Andrew C. Harvey : Citation Profile

University of Cambridge

37

H index

70

i10 index

6897

Citations

RESEARCH PRODUCTION:

88

Articles

69

Papers

5

Books

5

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   50 years (1974 - 2024). See details.
   Cites by year: 137
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 64 (0.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha279
   Updated: 2025-11-08    RAS profile: 2024-09-05    
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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:

Koopman, Siem Jan (182)

Proietti, Tommaso (144)

Lucas, Andre (101)

Ruiz, Esther (89)

Shephard, Neil (81)

Blazsek, Szabolcs (73)

Asai, Manabu (66)

Delle Monache, Davide (50)

Escribano, Alvaro (49)

Hunt, Lester (47)

Blasques, Francisco (44)

Cites to:

Koopman, Siem Jan (95)

Lucas, Andre (53)

Creal, Drew (52)

Engle, Robert (42)

Shephard, Neil (29)

Bollerslev, Tim (24)

Phillips, Peter (22)

Bauwens, Luc (21)

Giot, Pierre (20)

Schmidt, Peter (19)

shin, yongcheol (17)

Main data

Where Andrew C. Harvey has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Business & Economic Statistics12
Journal of Time Series Analysis11
International Journal of Forecasting5
Journal of Economic Dynamics and Control4
Econometric Theory3
Journal of the Royal Statistical Society Series C3
Economic Journal3
Journal of Applied Econometrics3
International Economic Review3
The Review of Economics and Statistics2
Journal of Empirical Finance2
Journal of Forecasting2
Economics Letters2
Econometrica2
Journal of Applied Econometrics2
National Institute Economic Review2

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 (2025 and 2024)

YearTitle of citing document
2024Drivers of Participation in Smallholders Banana Contract Farming in Kenya. (2024). Murigi, Michael ; Ogada, Maurice Juma ; Muchai, Dianah Ngui. In: African Journal of Economic Review. RePEc:ags:afjecr:344142.

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2024A Hodrick-Prescott filter with automatically selected jumps. (2024). Pelagatti, Matteo ; Maranzano, Paolo. In: FEEM Working Papers. RePEc:ags:feemwp:344134.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2024A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2025GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2025). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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2024On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors. (2024). Fan, Yewen ; Dong, Xinshuai ; Jin, Songyao ; Rajendran, Sathyamoorthy ; Zhang, Kun ; Dai, Haoyue. In: Papers. RePEc:arx:papers:2401.05414.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2025Efficient mid-term forecasting of hourly electricity load using generalized additive models. (2025). Zimmermann, Monika ; Ziel, Florian. In: Papers. RePEc:arx:papers:2405.17070.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Monopoly Unveiled: Telecom Breakups in the US and Mexico. (2024). Rodriguez Caballero, Carlos ; Trillo, Fausto Hern'Andez ; Ventosa-Santaularia, Daniel. In: Papers. RePEc:arx:papers:2407.09695.

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2024Investment strategies based on forecasts are (almost) useless. (2024). Weba, Michael. In: Papers. RePEc:arx:papers:2408.01772.

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2025ARMA-Design: Optimal Treatment Allocation Strategies for A/B Testing in Partially Observable Time Series Experiments. (2025). Kong, Linglong ; Sun, KE ; Zhu, Hongtu ; Shi, Chengchun. In: Papers. RePEc:arx:papers:2408.05342.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation. (2024). Shevchenko, Pavel V ; Peters, Gareth W ; Kordzakhia, Nino. In: Papers. RePEc:arx:papers:2409.19385.

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2024Optimal life insurance and annuity decision under money illusion. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20128.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Fitting Dynamically Misspecified Models: An Optimal Transportation Approach. (2024). Qu, Zhongjun ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2412.20204.

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2024Automated Demand Forecasting in small to medium-sized enterprises. (2024). Konigorski, Stefan ; Gaertner, Thomas ; Lippert, Christoph. In: Papers. RePEc:arx:papers:2412.20420.

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2025Modeling Stock Return Distributions and Pricing Options. (2025). Jiang, Xinxin. In: Papers. RePEc:arx:papers:2503.08666.

