Andrew C. Harvey : Citation Profile

University of Cambridge

37

H index

69

i10 index

6802

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: 136
   Journals where Andrew C. Harvey has often published
   Relations with other researchers
   Recent citing documents: 152.    Total self citations: 64 (0.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha279
   Updated: 2025-04-12    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 (97)

Ruiz, Esther (89)

Shephard, Neil (81)

Blazsek, Szabolcs (72)

Asai, Manabu (66)

Delle Monache, Davide (50)

Escribano, Alvaro (49)

Hunt, Lester (47)

Blasques, Francisco (44)

Cites to:

Koopman, Siem Jan (97)

Lucas, Andre (53)

Creal, Drew (52)

Engle, Robert (42)

Shephard, Neil (30)

Bollerslev, Tim (24)

Phillips, Peter (22)

Bauwens, Luc (21)

Giot, Pierre (20)

Schmidt, Peter (19)

shin, yongcheol (17)

Main data

Production by document typepaperchapterarticlebook1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150200Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 37Most cited documents12345678910111213141516171819202122232425262728293031323334353637383905001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Economic Journal3
International Economic Review3
Econometric Theory3
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series C3
The Review of Economics and Statistics2
Journal of Forecasting2
Journal of Empirical Finance2
National Institute Economic Review2
Journal of Applied Econometrics2
Econometrica2
Economics Letters2

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 World Congress 2000 Contributed Papers / Econometric Society2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Andrew C. Harvey (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Distributional Dynamics. (2025). Kuhn, Moritz ; Calderon, Luis ; Bayer, Christian. 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. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. 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. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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

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

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2024A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). 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?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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

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

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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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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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2024Asymptotic 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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2024Fitting 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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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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2024.

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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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2024.

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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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2024.

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

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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.

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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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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.

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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.

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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.

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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.

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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-Garcia, Mariano ; Arbues, Ignacio. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002050.

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

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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.

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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.

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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). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. 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 B ; Higbee, Joshua D. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407621000154.

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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). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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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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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Qizi, Madina Mansur ; Khajimuratov, Nizomjon Shukurullaevich ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich ; Hasanov, Akram Shavkatovich. 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). Pan, Xianyou ; Sun, Feihu ; Shu, Yalin ; Xie, Pinjie. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003906.

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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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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Optimal hierarchical EWMA forecasting. (2024). Pelagatti, Matteo ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:616-625.

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2024The short-term predictability of returns in order book markets: A deep learning perspective. (2024). Pakkanen, Mikko S ; Lucchese, Lorenzo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1587-1621.

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2024Distinguishing between recurring and nonrecurring components of earnings using unobserved components modeling. (2024). Sloan, Richard G ; Yoon, Joon Sang ; Gardner, Jesse. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:78:y:2024:i:1:s016541012400017x.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269.

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2024Mapping time series into signed networks via horizontal visibility graph. (2024). Ge, Ruijun ; Gao, Meng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009597.

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2024Renyi entropy based design of heavy tailed distribution for return of financial assets. (2024). Kukal, Jaromir ; van Tran, Quang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000396.

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2024A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives. (2024). Ha, Mijin ; Yoon, Ji-Hun ; Kim, Jeong-Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001078.

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2024ESG, clean energy, and petroleum futures markets: Asymmetric return connectedness and hedging effectiveness. (2024). Mishra, Sibanjan ; Bhattacherjee, Purba ; Wee, Jung Bum ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003678.

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2024Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271.

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2024The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548.

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2024Climate policy uncertainty and the U.S. economic cycle. (2024). Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:202:y:2024:i:c:s0040162524001409.

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2024Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components. (2024). Jahan-Parvar, Mohammad ; Szerszen, Pawel J ; Knipp, Charles. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-100.

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2025Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models. (2025). Szerszen, Pawel J ; Dobrev, Dobrislav. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-01.

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2024Endogenous vs Exogenous Instability: An Out-of-Sample Comparison. (2024). Ricchiuti, Giorgio ; Gusella, Filippo ; Gatti, Domenico Delli. In: Working Papers - Economics. RePEc:frz:wpaper:wp2024_05.rdf.

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2024.

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2024Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension. (2024). Laurini, Márcio ; Coli, Joo Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:1:p:5-:d:1341433.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2025Modeling and Forecasting Time-Series Data with Multiple Seasonal Periods Using Periodograms. (2025). Chudo, Solomon Buke ; Terdik, Gyorgy. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:14-:d:1622602.

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2024.

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More than 100 citations found, this list is not complete...

Andrew C. Harvey has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Andrew C. Harvey:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article170
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]		article46
1983Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics.
[Citation analysis]		article76
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]		article371
1989Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article59
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1993Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) In: STICERD - Econometrics Paper Series.
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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.
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