Andrew C. Harvey : Citation Profile


Are you Andrew C. Harvey?

University of Cambridge

31

H index

52

i10 index

4745

Citations

RESEARCH PRODUCTION:

79

Articles

62

Papers

5

Books

3

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   45 years (1974 - 2019). See details.
   Cites by year: 105
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 433.    Total self citations: 52 (1.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha279
   Updated: 2020-08-01    RAS profile: 2019-09-22    
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Relations with other researchers


Works with:

Caivano, Michele (6)

Lange, Rutger-Jan (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew C. Harvey.

Is cited by:

Koopman, Siem Jan (113)

Proietti, Tommaso (108)

Shephard, Neil (78)

Ruiz, Esther (68)

McAleer, Michael (52)

Lucas, Andre (52)

Asai, Manabu (50)

Hunt, Lester (42)

Blazsek, Szabolcs (39)

Escribano, Alvaro (38)

Diebold, Francis (36)

Cites to:

Koopman, Siem Jan (64)

Creal, Drew (37)

Engle, Robert (31)

Lucas, Andre (30)

Shephard, Neil (25)

Bollerslev, Tim (19)

Phillips, Peter (18)

Schmidt, Peter (17)

shin, yongcheol (15)

Busetti, Fabio (13)

McDonald, James (11)

Main data


Where Andrew C. Harvey has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics12
Journal of Time Series Analysis10
Journal of Econometrics9
International Journal of Forecasting5
Journal of Economic Dynamics and Control4
Economic Journal3
Journal of Applied Econometrics3
Econometric Theory3
Journal of the Royal Statistical Society Series C3
International Economic Review3
Econometrica2
Economics Letters2
Journal of Forecasting2
The Review of Economics and Statistics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Andrew C. Harvey (2019 and 2018)


YearTitle of citing document
2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. (2017). Tabor, Morten ; Johansen, Soren ; Rahbek, Anders ; Frydman, Roman. In: CREATES Research Papers. RePEc:aah:create:2017-23.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2020Interest Rates under Falling Stars. (2020). Rudebusch, Glenn ; Bauer, Michael. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:5:p:1316-54.

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2020The Adoption of National Green Procurement Plans from the Perspective of Circular Economy. (2020). POPESCU, Luminita ; Avram, Roxana Loredana ; Siminic, Marian. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:53:p:15.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2017A Monetary Stress Indicator for the Economic Community of West African States. (2017). Tillmann, Peter ; PeterTillmann, ; Diop, Samba. In: Journal of African Development. RePEc:afe:journl:v:19:y:2017:i:2:p:1-18.

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2018Examining the Sustainability of the US Shale Oil Boom. (2018). Bejan, Vladimir . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274314.

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2017MODELLING INTERNATIONAL OILSEED PRICES: AN APPLICATION OF THE STRUCTURAL TIME SERIES MODEL. (2017). Hazrana, Jaweriah . In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266469.

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2017A Model of the Fed’s View on Inflation. (2017). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Economic Research Papers. RePEc:ags:uwarer:269087.

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2019Predicting Recessions: A New Measure of Output Gap as Predictor. (2019). Simar, Leopold ; Mastromarco, Camilla ; Wilson, Paul. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019023.

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2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

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2018Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series. (2018). Loaiza Maya, Rubén ; Smith, Michael Stanley ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1712.09150.

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2018Synthetic Control Methods and Big Data. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1803.00096.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1901.11491.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2019). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Papers. RePEc:arx:papers:1909.02182.

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2019Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models. (2019). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.09841.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2020Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging. (2020). Mazur, Bla Zej ; Makiela, Kamil. In: Papers. RePEc:arx:papers:2003.07150.

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2020Determinants of Interest Rates in the P2P Consumer Lending Market: How Rational are Investors?. (2020). Wernli, Reto ; Dietrich, Andreas. In: Papers. RePEc:arx:papers:2003.11347.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Gregory Clive ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.06880.

