Andrew C. Harvey : Citation Profile

Are you Andrew C. Harvey?

University of Cambridge

31

H index

52

i10 index

4392

Citations

RESEARCH PRODUCTION:

69

Articles

58

Papers

5

Books

3

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   43 years (1974 - 2017). See details.
   Cites by year: 102
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 289.    Total self citations: 47 (1.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha279
   Updated: 2019-02-13    RAS profile: 2017-06-18    
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Relations with other researchers

Works with:

Caivano, Michele (6)

Lange, Rutger-Jan (2)

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 (104)

Shephard, Neil (78)

Ruiz, Esther (67)

McAleer, Michael (52)

Asai, Manabu (50)

Lucas, Andre (46)

Hunt, Lester (41)

Diebold, Francis (35)

Busetti, Fabio (28)

Pesaran, M (28)

Cites to:

Koopman, Siem Jan (53)

Creal, Drew (29)

Lucas, Andre (23)

Shephard, Neil (21)

Engle, Robert (20)

Phillips, Peter (14)

Schmidt, Peter (14)

Bollerslev, Tim (13)

shin, yongcheol (13)

Busetti, Fabio (12)

Trimbur, Thomas (10)

Main data

Where Andrew C. Harvey has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics12
Journal of Econometrics9
International Journal of Forecasting5
Journal of Economic Dynamics and Control4
Journal of Time Series Analysis3
International Economic Review3
Econometric Theory3
Economic Journal3
Journal of Applied Econometrics3
Journal of Empirical Finance2
Econometrica2
Journal of Forecasting2
The Review of Economics and Statistics2
Economics Letters2

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 (2018 and 2017)

YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. 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). Borghi, Riccardo ; Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2017A Monetary Stress Indicator for the Economic Community of West African States. (2017). Winker, Peter ; 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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2017Inflation convergence among the next eleven economies: Evidence from asymmetric nonlinear unit root test. (2017). Hepsag, Aycan. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:43-52.

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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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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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2017How well do experience curves predict technological progress? A method for making distributional forecasts. (2017). Lafond, François ; Farmer, J. ; Bakker, Jan David ; Rebois, Dylan ; Zadourian, Rubina ; Bailey, Aimee Gotway ; McSharry, Patrick . In: Papers. RePEc:arx:papers:1703.05979.

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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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2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2018Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2018Multivariate Fractional Components Analysis. (2018). 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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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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2018Measuring Retail Trade Using Card Transactional Data. (2018). García López, Juan ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Pacce, Matias ; 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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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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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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2017A goodness-of-fit test for Generalized Error Distribution. (2017). Coin, Daniele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1096_17.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2017Low frequency drivers of the real interest rate: a band spectrum regression approach. (2017). Busetti, Fabio ; Caivano, Michele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1132_17.

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2017Transmisión monetaria bajo regímenes alternativos de finanzas corporativas. (2017). DeGrauwe, Paul ; Gerba, Eddie ; de Grauwe, Paul. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:82:p:46-55.

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2017Monetary transmission under competing corporate finance regimes. (2017). DeGrauwe, Paul ; Gerba, Eddie ; de Grauwe, Paul. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:82:p:78-100.

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2017Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619.

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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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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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2017Multi-parameter regression survival modeling: An alternative to proportional hazards. (2017). Burke, K ; MacKenzie, G. In: Biometrics. RePEc:bla:biomet:v:73:y:2017:i:2:p:678-686.

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2017I AM IMMORTAL. (2017). Trezzi, Riccardo. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:1161-1166.

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2017ON FRUITFUL AND FUTILE TESTS OF THE RELATIONSHIP BETWEEN SEARCH AND PRICE DISPERSION. (2017). Weiss, Avi ; Sherman, Joshua. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1898-1918.

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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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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017Seasonal changes in central England temperatures. (2017). Proietti, Tommaso ; Hillebrand, Eric. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:3:p:769-791.

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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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2017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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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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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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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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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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2017ROMANIA AND THE EURO. AN OVERVIEW OF MAASTRICHT CONVERGENCE CRITERIA FULFILLMENT. (2017). Gheorghe, Ialomitianu Razvan ; Florin, Boldeanu Teodor . In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:1:p:74-87.

