31
H index
52
i10 index
4745
Citations
Andrew C. Harvey : Citation Profile
University of Cambridge | RESEARCH PRODUCTION: 79 Articles 62 Papers 5 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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45 years (1974 - 2019). 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:
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Main data
Where Andrew C. Harvey has published?
Recent works citing Andrew C. Harvey (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2019 | OPEC 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. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. 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 | |
| 2020 | Interest 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. Full description at Econpapers || Download paper | |
| 2020 | The 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. 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 | |
| 2019 | Measuring 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. 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 | |
| 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 | |
| 2019 | Predicting 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. 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 | |
| 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. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . 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. (2019). 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. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337. Full description at Econpapers || Download paper | |
| 2020 | Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2019). 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 | Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1901.11491. 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 | |
| 2019 | Machine 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. Full description at Econpapers || Download paper | |
| 2019 | Quasi 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. Full description at Econpapers || Download paper | |
| 2019 | Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models. (2019). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.09841. Full description at Econpapers || Download paper | |
| 2020 | Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116. Full description at Econpapers || Download paper | |
| 2020 | Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging. (2020). Mazur, Bla Zej ; Makiela, Kamil. In: Papers. RePEc:arx:papers:2003.07150. Full description at Econpapers || Download paper | |
| 2020 | Determinants 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. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2020 | Quantifying 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. Full description at Econpapers || Download paper | |
| 2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
| 2020 | Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535. Full description at Econpapers || Download paper | |
| 2020 | Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266. Full description at Econpapers || Download paper | |
| 2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
| 2020 | A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110. Full description at Econpapers || Download paper | |
| 2020 | Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183. Full description at Econpapers || Download paper | |
| 2020 | Estimation 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. Full description at Econpapers || Download paper | |
| 2020 | The 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. 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 | |
| 2019 | Multivariate 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. Full description at Econpapers || Download paper | |
| 2018 | Measuring Retail Trade Using Card Transactional Data. (2018). Pacce, MatÃas ; GarcÃa López, Juan ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Murillo, Juan ; Garcia, Juan Ramon ; Bodas, Diego. In: Working Papers. RePEc:bbv:wpaper:1803. 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 | |
| 2018 | Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches. (2018). Lee-Poy, Andrew. In: Staff Analytical Notes. RePEc:bca:bocsan:18-34. 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 | |
| 2019 | Domestic 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. Full description at Econpapers || Download paper | |
| 2019 | Relative 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. Full description at Econpapers || Download paper | |
| 2019 | News 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. 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 | |
| 2019 | What 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. 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 | |
| 2020 | A 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. 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 | |
| 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 | 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 | |
| 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 | |
| 2020 | Measuring 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. 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 | |
| 2018 | Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064. Full description at Econpapers || Download paper | |
| 2019 | Measuring financial cycle time. (2019). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0776. Full description at Econpapers || Download paper | |
| 2018 | Private information and lender discretion across time and institutions. (2018). HASAN, IFTEKHAR ; Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_017. Full description at Econpapers || Download paper | |
| 2019 | Trend Growth Shocks and Asset Prices. (2019). Lee, Nam Gang. In: Working Papers. RePEc:bok:wpaper:1904. 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 | 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). Sussmuth, Bernd ; Leuwer, David. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6946. Full description at Econpapers || Download paper | |
| 2019 | Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468. 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). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers || Download paper | |
| 2019 | Current 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. Full description at Econpapers || Download paper | |
| 2018 | Reducing Bias in a Matching Estimation of Endogenous Treatment Effect. (2018). Otranto, Edoardo ; Campolo, Maria Gabriella ; di Pino, A. In: Working Paper CRENoS. RePEc:cns:cnscwp:201805. Full description at Econpapers || Download paper | |
