31
H index
52
i10 index
4527
Citations
Andrew C. Harvey : Citation Profile
University of Cambridge | RESEARCH PRODUCTION: 69 Articles 58 Papers 5 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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43 years (1974 - 2017). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew C. Harvey. | Is cited by:
| Cites to:
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Main data
Where Andrew C. Harvey has published?
Recent works citing Andrew C. Harvey (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38. Full description at Econpapers || Download paper | |
| 2019 | Memory 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. Full description at Econpapers || Download paper | |
| 2017 | A Monetary Stress Indicator for the Economic Community of West African States. (2017). Tillmann, Peter ; PeterTillmann, ; Diop, Samba. In: Journal of African Development. RePEc:afe:journl:v:19:y:2017:i:2:p:1-18. Full description at Econpapers || Download paper | |
| 2017 | Inflation 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. Full description at Econpapers || Download paper | |
| 2018 | Examining 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. Full description at Econpapers || Download paper | |
| 2017 | MODELLING 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1507.01729. Full description at Econpapers || Download paper | |
| 2017 | Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154. Full description at Econpapers || Download paper | |
| 2017 | How 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. Full description at Econpapers || Download paper | |
| 2018 | Variational 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. Full description at Econpapers || Download paper | |
| 2018 | Synthetic Control Methods and Big Data. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1803.00096. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045. Full description at Econpapers || Download paper | |
| 2019 | Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337. Full description at Econpapers || Download paper | |
| 2019 | Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419. Full description at Econpapers || Download paper | |
| 2019 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper | |
| 2019 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2019 | Efficient 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. Full description at Econpapers || Download paper | |
| 2019 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
| 2018 | Volatility - 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. Full description at Econpapers || Download paper | |
| 2018 | Measuring Retail Trade Using Card Transactional Data. (2018). GarcÃa 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. Full description at Econpapers || Download paper | |
| 2018 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14. Full description at Econpapers || Download paper | |
| 2019 | Measuring real and financial cycles in Luxembourg: An unobserved components approach. (2019). Moura, Alban ; Guarda, Paolo. In: BCL working papers. RePEc:bcl:bclwop:bclwp126. Full description at Econpapers || Download paper | |
| 2017 | A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana. In: Working Papers. RePEc:bde:wpaper:1720. Full description at Econpapers || Download paper | |
| 2018 | Fiscal 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. Full description at Econpapers || Download paper | |
| 2019 | Fluctuations in Global Macro Volatility. (2019). Leiva-Leon, Danilo ; Ductor, Lorenzo. In: Working Papers. RePEc:bde:wpaper:1925. Full description at Econpapers || Download paper | |
| 2017 | Real 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. Full description at Econpapers || Download paper | |
| 2017 | A goodness-of-fit test for Generalized Error Distribution. (2017). Coin, Daniele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1096_17. Full description at Econpapers || Download paper | |
| 2017 | Using 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. Full description at Econpapers || Download paper | |
| 2017 | Low 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. Full description at Econpapers || Download paper | |
| 2017 | Transmisión 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. Full description at Econpapers || Download paper | |
| 2017 | Monetary 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. Full description at Econpapers || Download paper | |
| 2017 | Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619. Full description at Econpapers || Download paper | |
| 2018 | Measuring financial cycle time. (2018). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: BIS Working Papers. RePEc:bis:biswps:755. Full description at Econpapers || Download paper | |
| 2019 | Risk 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. Full description at Econpapers || Download paper | |
| 2018 | Quantifying 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. Full description at Econpapers || Download paper | |
| 2017 | Multi-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. Full description at Econpapers || Download paper | |
| 2017 | I AM IMMORTAL. (2017). Trezzi, Riccardo. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:1161-1166. Full description at Econpapers || Download paper | |
| 2017 | ON 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. Full description at Econpapers || Download paper | |
| 2018 | EUROPEAN 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. Full description at Econpapers || Download paper | |
| 2018 | Why 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Seasonal 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. Full description at Econpapers || Download paper | |
| 2018 | Statistical 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. Full description at Econpapers || Download paper | |
| 2017 | Volatility 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. Full description at Econpapers || Download paper | |
| 2017 | Time-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. Full description at Econpapers || Download paper | |
| 2018 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | Bilateral 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. Full description at Econpapers || Download paper | |
| 2019 | Has 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. Full description at Econpapers || Download paper | |
| 2018 | Temporal 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. Full description at Econpapers || Download paper | |
| 2017 | ROMANIA 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. Full description at Econpapers || Download paper | |
| 2018 | Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064. Full description at Econpapers || Download paper | |
| 2018 | Private information and lender discretion across time and institutions. (2018). Ambrocio, Gene ; Hasan, Iftekhar. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_017. Full description at Econpapers || Download paper | |
| 2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
| 2017 | Stock 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. Full description at Econpapers || Download paper | |
| 2018 | Estimating 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. Full description at Econpapers || Download paper | |
| 2017 | Detecting 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. Full description at Econpapers || Download paper | |
| 2019 | Score-Driven Models for Realized Volatility. (2019). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950. Full description at Econpapers || Download paper | |
| 2019 | Modeling directional (circular) time series. (2019). Thiele, S ; Hurn, S ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971. Full description at Econpapers || Download paper | |
| 2017 | Separating 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. Full description at Econpapers || Download paper | |
| 2018 | Assessing Temporary Product-Specific Subsidies: A Time Series Intervention Analysis. (2018). Leuwer, David ; Sussmuth, Bernd. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6946. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Geopolitical 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. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Reducing 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. Full description at Econpapers || Download paper | |
