Andrew C. Harvey : Citation Profile


Are you Andrew C. Harvey?

University of Cambridge

31

H index

55

i10 index

4881

Citations

RESEARCH PRODUCTION:

80

Articles

63

Papers

5

Books

3

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   46 years (1974 - 2020). See details.
   Cites by year: 106
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 278.    Total self citations: 54 (1.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha279
   Updated: 2020-11-21    RAS profile: 2020-08-13    
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Relations with other researchers


Works with:

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 (72)

McAleer, Michael (52)

Lucas, Andre (52)

Asai, Manabu (50)

Blazsek, Szabolcs (41)

Hunt, Lester (41)

Escribano, Alvaro (38)

Diebold, Francis (37)

Cites to:

Koopman, Siem Jan (65)

Creal, Drew (38)

Lucas, Andre (31)

Engle, Robert (31)

Shephard, Neil (26)

Bollerslev, Tim (19)

Phillips, Peter (18)

Schmidt, Peter (17)

shin, yongcheol (15)

Busetti, Fabio (13)

McDonald, James (13)

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 Econometrics10
International Journal of Forecasting5
Journal of Economic Dynamics and Control4
Econometric Theory3
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series C3
Economic Journal3
International Economic Review3
The Review of Economics and Statistics2
Econometrica2
Economics Letters2
Journal of Empirical Finance2
Journal of Forecasting2

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 (2020 and 2019)


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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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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2020The Vanishing U.S. Cattle Cycle: A Stochastic Cycle Approach. (2020). Shonkwiler, Scott J ; Li, Yunhan. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:305225.

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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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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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2020Efficient 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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2020Forecast 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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2020Quasi 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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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2020Generalized Autoregressive Score asymmetric Laplace Distribution and Extreme Downward Risk Prediction. (2020). Hong, Shao-Peng. In: Papers. RePEc:arx:papers:2008.01277.

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2020A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2020lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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

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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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2020Entendiendo, Modelando y Pronosticando el Efecto de “El Niño” Sobre los Precios de los Alimentos: El Caso Colombiano. (2020). Julio, Juan ; Cardenas-Cardenas, Julian Alonso ; Caicedo-Garcia, Edgar ; Julio-Roman, Juan Manuel ; Bejarano-Salcedo, Valeria. In: Borradores de Economia. RePEc:bdr:borrec:1102.

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

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2020Microfinance and Moneylenders: Long-run Effects of MFIs on Informal Credit Market in Bangladesh. (2020). Emran, M. Shahe ; Forhad, Shilpi ; Claudia, Berg. In: The B.E. Journal of Economic Analysis & Policy. RePEc:bpj:bejeap:v:20:y:2020:i:3:p:35:n:5.

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2020Checking Model Adequacy for Count Time Series by Using Pearson Residuals. (2020). Martin, Feld ; Boris, Aleksandrov ; Lukas, Scherer ; Christian, Weiss. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:1.

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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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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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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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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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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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2019Labor share and growth in the long run. (2019). McAdam, Peter ; Charpe, Matthieu ; Bridji, Slim . In: Working Paper Series. RePEc:ecb:ecbwps:20192251.

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2020The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India. (2020). Sarea, Adel M ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-49.

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2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

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2019Deep learning framework to forecast electricity demand. (2019). Toshniwal, Durga ; Bedi, Jatin. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1312-1326.

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2020Herding and anchoring in cryptocurrency markets: Investor reaction to fear and uncertainty. (2020). Oloughlin, Daniel ; Gurdgiev, Constantin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019301534.

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2019Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons. (2019). Peng, Hongfeng ; Shi, Jing ; Liao, Yin ; Bu, DI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188918302483.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2020The volatility impact of social expenditure’s cyclicality in advanced economies. (2020). Jalles, Joao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:66:y:2020:i:c:p:26-40.