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2020Quantifying the Economic Impact of Extreme Shocks on Businesses using Human Mobility Data: a Bayesian Causal Inference Approach. (2020). Ukkusuri, Satish ; Zhang, Yunchang ; Yabe, Takahiro. In: Papers. RePEc:arx:papers:2004.11121.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535.

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2020Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110.

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2020Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183.

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2020Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043.

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2020The Effectiveness of Chinas Monetary Policy: Based on the Mixed-Frequency Data. (2020). Pan, Shengjie ; Zhang, Hongyan ; Song, Yinqiu ; Wang, Deqing. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:325-339.

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2018Volatility - return paradigm of foreign private portfolio investment in Nigeria. (2018). Emeka, Ochiabuto ; Michael, Ndugbu ; Peters, Ihejirika. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:2018:p:162-173.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018Measuring Retail Trade Using Card Transactional Data. (2018). Pacce, Matías ; García López, Juan ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Murillo, Juan ; Garcia, Juan Ramon ; Bodas, Diego. In: Working Papers. RePEc:bbv:wpaper:1803.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches. (2018). Lee-Poy, Andrew. In: Staff Analytical Notes. RePEc:bca:bocsan:18-34.

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2019Measuring real and financial cycles in Luxembourg: An unobserved components approach. (2019). Moura, Alban ; Guarda, Paolo. In: BCL working papers. RePEc:bcl:bclwop:bclwp126.

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2017A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana. In: Working Papers. RePEc:bde:wpaper:1720.

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2018Fiscal policies in the euro area: revisiting the size of spillovers. (2018). Pérez, Javier ; Burriel, Pablo ; Alloza, Mario ; Perez, Javier J. In: Working Papers. RePEc:bde:wpaper:1820.

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2019Fluctuations in Global Macro Volatility. (2019). Leiva-Leon, Danilo ; Ductor, Lorenzo. In: Working Papers. RePEc:bde:wpaper:1925.

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2017Real and financial cycles: estimates using unobserved component models for the Italian economy. (2017). Silvestrini, Andrea ; Delle Monache, Davide ; Burlon, Lorenzo ; Bulligan, Guido. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_382_17.

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2019Domestic and global determinants of inflation: evidence from expectile regression. (2019). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1225_19.

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2019Relative price dynamics in the Euro area: where do we stand?. (2019). Rodano, Lisa ; Cova, Pietro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1226_19.

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2019News and consumer card payments. (2019). Monteforte, Libero ; Marcucci, Juri ; Emiliozzi, Simone ; Ardizzi, Guerino. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1233_19.

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2018Measuring financial cycle time. (2018). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: BIS Working Papers. RePEc:bis:biswps:755.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2019What measures of real economic activity slack are helpful for forecasting Russian inflation?. (2019). Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps50.

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2018Quantifying Impacts of Macroeconomic and Non†economic Factors on Public Health Expenditure: A Structural Time Series Model. (2018). Dauda, Risikat ; Tajudeen, Ibrahim A. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:2:p:200-218.

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2020A Markov‐switching analysis of Nigerias business cycles: Are election cycles important?. (2020). Olakojo, Solomon. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:1:p:67-79.

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2018EUROPEAN CENTRAL BANK FOOTPRINTS ON INFLATION FORECAST UNCERTAINTY. (2018). Makarova, Svetlana . In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:637-652.

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2018Why Has Australian Wages Growth Been So Low? A Phillips Curve Perspective. (2018). Robinson, Tim ; Chua, Chew. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:s1:p:11-32.

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2018Statistical challenges of administrative and transaction data. (2018). Hand, David J. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:181:y:2018:i:3:p:555-605.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017Bilateral Tax Treaties and GDP Comovement. (2017). Weber, Caroline ; Sly, Nicholas. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:2:p:292-319.