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

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

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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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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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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). Leuwer, David ; Sussmuth, Bernd. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6946.

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2017The Nature of Shocks in the Eurozone and Their Absorption Channels. (2017). Neumeier, Florian ; Fuest, Clemens ; Dolls, Mathias ; Krolage, Carla ; Alcidi, Cinzia. In: EconPol Policy Reports. RePEc:ces:econpr:_3.

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2017Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis.. (2017). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:805.

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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). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

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2017A DSGE Model with Financial Dollarization - the Case of Serbia. (2017). Vlcek, Jan ; Trajcev, Ljubica ; Polansky, Jiri ; Hledik, Tibor ; Djukic, Mirko . In: Working Papers. RePEc:cnb:wpaper:2017/02.

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

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2017Monetary transmission under competing corporate finance regimes. (2017). Gerba, Eddie ; de Grauwe, Paul ; DeGrauwe, Paul. In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:015471.

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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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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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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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2017Score-driven non-linear multivariate dynamic location models. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:25739.

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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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2017Boundary Limit Theory for Functional Local to Unity Regression. (2017). Bykhovskaya, Anna ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3008.

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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 Paola ; 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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2017Modeling the business and financial cycle in a multivariate structural time series model. (2017). Koopman, Siem Jan ; de Winter, Jasper ; Chouhan, Anjali ; Hindrayanto, Irma. In: DNB Working Papers. RePEc:dnb:dnbwpp:573.

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2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

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2017Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140.

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2017The Welfare Cost of Business Cycles for Heterogeneous Consumers: A State-Space Decomposition. (2017). Barros, Fernando ; Silva, Diego M ; Lima, Francisco L. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00282.

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2017Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319.

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2018Does Gibrats law hold among urban social economy enterprises? A research note on Montreal social economy.. (2018). Rousselière, Damien ; Bouchard, Marie J. ; Rousselire, Damien. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00591.

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2018Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter. (2018). Jnsson, Kristian . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00650.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2017The implications of global and domestic credit cycles for emerging market economies: measures of finance-adjusted output gaps. (2017). Manu, Ana-Simona ; Lodge, David ; Grintzalis, Ioannis . In: Working Paper Series. RePEc:ecb:ecbwps:20172034.

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2018Detrending and financial cycle facts across G7 countries: mind a spurious medium term!. (2018). Schüler, Yves ; Schuler, Yves S. In: Working Paper Series. RePEc:ecb:ecbwps:20182138.

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2018Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models. (2018). Barrientos Marin, Jorge ; Orozco, Elkin Tabares ; Velilla, Esteban. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-15.

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2018Venture capital and career concerns. (2018). Crain, Nicholas G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:168-185.

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2017A continuous threshold expectile model. (2017). Zhang, Feipeng ; Li, Qunhua. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:116:y:2017:i:c:p:49-66.

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2018Multivariate factorizable expectile regression with application to fMRI data. (2018). Härdle, Wolfgang ; Huang, Chen ; Hardle, Wolfgang K ; Chao, Shih-Kang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:1-19.

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2017Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter. (2017). Grant, Angelia ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:114-121.

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2017Continuous time ARMA processes: Discrete time representation and likelihood evaluation. (2017). Chambers, Marcus ; Thornton, Michael A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:48-65.

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2018The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle. (2018). DeGrauwe, Paul ; Gerba, Eddie ; de Grauwe, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:206-236.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017An empirical analysis of the nexus between investment, fiscal balances and current account balances in Greece, Portugal and Spain. (2017). Litsios, Ioannis ; Pilbeam, Keith. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:143-152.

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2017Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model. (2017). Mongeau Ospina, Christian Alexander ; Granville, Brigitte ; Bagnai, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:524-538.

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2018Coupled Climate-Economic Modes in the Sahels Interannual Variability. (2018). Fare, Vivien Sainte ; Ghil, Michael ; Groth, Andreas. In: Ecological Economics. RePEc:eee:ecolec:v:153:y:2018:i:c:p:111-123.

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2017An extension of stochastic volatility model with mixed frequency information. (2017). Shang, Yuhuang ; Liu, Lulu. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:144-148.

