpus Christi colleague, Paul Kattuman. This has resulted in four publications; the most recent came out in the Journal of the Royal Society Interface and the National Institute Economic Review.

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)

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


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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