Andrew C. Harvey : Citation Profile

Are you Andrew C. Harvey?

University of Cambridge

37

H index

67

i10 index

6721

Citations

RESEARCH PRODUCTION:

85

Articles

69

Papers

5

Books

5

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   50 years (1974 - 2024). See details.
   Cites by year: 134
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 239.    Total self citations: 64 (0.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha279
   Updated: 2024-11-04    RAS profile: 2024-09-05    
   Missing citations? Add them    Incorrect content? Let us know

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 (181)

Proietti, Tommaso (144)

Lucas, Andre (95)

Ruiz, Esther (89)

Shephard, Neil (81)

Blazsek, Szabolcs (69)

Asai, Manabu (66)

Delle Monache, Davide (56)

Escribano, Alvaro (48)

Hunt, Lester (47)

Petrella, Ivan (46)

Cites to:

Koopman, Siem Jan (92)

Lucas, Andre (51)

Creal, Drew (49)

Engle, Robert (39)

Shephard, Neil (29)

Bollerslev, Tim (23)

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 Analysis10
International Journal of Forecasting4
Journal of Economic Dynamics and Control4
Journal of Applied Econometrics3
Economic Journal3
Econometric Theory3
Journal of the Royal Statistical Society Series C3
International Economic Review3
Economics Letters2
National Institute Economic Review2
Journal of Empirical Finance2
The Review of Economics and Statistics2
Econometrica2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Andrew C. Harvey (2024 and 2023)

YearTitle of citing document
2023.

Full description at Econpapers || Download paper

2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

Full description at Econpapers || Download paper

2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

Full description at Econpapers || Download paper

2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

Full description at Econpapers || Download paper

2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

Full description at Econpapers || Download paper

2024Quasi 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

2023Modeling Long Cycles. (2020). Marmer, Vadim ; Kang, Natasha. In: Papers. RePEc:arx:papers:2010.13877.

Full description at Econpapers || Download paper

2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

Full description at Econpapers || Download paper

2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

Full description at Econpapers || Download paper

2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

Full description at Econpapers || Download paper

2023Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

Full description at Econpapers || Download paper

2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2023The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777.

Full description at Econpapers || Download paper

2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

Full description at Econpapers || Download paper

2023Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499.

Full description at Econpapers || Download paper

2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

Full description at Econpapers || Download paper

2023sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125.

Full description at Econpapers || Download paper

2023The Tech Decoupling. (2023). Baloda, Monika. In: Papers. RePEc:arx:papers:2304.00510.

Full description at Econpapers || Download paper

2024GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

Full description at Econpapers || Download paper

2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

Full description at Econpapers || Download paper

2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123.

Full description at Econpapers || Download paper

2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

Full description at Econpapers || Download paper

2023Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis. (2023). Masrur, S M. In: Papers. RePEc:arx:papers:2309.09094.

Full description at Econpapers || Download paper

2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

Full description at Econpapers || Download paper

2024Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

Full description at Econpapers || Download paper

2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023A trend-cycle decomposition with hysteresis. (2023). Roa Rozo, Julián ; Gómez-Pineda, Javier ; Roa-Rozo, Julian ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1230.

Full description at Econpapers || Download paper

2023Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Econometric Forecasting of Tourist Arrivals Using Bayesian Structural Time?Series. (2023). Kimpton, Sean ; Andrews, Antony. In: Economic Papers. RePEc:bla:econpa:v:42:y:2023:i:2:p:200-211.

Full description at Econpapers || Download paper

2023Dating business cycles in the United Kingdom, 1700–2010. (2023). Lennard, Jason ; Broadberry, Stephen ; Thomas, Ryland ; Chadha, Jagjit S. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:4:p:1141-1162.

Full description at Econpapers || Download paper

2024AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

Full description at Econpapers || Download paper

2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

Full description at Econpapers || Download paper

2023LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS. (2003). Proietti, Tommaso. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:221-236.

Full description at Econpapers || Download paper

2023Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals. (2002). Franses, Philip Hans ; Koopman, Siem Jan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:64:y:2002:i:5:p:509-526.

Full description at Econpapers || Download paper

2023Optimal specialty crop planning policies with yield learning and forward contract. (2023). Ryan, Jennifer K ; Chen, Heng. In: Production and Operations Management. RePEc:bla:popmgt:v:32:y:2023:i:2:p:359-378.