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2017An analytical approach to new Keynesian models under the fiscal theory. (2017). Tan, Fei. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:133-137.

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2017Revisiting inflation in the euro area allowing for long memory. (2017). Iacone, Fabrizio ; Hualde, Javier. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:145-150.

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2018Econometrics with system priors. (2018). Plašil, Miroslav ; Plail, Miroslav ; Andrle, Michal. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:134-137.

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2019Is the Phillips curve still alive? Evidence from the euro area. (2019). Hindrayanto, Irma ; Stanga, Irina M ; Samarina, Anna. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:149-152.

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2017Resurrecting weighted least squares. (2017). Wolf, Michael ; Romano, Joseph P. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:1-19.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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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.
[Full Text][Citation analysis]		article9
2006Convergences of prices and rates of inflation In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper32
2006Convergence of Prices and Rates of Inflation.(2006) In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		article
2007Testing for trend In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper21
2008TESTING FOR TREND.(2008) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2014Time series models with an EGB2 conditional distribution In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2014Time-series models with an EGB2 conditional distribution.(2014) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2013Time series models with an EGB2 conditional distribution.(2013) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2014Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		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]		article126
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]		article173
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article33
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics.
[Citation analysis]		article41
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics.
[Citation analysis]		article25
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.
[Full Text][Citation analysis]		article13
1985Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article265
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article36
1989Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article33
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
2003FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article13
2010Tests of strict stationarity based on quantile indicators In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2001General Model-based Filters for Extracting Cycles and Trends in Economic Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper128
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: 128		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]		paper22
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: 22		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]		paper34
2007Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2009Quantiles, expectiles and splines.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2008Modeling the Phillips curve with unobserved components In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper25
2011Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		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]		paper33
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: 33		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]		paper41
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: 41		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]		paper46
2014Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		article
2014Testing against Changing Correlation In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2016Testing against changing correlation.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2015Volatility Modeling with a Generalized t-distribution In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2015Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper2
1999Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics.
[Citation analysis]		paper74
2000TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
1994Seasonality in Dynamic Regression Models In: CEP Discussion Papers.
[Citation analysis]		paper49
1994Seasonality in Dynamic Regression Models..(1994) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		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]		paper15
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]		paper3
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.
[Full Text][Citation analysis]		chapter0
2002Trends, Cycles and Convergence.(2002) In: Working Papers Central Bank of Chile.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1995Stochastic Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper327
1995Stochastic Volatility.(1995) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 327		paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 327		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 327		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 327		paper
2004Convergence and Cycles in the Euro Zone In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
1990Forecasting, Structural Time Series Models and the Kalman Filter In: Cambridge Books.
[Citation analysis]		book220
1991Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 220		book
2013Dynamic Models for Volatility and Heavy Tails In: Cambridge Books.
[Citation analysis]		book44
2013Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 44		book
1985The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory.
[Full Text][Citation analysis]		article19
2006Inflation convergence and divergence within the European Monetary Union In: Working Paper Series.
[Full Text][Citation analysis]		paper113
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: 113		article
1997Trends, Cycles and Autoregressions. In: Economic Journal.
[Full Text][Citation analysis]		article72
1986Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal.
[Full Text][Citation analysis]		article40
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]		article202
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.
[Full Text][Citation analysis]		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]		paper47
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: 47		article
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]		article40
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
1988Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article19
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]		article6
2006Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter22
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]		article60
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: 60		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]		article1
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]		article171
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]		article7
2010Tracking a changing copula In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
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]		article3
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]		article40
1998Testing for the presence of a random walk in series with structural breaks In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper10
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]		article11
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]		article17
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]		article12
2005Convergence in the trends and cycles of Euro-zone income In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article17
1993Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article547
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]		article3
1990The Econometric Analysis of Time Series, 2nd Edition In: MIT Press Books.
[Citation analysis]		book199
1977Discrimination Between CES and VES Production Functions In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2017Modeling time series with zero observations In: Economics Papers.
[Full Text][Citation analysis]		paper0
1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
[Full Text][Citation analysis]		article473
1985The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2016Robust time series models with trend and seasonal components In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team