| 2020 | Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf. 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 | 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 | |
| 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). Escribano, Alvaro ; 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 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. 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 | Markov-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. 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 | |
| 2019 | Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291. Full description at Econpapers || Download paper | |
| 2019 | An 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. Full description at Econpapers || Download paper | |
| 2019 | Continuously Updated Indirect Inference in Heteroskedastic Spatial Models. (2019). Phillips, Peter ; Kyriacou, Maria ; Rossi, Francesca ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2208. 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 ; 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 | |
| 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 | 32 |
| 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: 32 | 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 | 3 |
| 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: 3 | 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: 3 | 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 | 137 |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 1996 | Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 184 |
| 1997 | The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 38 |
| 1983 | Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 42 |
| 1983 | Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 26 |
| 2003 | Seasonality Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 18 |
| 2007 | A Note on Common Cycles, Common Trends, and Convergence In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 17 |
| 1985 | Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 284 |
| 1989 | Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 39 |
| 1989 | Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 36 |
| 1990 | Seemingly Unrelated Time Series Equations and a Test for Homogeneity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 7 |
| 1982 | Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations. In: Bulletin of Economic Research. [Citation analysis] | article | 9 |
| 2000 | Estimating the underlying change in unemployment in the UK In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 48 |
| 1977 | Some Comments on Multicollinearity in Regression In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
| 1980 | An 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] | article | 1 |
| 1982 | Finite Sample Prediction from Arima Processes In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
| 1990 | ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 1998 | Tests for Deterministic Versus Indeterministic Cycles In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2001 | Testing for the Presence of a Random Walk in Series with Structural Breaks In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
| 1998 | Testing for the presence of a random walk in series with structural breaks.(1998) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2003 | FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 1981 | FINITE SAMPLE PREDICTION AND OVERDIFFERENCING In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2010 | Tests of strict stationarity based on quantile indicators In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 2017 | Volatility Modeling with a Generalized t Distribution In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
| 2015 | Volatility Modeling with a Generalized t-distribution.(2015) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 1988 | EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2001 | General Model-based Filters for Extracting Cycles and Trends in Economic Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 136 |
| 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: 136 | 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 | 23 |
| 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: 23 | article | |
| 2002 | Testing for Drift in a Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Multivariate Unit Root Tests and Testing for Convergence In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 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 | |
| 2006 | Time-Varying Quantiles In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 5 |
| 2007 | Tests of time-invariance In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Tests of time-invariance.(2007) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2007 | Quantiles, Expectiles and Splines In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 38 |
| 2007 | Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
| 2009 | Quantiles, expectiles and splines.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
| 2008 | Modeling the Phillips curve with unobserved components In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 30 |
| 2011 | Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2008 | Dynamic distributions and changing copulas In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Beta-t-(E)GARCH In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | When is a copula constant? A test for changing relationships In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 37 |
| 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: 37 | article | |
| 2010 | Exponential Conditional Volatility Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Exponential 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 | |
| 2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 46 |
| 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: 46 | 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 | 56 |
| 2014 | Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | 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 | Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Co-integration and control: assessing the impact of events using time series data In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Dynamic Tobit models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Score-Driven Models for Realized Volatility In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Modeling directional (circular) time series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 80 |
| 2000 | TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
| 1994 | Seasonality in Dynamic Regression Models In: CEP Discussion Papers. [Citation analysis] | paper | 52 |
| 1994 | Seasonality in Dynamic Regression Models..(1994) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