Full description at Econpapers || Download paper

2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

Full description at Econpapers || Download paper

2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

Full description at Econpapers || Download paper

2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68.

Full description at Econpapers || Download paper

2023The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789.

Full description at Econpapers || Download paper

2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download 2024

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

Full description at Econpapers || Download paper

2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

Full description at Econpapers || Download paper

2023Club convergence of labor market institutions in the European Union. (2023). Arčabić, Vladimir ; Dumani, Lucija Rogi ; Arabi, Vladimir ; Obadi, Alka. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:876-896.

Full description at Econpapers || Download paper

2023Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. (2023). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota ; Fernandes, Mario Correia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1046-1058.

Full description at Econpapers || Download paper

2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

Full description at Econpapers || Download paper

2023Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries. (2023). Castillo, Paul ; Vassallo, Renato ; Rodriguez, Gabriel. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001141.

Full description at Econpapers || Download paper

2023Macroeconomic volatility and the current account: Extending the evidence. (2023). Jalles, Joao ; Karras, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001463.

Full description at Econpapers || Download paper

2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

Full description at Econpapers || Download paper

2023Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304.

Full description at Econpapers || Download paper

2023The heterogeneity of Okuns law: A metaregression analysis. (2023). Martín-Román, Ángel ; Martin-Roman, Angel L ; Porras-Arena, Sylvina M. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

Full description at Econpapers || Download paper

2023Simple interpolations of inflation expectations. (2023). Winkelried, Diego. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002550.

Full description at Econpapers || Download paper

2023Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

Full description at Econpapers || Download paper

2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

Full description at Econpapers || Download paper

2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

Full description at Econpapers || Download paper

2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

Full description at Econpapers || Download paper

2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

Full description at Econpapers || Download paper

2023Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044.

Full description at Econpapers || Download paper

2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Dynamic Tobit models. (2023). Liao, Yin ; Harvey, Andew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:72-83.

Full description at Econpapers || Download paper

2023Rage Against the Mean – A Review of Distributional Regression Approaches. (2023). Safken, Benjamin ; Silbersdorff, Alexander ; Kneib, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:99-123.

Full description at Econpapers || Download paper

2023Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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]		paper16
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: 16		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: 16		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]		article256
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article45
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics.
[Citation analysis]		article75
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics.
[Citation analysis]		article68
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]		article365
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article55
1989Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article53
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]		article60
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]		article47
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: 47		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]		article9
2017Volatility Modeling with a Generalized t Distribution In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article37
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: 37		paper
2023Regime switching models for circular and linear time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
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]		paper181
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: 181		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]		paper23
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]		paper37
2011Modelling the Phillips curve with unobserved components.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		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]		paper88
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: 88		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]		paper96
2014Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		article
2014Testing against Changing Correlation In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper11
2016Testing against changing correlation.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		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]		paper6
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: 6		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]		paper2
2023Score-driven models for realized volatility.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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
.() In: .
[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]		paper96
2000TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		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]		paper25
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]		paper345
1995Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 345		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 345		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]		book481
1991Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 481		book
2013Dynamic Models for Volatility and Heavy Tails In: Cambridge Books.
[Citation analysis]		book301
2013Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 301		book
1985The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory.
[Full Text][Citation analysis]		article28
In: .
[Full Text][Citation analysis]		article0
2006Inflation convergence and divergence within the European Monetary Union In: Working Paper Series.
[Full Text][Citation analysis]		paper144
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: 144		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]		article324
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]		paper78
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: 78		article
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]		article49
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		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: 49		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]		article8
2006Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter60
1984A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models In: Economics Letters.
[Full Text][Citation analysis]		article2
2000A Beveridge-Nelson smoother In: Economics Letters.
[Full Text][Citation analysis]		article12
2007Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article79
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: 79		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]		article8
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]		article0
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]		article13
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]		article218
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]		article13
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]		article19
1990Structural time series models in inventory control In: International Journal of Forecasting.
[Full Text][Citation analysis]		article74
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]		article14
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
1993Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article734
2001Testing in Unobserved Components Models. In: Journal of Forecasting.
[Citation analysis]		article30
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]		book261
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]		article608
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team