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2025Estimation of Latent Group Structures in Time-Varying Panel Data Models. (2025). Smeekes, Stephan ; Haimerl, Paul ; Wilms, Ines. In: Papers. RePEc:arx:papers:2503.23165.

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2025Ordinary Least Squares as an Attention Mechanism. (2025). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2504.09663.

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2025Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243.

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2025Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models. (2025). Ślepaczuk, Robert ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19617.

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2025Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach. (2025). Jacquot, Thomas ; Setrouk, Ethan ; Guez, B'Eatrice ; Etienne, Alban ; Ohana, Jean-Jacques ; Benhamou, Eric. In: Papers. RePEc:arx:papers:2507.15876.

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2025Forecasting dementia incidence. (2025). french, eric ; Chen, Yuntao ; Simons, J'Erome R ; Brunner, Eric. In: Papers. RePEc:arx:papers:2509.07874.

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2025Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. (2025). Wu, Yinhao ; He, Ping. In: Papers. RePEc:arx:papers:2509.09105.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024Modelling the Impact of Macroeconomic Factors on Country’s Financial Stability: Evidence from the Russian Federation. (2024). Chapliuk, Vladimir Z ; Akhmetshina, Liliya G ; Sorokina, Larisa N ; al Humssi, Ahmad S. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:5:p:62-81.

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2024Seasonal adjustment of credit time series in the Bank of Italy. (2024). Liberati, Danilo ; Di Paolo, Simone. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_835_24.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2025Income distribution and growth in France: a long-run time-frequency analysis. (2025). Pietropaoli, Alessandro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1483_25.

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2024How Australias economy gained momentum because of Covid‐19. (2024). Rostan, Pierre. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:36-58.

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2024Does membership of the EMU matter for economic and financial outcomes?. (2024). Song, Suyong ; Kishor, N ; Ardakani, Omid M. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:42:y:2024:i:3:p:416-447.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024Functional principal component analysis for cointegrated functional time series. (2024). Seo, Wonki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:320-330.

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2024Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations. (2024). Jacobs, Jan ; Osborn, Denise R ; Tian, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1260-1289.

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2024Institutional design and the stability of responsiveness in the American states. (2024). Lacombe, Scott. In: Social Science Quarterly. RePEc:bla:socsci:v:105:y:2024:i:4:p:1205-1223.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625.

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2025Forecasting Dementia Incidence. (2025). french, eric ; Brunner, E ; Simons, J R ; Chen, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2563.

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2024EVALUATING THE PERFORMANCE OF GARCH FAMILY MODELS IN ESTIMATING INVESTMENT RISK AND VOLATILITY: A COMPARATIVE ANALYSIS OF SENSEX AND NIFTY INDEX IN INDIA. (2024). Roxana-Mihaela, Nioata ; Alamgir, MD ; Tudora, Cirjan Nadia ; Ramona, Birau ; Meher, Bharat Kumar ; Anand, Abhishek ; Kumar, Santosh. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2024:v:3:p:222-238.

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2024Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach. (2024). Lyu, Jingjing ; Sussmuth, Bernd. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10970.

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2024Endogenous vs Exogenous Instability: An Out-of-Sample Comparison. (2024). Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Gusella, Filippo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11082.

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2024Mean Reversion of the German City System After the WWII Bombing of Cities: What Is the Mean?. (2024). Kohl, Tristan ; Garretsen, Harry ; Brakman, Steven ; Nguyen, Duc A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11423.

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2025Data-Driven Learning About Trend Productivity Growth. (2025). , Jan ; van Norden, Simon ; Goto, Eiji. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-29.

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2024Variation Index of the Output Gap (VIOG): A New Way of Testing Potential GDP Estimations. (2024). Ceballos, Hermilson Velasquez ; Rendon, Alvaro Hurtado ; Barrera, Alejandro Pinilla. In: Documentos de Trabajo de Valor Público. RePEc:col:000122:000002.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2024Fitting complex stochastic volatility models using Laplace approximation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43947.