| 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 | 16 |
| 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 | 2 |
| 1997 | Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
| 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 |
| 2002 | Trends, Cycles, and Convergence In: Central Banking, Analysis, and Economic Policies Book Series. [Full Text][Citation analysis] | chapter | 1 |
| 2002 | Trends, Cycles and Convergence.(2002) In: Working Papers Central Bank of Chile. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1995 | Stochastic Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 334 |
| 1995 | Stochastic Volatility.(1995) In: CORE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 334 | paper | |
| 1995 | Stochastic Volatility..(1995) In: Toulouse - GREMAQ. [Citation analysis] This paper has another version. Agregated cites: 334 | paper | |
| 1996 | Stochastic Volatility..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 334 | paper | |
| 1996 | Stochastic Volatility..(1996) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 334 | paper | |
| 2004 | Convergence and Cycles in the Euro Zone In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 1990 | Forecasting, Structural Time Series Models and the Kalman Filter In: Cambridge Books. [Citation analysis] | book | 260 |
| 1991 | Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 260 | book | |
| 2013 | Dynamic Models for Volatility and Heavy Tails In: Cambridge Books. [Citation analysis] | book | 65 |
| 2013 | Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 65 | book | |
| 1985 | The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory. [Full Text][Citation analysis] | article | 21 |
| 2006 | Inflation convergence and divergence within the European Monetary Union In: Working Paper Series. [Full Text][Citation analysis] | paper | 124 |
| 2007 | Inflation 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 | |
| 1997 | Trends, Cycles and Autoregressions. In: Economic Journal. [Full Text][Citation analysis] | article | 77 |
| 1986 | Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal. [Full Text][Citation analysis] | article | 41 |
| 2004 | Trend estimation, signal-noise ratios and the frequency of observations In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 4 |
| 1976 | Estimating Regression Models with Multiplicative Heteroscedasticity. In: Econometrica. [Full Text][Citation analysis] | article | 225 |
| 1980 | Testing for Serial Correlation in Simultaneous Equation Models. In: Econometrica. [Full Text][Citation analysis] | article | 5 |
| 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 |
| 2003 | Measurement 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 | |
| 2000 | Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 56 |
| 2003 | Computing 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 | |
| 2000 | Signal extraction and the formulation of unobserved components models In: Econometrics Journal. [Citation analysis] | article | 45 |
| 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: 45 | paper | |
| 1988 | Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 20 |
| 1993 | Estimation of simultaneous equation models with stochastic trend components In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 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 | 7 |
| 2006 | Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 23 |
| 1984 | A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2000 | A Beveridge-Nelson smoother In: Economics Letters. [Full Text][Citation analysis] | article | 12 |
| 2007 | Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 63 |
| 2005 | Trends and cycles in economic time series: A Bayesian approach.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
| 1981 | Testing for heteroscedasticity in simultaneous equation models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1981 | Testing for serial correlation in simultaneous equation models : Some further results In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1974 | A comparison of the power of some tests for heteroskedasticity in the general linear model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 1989 | Estimating integrated higher-order continuous time autoregressions with an application to money-income causality In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 182 |
| 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 | 8 |
| 2010 | Tracking a changing copula In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 1994 | Review of 4thought In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2012 | Kernel density estimation for time series data In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
| 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 | 43 |
| 2004 | Bayes estimates of the cyclical component in twentieth centruy US gross domestic product In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Cyclical components in economic time series In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 1976 | A 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] | article | 0 |
| 1978 | Linear Regression in the Frequency Domain. In: International Economic Review. [Full Text][Citation analysis] | article | 12 |
| 1980 | On Comparing Regression Models in Levels and First Differences. In: International Economic Review. [Full Text][Citation analysis] | article | 8 |
| 1986 | Analysis and Generalisation of a Multivariate Exponential Smoothing Model In: Management Science. [Full Text][Citation analysis] | article | 19 |
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| 2001 | Testing against smooth stochastic trends In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2005 | Convergence in the trends and cycles of Euro-zone income In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 18 |
| 1993 | Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 579 |
| 2001 | Testing in Unobserved Components Models. In: Journal of Forecasting. [Citation analysis] | article | 23 |
| 2010 | The local quadratic trend model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
| 1990 | The Econometric Analysis of Time Series, 2nd Edition In: MIT Press Books. [Citation analysis] | book | 216 |
| 1977 | Discrimination Between CES and VES Production Functions In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2017 | Modeling time series with zero observations In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
| 1994 | Multivariate Stochastic Variance Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 495 |
| 1985 | The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Robust time series models with trend and seasonal components In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 4 |
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