| 2017 | Monetary 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. Full description at Econpapers || Download paper | |
| 2018 | A Model of the Feds View on Inflation. (2018). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12564. Full description at Econpapers || Download paper | |
| 2018 | Inflation 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. Full description at Econpapers || Download paper | |
| 2017 | Bayesian 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. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2017 | Score-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. Full description at Econpapers || Download paper | |
| 2018 | Seasonal 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. Full description at Econpapers || Download paper | |
| 2018 | Seasonality 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. Full description at Econpapers || Download paper | |
| 2018 | Seasonal 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. Full description at Econpapers || Download paper | |
| 2019 | Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133. Full description at Econpapers || Download paper | |
| 2019 | Co-integration and common trends analysis with score-driven models : an application to US macroeconomic data. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:28451. Full description at Econpapers || Download paper | |
| 2019 | Maximum 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. Full description at Econpapers || Download paper | |
| 2019 | Data 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. Full description at Econpapers || Download paper | |
| 2017 | Boundary Limit Theory for Functional Local to Unity Regression. (2017). Bykhovskaya, Anna ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3008. Full description at Econpapers || Download paper | |
| 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | Equity 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. Full description at Econpapers || Download paper | |
| 2017 | Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Improved 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Andrew C. Harvey has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Andrew C. Harvey:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1987 | Forecasting and Interpolation Using Vector Autoregressions with Common Trends In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 9 |
| 2006 | Convergences of prices and rates of inflation In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 33 |
| 2006 | Convergence 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: 33 | article | |
| 2007 | Testing for trend In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 21 |
| 2008 | TESTING FOR TREND.(2008) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2014 | Time series models with an EGB2 conditional distribution In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 4 |
| 2014 | Time-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: 4 | article | |
| 2013 | Time 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: 4 | paper | |
| 2014 | Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2013 | Two 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 | |
| 1992 | Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 132 |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
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| 1983 | Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 41 |
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| 2003 | General 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: 131 | article | |
| 2002 | Models for Converging Economies In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 10 |
| 2002 | Growth, Cycles and Convergence in US Regional Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 22 |
| 2005 | Growth, 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 | |
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| 2003 | Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
| 2004 | Cyclical 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 | |
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| 2007 | Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
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| 2011 | Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
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| 2011 | When 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: 35 | article | |
| 2010 | Exponential Conditional Volatility Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
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| 2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 41 |
| 2014 | EGARCH 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 | |
| 2012 | The Dyanamic Location/Scale Model: with applications to intra-day financial data In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Filtering with heavy tails In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 52 |
| 2014 | Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
| 2014 | Testing against Changing Correlation In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Testing against changing correlation.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2015 | Volatility Modeling with a Generalized t-distribution In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 77 |
| 2000 | TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | article | |
| 1994 | Seasonality in Dynamic Regression Models In: CEP Discussion Papers. [Citation analysis] | paper | 51 |
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| 1991 | Detrending, 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] | paper | 0 |
| 1993 | Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
| 1993 | Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 15 |
| 1995 | The 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] | paper | 0 |
| 1996 | Testing 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] | paper | 0 |
| 1996 | Multivariate 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] | paper | 3 |
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| 1998 | Testing 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] | paper | 0 |
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| 1995 | Stochastic Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 327 |
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| 1990 | Forecasting, Structural Time Series Models and the Kalman Filter In: Cambridge Books. [Citation analysis] | book | 234 |
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| 2013 | Dynamic Models for Volatility and Heavy Tails In: Cambridge Books. [Citation analysis] | book | 53 |
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| 2000 | Measurement 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] | paper | 3 |
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| 2000 | Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 52 |
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| 1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 1988 | Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 19 |
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| 2009 | Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
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| 1981 | Testing for heteroscedasticity in simultaneous equation models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
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| 1977 | Testing for functional misspecification in regression analysis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1998 | Testing for a slowly changing level with special reference to stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2010 | Tracking a changing copula In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 1994 | Review of 4thought In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
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| 1986 | The 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] | article | 8 |
| 1990 | Structural time series models in inventory control In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 41 |
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