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2020Measuring the Financial Cycle in South Africa. (2020). Farrell, Greg ; Kemp, Esti. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:123-144.

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2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

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2018Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts. (2018). Bisio, Laura ; Moauro, Filippo . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:4:p:471-494.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2019Measuring financial cycle time. (2019). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0776.

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2018Private information and lender discretion across time and institutions. (2018). HASAN, IFTEKHAR ; Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_017.

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2019Trend Growth Shocks and Asset Prices. (2019). Lee, Nam Gang. In: Working Papers. RePEc:bok:wpaper:1904.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market. (2018). Hardik, Marfatia. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:18:y:2018:i:1:p:18:n:5.

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2017Separating Yolk from White: A Filter based on Economic Properties of Trend and Cycle. (2017). Zhou, Peng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/1.

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2018Assessing Temporary Product-Specific Subsidies: A Time Series Intervention Analysis. (2018). Sussmuth, Bernd ; Leuwer, David. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6946.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708.

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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

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2019Current account modelling - long-term trends and cyclical factors. (2019). Bruha, Jan ; Kucharcukova, Oxana Babecka. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:geo2019/9.

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2018Reducing Bias in a Matching Estimation of Endogenous Treatment Effect. (2018). Otranto, Edoardo ; Campolo, Maria Gabriella ; di Pino, A. In: Working Paper CRENoS. RePEc:cns:cnscwp:201805.

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2020Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf.

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2018A Model of the Feds View on Inflation. (2018). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12564.

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2018Inflation Dynamics and Price Flexibility in the UK. (2018). Simonsen, Lasse ; Santoro, Emiliano ; Petrella, Ivan ; de la Porte, Lasse . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13027.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2018Seasonal quasi-vector autoregressive models for macroeconomic data. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:26316.

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2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:28451.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2019Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models. (2019). Yu, Jun ; JunYu, ; Li, Yong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:liyu.

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2019Continuously Updated Indirect Inference in Heteroskedastic Spatial Models. (2019). Phillips, Peter ; Kyriacou, Maria ; Rossi, Francesca ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2208.

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2018¿Por qué el Valle del Cauca ha crecido más que el promedio nacional? Un análisis regional de los ciclos y los choques económicos.. (2018). Vidal Alejandro, Pavel ; Sierra, Lya ; Ramirez, Gilberto. In: Working Papers. RePEc:ddt:wpaper:33.

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2018The natural rate of interest from a monetary and financial perspective. (2018). de Haan, Leo ; End, Jan Willem ; Hindrayanto, Irma ; van den End, Jan Willem ; van Els, Peter ; Bonam, Dennis. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1603.

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More than 100 citations found, this list is not complete...

Andrew C. Harvey has edited the books:


YearTitleTypeCited

Works by Andrew C. Harvey:


YearTitleTypeCited
1987Forecasting and Interpolation Using Vector Autoregressions with Common Trends In: Annals of Economics and Statistics.
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article9
2006Convergences of prices and rates of inflation In: Temi di discussione (Economic working papers).
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paper32
2006Convergence of Prices and Rates of Inflation*.(2006) In: Oxford Bulletin of Economics and Statistics.
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This paper has another version. Agregated cites: 32
article
2007Testing for trend In: Temi di discussione (Economic working papers).
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paper21
2008TESTING FOR TREND.(2008) In: Econometric Theory.
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This paper has another version. Agregated cites: 21
article
2014Time series models with an EGB2 conditional distribution In: Temi di discussione (Economic working papers).
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paper3
2014Time-series models with an EGB2 conditional distribution.(2014) In: Journal of Time Series Analysis.
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This paper has another version. Agregated cites: 3
article
2013Time series models with an EGB2 conditional distribution.(2013) In: Cambridge Working Papers in Economics.
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This paper has another version. Agregated cites: 3
paper
2014Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers).
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paper3
2013Two EGARCH models and one fat tail.(2013) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article137
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article184
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article38
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics.
[Citation analysis]
article42
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics.
[Citation analysis]
article26
2003Seasonality Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]
article18
2007A Note on Common Cycles, Common Trends, and Convergence In: Journal of Business & Economic Statistics.
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article17
1985Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article284
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article39
1989Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article36
1990Seemingly Unrelated Time Series Equations and a Test for Homogeneity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article7
1982Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations. In: Bulletin of Economic Research.
[Citation analysis]
article9
2000Estimating the underlying change in unemployment in the UK In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article48
1977Some Comments on Multicollinearity in Regression In: Journal of the Royal Statistical Society Series C.
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article0
1980An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]
article1
1982Finite Sample Prediction from Arima Processes In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]
article0
1990ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
1998Tests for Deterministic Versus Indeterministic Cycles In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2001Testing for the Presence of a Random Walk in Series with Structural Breaks In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article13
1998Testing for the presence of a random walk in series with structural breaks.(1998) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2003FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article12
1981FINITE SAMPLE PREDICTION AND OVERDIFFERENCING In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2010Tests of strict stationarity based on quantile indicators In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article5
2017Volatility Modeling with a Generalized t Distribution In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article7
2015Volatility Modeling with a Generalized t-distribution.(2015) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2018Modeling the Interactions between Volatility and Returns using EGARCH‐M In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
1988EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2001General Model-based Filters for Extracting Cycles and Trends in Economic Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper136
2003General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136
article
2002Models for Converging Economies In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper10
2002Growth, Cycles and Convergence in US Regional Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper23
2005Growth, cycles and convergence in US regional time series.(2005) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
2002Testing for Drift in a Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2003Multivariate Unit Root Tests and Testing for Convergence In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper17
2003Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper9
2004Cyclical components in economic time series: A Bayesian approach.(2004) In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2006Time-Varying Quantiles In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper5
2007Tests of time-invariance In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper2
2007Tests of time-invariance.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2007Quantiles, Expectiles and Splines In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper38
2007Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
2009Quantiles, expectiles and splines.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
article
2008Modeling the Phillips curve with unobserved components In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper30
2011Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
article
2008Dynamic distributions and changing copulas In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2008Beta-t-(E)GARCH In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2008When is a copula constant? A test for changing relationships In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper37
2011When is a Copula Constant? A Test for Changing Relationships.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37
article
2010Exponential Conditional Volatility Models In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper2
2010Exponential conditional volatility models.(2010) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper46
2014EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
article
2012The Dyanamic Location/Scale Model: with applications to intra-day financial data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper5
2012Filtering with heavy tails In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper56
2014Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
article
2014Testing against Changing Correlation In: Cambridge Working Papers in Economics.
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paper3
2016Testing against changing correlation.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2015Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper2
2017Co-integration and control: assessing the impact of events using time series data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper1
2019Dynamic Tobit models In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2019Score-Driven Models for Realized Volatility In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2019Modeling directional (circular) time series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
1999Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics.
[Citation analysis]
paper80