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2025Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2024ECB macroeconometric models for forecasting and policy analysis. (2024). Von-Pine, Eliott ; Santoro, Sergio ; Priftis, Romanos ; Paredes, Joan ; DARRACQ PARIES, Matthieu ; Banbura, Marta ; Ciccarelli, Matteo ; Angelini, Elena ; Babura, Marta ; Montes-Galdon, Carlos ; Brunotte, Stella ; Invernizzi, Marco ; Kornprobst, Antoine ; Zimic, Sreko ; Lalik, Magdalena ; Warne, Anders ; Gumiel, Jose Emilio ; Giammaria, Alessandro ; Cocchi, Sara ; Koutsoulis, Iason ; Rigato, Rodolfo Dinis ; Kase, Hanno ; Muller, Georg ; Bokan, Nikola ; Fagan, Gabriel. In: Occasional Paper Series. RePEc:ecb:ecbops:2024344.

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2025Efficient mid-term forecasting of hourly electricity load using generalized additive models. (2025). Zimmermann, Monika ; Ziel, Florian. In: Applied Energy. RePEc:eee:appene:v:388:y:2025:i:c:s0306261925001746.

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2025Transition to a greener economy: Climate change risks and resilience in a state-space framework. (2025). Bhadury, Soumya ; Pratap, Bhanu ; Gajbhiye, Dhirendra. In: Journal of Asian Economics. RePEc:eee:asieco:v:98:y:2025:i:c:s1049007825000521.

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2024Fast same-step forecast in SUTSE model and its theoretical properties. (2024). Yoshida, Wataru ; Hirose, Kei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:190:y:2024:i:c:s016794732300172x.

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2025Trend-cycle decomposition in the presence of large shocks. (2025). Wong, Benjamin ; Morley, James ; Kamber, Gne. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000326.

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2025Continuous-time persuasion by filtering. (2025). Bonesini, Ofelia ; Ad, Ren ; Callegaro, Giorgia ; Campi, Luciano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000661.

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2025Austerity reexamined: Uncovering the role of the shadow economy. (2025). Bechchani, Khalil. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1291-1317.

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2024Econometric issues in the estimation of the natural rate of interest. (2024). Buncic, Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004534.

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2024Business cycle synchronization and asymmetry in the European Union. (2024). Tica, Josip ; Panovska, Irina ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001676.

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2024Noisy signals: Does rating volatility depend on the length of the consumption span?. (2024). Leoni, Veronica ; Boto-Garcia, David. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001743.

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2024Multibenchmark reality checks. (2024). Matilla-García, Mariano ; Matilla-Garcia, Mariano ; Arbues, Ignacio. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002050.

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2025Time-varying sources of fluctuations in global inflation. (2025). Ko, Juyoung ; Kim, Won Joong ; Piao, Chunyan ; Kwon, Won Soon. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003274.

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2025A Hodrick–Prescott filter with automatically selected breaks. (2025). Pelagatti, Matteo ; Maranzano, Paolo. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s0264999325001270.

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2024Optimizing composite early warning indicators. (2024). Beltran, Daniel ; Dalal, Vihar M ; Jahan-Parvar, Mohammad R ; Paine, Fiona A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400175x.

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2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

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2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, P ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715.

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2025Do countries default in bad times? The role of alternative detrending techniques. (2025). Panizza, Ugo. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005603.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2024A comparison of the GB2 and skewed generalized log-t distributions with an application in finance. (2024). McDonald, James ; Higbee, Joshua D. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407621000154.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Modeling long cycles. (2024). Marmer, Vadim ; Kang, Da Natasha. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624000976.

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2024Estimation of continuous-time linear DSGE models from discrete-time measurements. (2024). Parra-Alvarez, Juan ; Christensen, Bent Jesper ; Neri, Luca. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624002161.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2024Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2024Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116.

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2025Message traffic and short-term illiquidity in high-speed markets. (2025). Pascual, Roberto ; Yage, Jos ; Nawn, Samarpan ; Massot, Magdalena ; Abad, David. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001468.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Hasanov, Akram ; Khajimuratov, Nizomjon Shukurullaevich ; Qizi, Madina Mansur ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062.