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2019Adding cycles into the neoclassical growth model. (2019). Livieri, G ; Paradiso, A ; Donadelli, M. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:162-171.

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2019Price convergence in the European Union – What has changed?. (2019). Hałka, Aleksandra ; Leszczyska-Paczesna, Agnieszka ; Haka, Aleksandra. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:226-241.

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2019Steady state adjusting trends using a data-driven local polynomial regression. (2019). Fritz, Marlon. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:312-325.

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2019The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market. (2019). Zeng, Hongchao ; Wu, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:96-110.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2020Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. (2020). Shahbaz, Muhammad ; Khraief, Naceur ; Heshmati, Almas ; Azam, Muhammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301050.

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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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2019Building sectoral job search indices for the United States. (2019). Pan, Wei-Fong. In: Economics Letters. RePEc:eee:ecolet:v:180:y:2019:i:c:p:89-93.

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2019The cyclical structure of the UK inflation rate: 1210–2016. (2019). Gil-Alana, Luis ; Trani, Tommaso. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:182-185.

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2019Efficient matrix approach for classical inference in state space models. (2019). Petrella, Ivan ; Delle Monache, Davide. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:22-27.

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2020Nearly unbiased estimation of sample skewness. (2020). Li, Yifan. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301324.

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2019Development of a dynamic growth model for sweet chestnut coppice: A case study in Northwest Spain. (2019). Majada, Juan ; Gonzalez-Garcia, Marta ; Prada, Marta ; Martinez-Alonso, Celia. In: Ecological Modelling. RePEc:eee:ecomod:v:409:y:2019:i:c:2.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2019Accelerating score-driven time series models. (2019). Koopman, S J ; Gorgi, P ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:359-376.

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2019Quantiles via moments. (2019). Santos Silva, João ; Santos Silva, J. M. C., ; Jose , . In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:145-173.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2019Closed-form results for vector moving average models with a univariate estimation approach. (2019). Sbrana, Giacomo ; Poloni, Federico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:27-52.

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2020Microeconometric dynamic panel data methods: Model specification and selection issues. (2020). Kiviet, Jan F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:16-45.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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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]
paper3
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: 3
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: 3
paper
2014Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper5
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: 5
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article143
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]
article187
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]
article43
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.
[Full Text][Citation analysis]
article17
1985Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article293
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article42
1989Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article39
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]
article49
1977Some Comments on Multicollinearity in Regression In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]
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]
article14
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: 14
paper
2003FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article13
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]
article12
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: 12
paper
2018Modeling the Interactions between Volatility and Returns using EGARCH‐M In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
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]
paper137
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: 137
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]
paper24
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: 24
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]
paper39
2007Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2009Quantiles, expectiles and splines.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
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]
paper38
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: 38
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]
paper48
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: 48
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]
paper57
2014Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
article
2014Testing against Changing Correlation In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper2
2016Testing against changing correlation.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
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]
paper3
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]
paper82
2000TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82
article
1994Seasonality in Dynamic Regression Models In: CEP Discussion Papers.
[Citation analysis]
paper54
1994Seasonality in Dynamic Regression Models..(1994) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper335
1995Stochastic Volatility.(1995) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 335
paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 335
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 335
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 335
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]
book276
1991Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 276
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]
article22
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]
article80
1986Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal.
[Full Text][Citation analysis]
article42
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]
article236
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]
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]
article46
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
1988Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article21
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]
chapter24
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]
article66
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: 66
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
2020Modeling time series when some observations are zero 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]
article8
1989Estimating integrated higher-order continuous time autoregressions with an application to money-income causality In: Journal of Econometrics.
[Full Text][Citation analysis]
article10
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]
article184
1977Testing for functional misspecification in regression analysis In: Journal of Econometrics.
[Full Text][Citation analysis]
article15
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]
article11
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]
article47
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]
article20
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]
article591
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]
book226
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]
paper1
1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
[Full Text][Citation analysis]
article504
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]
article6

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