2000TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
article
1994Seasonality in Dynamic Regression Models In: CEP Discussion Papers.
[Citation analysis]
paper52
1994Seasonality in Dynamic Regression Models..(1994) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
1991Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1993Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1993Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper16
1995The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1996Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in Journal of Econometrics, 87 (1998), pp.167-189.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1996Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper2
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1998Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]
paper0
2002Trends, Cycles, and Convergence In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter1
2002Trends, Cycles and Convergence.(2002) In: Working Papers Central Bank of Chile.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1995Stochastic Volatility In: CIRANO Working Papers.
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paper334
1995Stochastic Volatility.(1995) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 334
paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 334
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 334
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 334
paper
2004Convergence and Cycles in the Euro Zone In: CEPR Discussion Papers.
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paper6
1990Forecasting, Structural Time Series Models and the Kalman Filter In: Cambridge Books.
[Citation analysis]
book260
1991Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 260
book
2013Dynamic Models for Volatility and Heavy Tails In: Cambridge Books.
[Citation analysis]
book65
2013Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 65
book
1985The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory.
[Full Text][Citation analysis]
article21
2006Inflation convergence and divergence within the European Monetary Union In: Working Paper Series.
[Full Text][Citation analysis]
paper124
2007Inflation Convergence and Divergence within the European Monetary Union.(2007) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 124
article
1997Trends, Cycles and Autoregressions. In: Economic Journal.
[Full Text][Citation analysis]
article77
1986Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal.
[Full Text][Citation analysis]
article41
2004Trend estimation, signal-noise ratios and the frequency of observations In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper4
1976Estimating Regression Models with Multiplicative Heteroscedasticity. In: Econometrica.
[Full Text][Citation analysis]
article225
1980Testing for Serial Correlation in Simultaneous Equation Models. In: Econometrica.
[Full Text][Citation analysis]
article5
2000Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages In: Econometric Society World Congress 2000 Contributed Papers.
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paper3
2003Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper56
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
article
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]
article45
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
1988Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article20
1993Estimation of simultaneous equation models with stochastic trend components In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article1
2009Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article7
2006Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter23
1984A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models In: Economics Letters.
[Full Text][Citation analysis]
article2
2000A Beveridge-Nelson smoother In: Economics Letters.
[Full Text][Citation analysis]
article12
2007Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article63
2005Trends and cycles in economic time series: A Bayesian approach.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
paper
1981Testing for heteroscedasticity in simultaneous equation models In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
1981Testing for serial correlation in simultaneous equation models : Some further results In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1974A comparison of the power of some tests for heteroskedasticity in the general linear model In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
1989Estimating integrated higher-order continuous time autoregressions with an application to money-income causality In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]
article182
1977Testing for functional misspecification in regression analysis In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
1998Testing for a slowly changing level with special reference to stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
2010Tracking a changing copula In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article8
1994Review of 4thought In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1
2012Kernel density estimation for time series data In: International Journal of Forecasting.
[Full Text][Citation analysis]
article7
1986The effects of seat belt legislation on British road casualities: A case study in structural modelling : A.C. Harvey and J. Durbing, Journal of the Royal Statistical Society, Series A 149 (1986) (in p In: International Journal of Forecasting.
[Full Text][Citation analysis]
article8
1990Structural time series models in inventory control In: International Journal of Forecasting.
[Full Text][Citation analysis]
article43
2004Bayes estimates of the cyclical component in twentieth centruy US gross domestic product In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper3
2002Cyclical components in economic time series In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper4
1976A Note on the Efficiency of Kelejians Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors. In: International Economic Review.
[Full Text][Citation analysis]
article0
1978Linear Regression in the Frequency Domain. In: International Economic Review.
[Full Text][Citation analysis]
article12
1980On Comparing Regression Models in Levels and First Differences. In: International Economic Review.
[Full Text][Citation analysis]
article8
1986Analysis and Generalisation of a Multivariate Exponential Smoothing Model In: Management Science.
[Full Text][Citation analysis]
article19
2015Trend, Seasonality and Seasonal Adjustment In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2001Testing against smooth stochastic trends In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article14
2005Convergence in the trends and cycles of Euro-zone income In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article18
1993Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article579
2001Testing in Unobserved Components Models. In: Journal of Forecasting.
[Citation analysis]
article23
2010The local quadratic trend model In: Journal of Forecasting.
[Full Text][Citation analysis]
article4
1990The Econometric Analysis of Time Series, 2nd Edition In: MIT Press Books.
[Citation analysis]
book216
1977Discrimination Between CES and VES Production Functions In: NBER Chapters.
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chapter0
2017Modeling time series with zero observations In: Economics Papers.
[Full Text][Citation analysis]
paper1
1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
[Full Text][Citation analysis]
article495
1985The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article1
2016Robust time series models with trend and seasonal components In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
article4

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