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2024Enhancing the accuracy of Chinas electricity consumption forecasting through economic cycle division: An MSAR-OPLS scenario analysis. (2024). Shu, Yalin ; Pan, Xianyou ; Xie, Pinjie ; Sun, Feihu. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003906.

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2024Casting a wide net in familiar vs. unfamiliar waters: Impact of types of alliance partner diversity on level and reliability of firm performance. (2024). Osiyevskyy, Oleksiy ; Jiang, Ruihua Joy ; Santoro, Michael D ; Tao, Qingjiu Tom. In: European Management Journal. RePEc:eee:eurman:v:42:y:2024:i:5:p:824-833.

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2024A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094.

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2025Within-regime volatility dynamics for observable- and Markov-switching score-driven models. (2025). Blazsek, Szabolcs ; Shadoff, Samantha R ; Kong, Dejun. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401660x.

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2024The cost of operational complexity: A causal assessment of pre-fire mitigation and wildfire suppression. (2024). Belval, Erin ; Young, Jesse D ; Thompson, Matthew ; Calkin, David ; Pietruszka, Bradley M ; Dunn, Christopher ; O'Connor, Christopher ; Wei, YU ; Gannon, Benjamin. In: Forest Policy and Economics. RePEc:eee:forpol:v:169:y:2024:i:c:s1389934124002053.

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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]		article10
2006Convergences of prices and rates of inflation In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper37
2006Convergence of Prices and Rates of Inflation*.(2006) In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2007Testing for trend In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper34
2008TESTING FOR TREND.(2008) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2014Time series models with an EGB2 conditional distribution In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper17
2014Time-series models with an EGB2 conditional distribution.(2014) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2013Time series models with an EGB2 conditional distribution.(2013) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2014Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper4
2013Two EGARCH models and one fat tail.(2013) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article172
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article260
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article46
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics.
[Citation analysis]		article77
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics.
[Citation analysis]		article69
2003Seasonality Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article22
2007A Note on Common Cycles, Common Trends, and Convergence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article18
1985Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article372
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article61
1989Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article59
1990Seemingly Unrelated Time Series Equations and a Test for Homogeneity. In: Journal of Business & Economic Statistics.
[Citation analysis]		article8
1982Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations. In: Bulletin of Economic Research.
[Citation analysis]		article11
2000Estimating the underlying change in unemployment in the UK In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article62
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]		article18
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]		article48
1998Tests for Deterministic Versus Indeterministic Cycles In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2001Testing for the Presence of a Random Walk in Series with Structural Breaks In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article48
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 nother version. Agregated cites: 48		paper
2003FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
1981FINITE SAMPLE PREDICTION AND OVERDIFFERENCING In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2010Tests of strict stationarity based on quantile indicators In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article10
2017Volatility Modeling with a Generalized t Distribution In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article42
2015Volatility Modeling with a Generalized t-distribution.(2015) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2018Modeling the Interactions between Volatility and Returns using EGARCH‐M In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2023Regime switching models for circular and linear time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
1988EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2001General Model-based Filters for Extracting Cycles and Trends in Economic Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper186
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 nother version. Agregated cites: 186		article
2002Models for Converging Economies In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper12
2002Growth, Cycles and Convergence in US Regional Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2005Growth, cycles and convergence in US regional time series.(2005) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		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]		paper24
2003Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper10
2004Cyclical components in economic time series: A Bayesian approach.(2004) In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2006Time-Varying Quantiles In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper9
2007Tests of time-invariance In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2007Tests of time-invariance.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2007Quantiles, Expectiles and Splines In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper52
2007Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2009Quantiles, expectiles and splines.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2008Modeling the Phillips curve with unobserved components In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper38
2011Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2008Dynamic distributions and changing copulas In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
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]		paper52
2011When is a Copula Constant? A Test for Changing Relationships.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2010Exponential Conditional Volatility Models In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper8
2010Exponential conditional volatility models.(2010) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper93
2014EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		article
2012The Dyanamic Location/Scale Model: with applications to intra-day financial data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper8
2012Filtering with heavy tails In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper100
2014Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100		article
2014Testing against Changing Correlation In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper10
2016Testing against changing correlation.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2015Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2017Co-integration and control: assessing the impact of events using time series data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper9
2021Cointegration and control: Assessing the impact of events using time series data.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2019Dynamic Tobit models In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2019Score-Driven Models for Realized Volatility In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2023Score-driven models for realized volatility.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2019Modeling directional (circular) time series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2021Time series modeling of epidemics: leading indicators, control groups and policy assessment In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2021TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT.(2021) In: National Institute Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Regime switching models for directional and linear observations In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2021Score-driven time series models In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2024Forecasting epidemic trajectories: Time Series Growth Curves package tsgc In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2024Hidden Threshold Models with applications to asymmetric cycles In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
1999Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics.
[Citation analysis]		paper98
2000TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 98		article
1994Seasonality in Dynamic Regression Models In: CEP Discussion Papers.
[Citation analysis]		paper62
1994Seasonality in Dynamic Regression Models..(1994) In: Economic Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		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]		paper24
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]		chapter2
2002Trends, Cycles and Convergence.(2002) In: Working Papers Central Bank of Chile.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1995Stochastic Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper349
1995Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 349		paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 349		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 349		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 349		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]		book514
1991Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 514		book
2013Dynamic Models for Volatility and Heavy Tails In: Cambridge Books.
[Citation analysis]		book304
2013Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 304		book
1985The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory.
[Full Text][Citation analysis]		article30
2021TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 In: National Institute Economic Review.
[Full Text][Citation analysis]		article0
2006Inflation convergence and divergence within the European Monetary Union In: Working Paper Series.
[Full Text][Citation analysis]		paper146
2007Inflation Convergence and Divergence within the European Monetary Union.(2007) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		article
1997Trends, Cycles and Autoregressions. In: Economic Journal.
[Full Text][Citation analysis]		article96
1986Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal.
[Full Text][Citation analysis]		article45
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]		article336
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]		paper5
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 nother version. Agregated cites: 5		article
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper82
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]		article50
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1988Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article25
1993Estimation of simultaneous equation models with stochastic trend components In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
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]		article9
2006Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter59
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]		article13
2007Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article81
2005Trends and cycles in economic time series: A Bayesian approach.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
1981Testing for heteroscedasticity in simultaneous equation models In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
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]		article9
2023Time-Varying Parameters in Econometrics: The editor’s foreword In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Modelling circular time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
1974A comparison of the power of some tests for heteroskedasticity in the general linear model In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
1989Estimating integrated higher-order continuous time autoregressions with an application to money-income causality In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]		article219
1977Testing for functional misspecification in regression analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
1998Testing for a slowly changing level with special reference to stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2010Tracking a changing copula In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article12
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]		article21
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 press) In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
1990Structural time series models in inventory control In: International Journal of Forecasting.
[Full Text][Citation analysis]		article79
1999MESSY TIME SERIES In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
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]		paper5
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]		article15
1980On Comparing Regression Models in Levels and First Differences. In: International Economic Review.
[Full Text][Citation analysis]		article10
1986Analysis and Generalisation of a Multivariate Exponential Smoothing Model In: Management Science.
[Full Text][Citation analysis]		article23
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]		article19
2005Convergence in the trends and cycles of Euro-zone income In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article25
2005Convergence in the trends and cycles of Euro‐zone income.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		article
1993Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article743
2001Testing in Unobserved Components Models. In: Journal of Forecasting.
[Citation analysis]		article31
2010The local quadratic trend model In: Journal of Forecasting.
[Full Text][Citation analysis]		article6
1990The Econometric Analysis of Time Series, 2nd Edition In: MIT Press Books.
[Citation analysis]		book263
1977Discrimination Between CES and VES Production Functions In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2020Time series models for epidemics: leading indicators, control groups and policy assessment In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
[Full Text][Citation analysis]		paper1
2017Modeling time series with zero observations In: Economics Papers.
[Full Text][Citation analysis]		paper1
1994Multivariate Stochastic Variance Models In: The Review of Economic Studies.
[Full Text][Citation analysis]		article618
2019James Durbin (1923–2012) In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
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]		article12

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