Andrew Harvey

University of Cambridge - Department of Applied Economics

Sidgwick Avenue

Cambridge, CB3 9DE

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS

930

SSRN CITATIONS
Rank 3,820

SSRN RANKINGS

Top 3,820

in Total Papers Citations

91

CROSSREF CITATIONS

262

Scholarly Papers (10)

1.

Inflation Convergence and Divergence within the European Monetary Union

ECB Working Paper No. 574
Number of pages: 38 Posted: 17 Jan 2006
Bank of Italy, International Monetary Fund (IMF), University of Cambridge - Department of Applied Economics and Bank of Italy
Downloads 548 (69,610)
Citation 5

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Absolute Convergence, Inflation Differentials, Stability, Unit Root Tests

2.

Testing for Trend

Bank of Italy Economic Research Paper No. 614
Number of pages: 34 Posted: 19 Mar 2007
Fabio Busetti and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 142 (275,352)
Citation 27

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Cramér-von Mises distribution, stationarity test, stochastic trend, unit root, unobserved component

3.

Convergences of Prices and Rates of Inflation

Bank of Italy Economic Research Paper No. 575
Number of pages: 39 Posted: 10 Apr 2006
Fabio Busetti, Silvia Fabiani and Andrew Harvey
Bank of Italy, Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 88 (383,549)
Citation 3

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Dickey-Fuller test, initial condition, law of one price, stationarity test

4.

Two EGARCH Models and One Fat Tail

Bank of Italy Temi di Discussione (Working Paper) No. 954
Number of pages: 49 Posted: 08 Jul 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 52 (504,187)
Citation 36

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exchange rates, heavy tails, Hill’s estimator, score, robustness, EGB2, Student’s t, tail index

Time Series Models with an EGB2 Conditional Distribution

Bank of Italy Temi di Discussione (Working Paper) No. 947
Number of pages: 60 Posted: 25 Mar 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 42 (560,962)
Citation 59

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beta distribution, EGARCH, fat tails, score, robustness, winsorizing

Time‐Series Models with an EGB2 Conditional Distribution

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 558-571, 2014
Number of pages: 14 Posted: 24 Oct 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 1 (894,432)

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Beta distribution, EGARCH, outlier, robustness, score, WinsorizingJEL. C22l

6.

Convergence and Cycles in the Euro Zone

Number of pages: 38 Posted: 24 Jan 2005
Vasco M. Carvalho and Andrew Harvey
Universitat Pompeu Fabra/CREI and University of Cambridge - Department of Applied Economics
Downloads 29 (621,000)
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Balanced growth, error correction mechanism, Kalman filter, signal extraction, stochastic trend, unobserved components

7.

Convergence of Prices and Rates of Inflation

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 863-877, December 2006
Number of pages: 15 Posted: 24 Nov 2006
Fabio Busetti, Silvia Fabiani and Andrew Harvey
Bank of Italy, Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 22 (669,061)
Citation 5

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8.

Tests of Strict Stationarity Based on Quantile Indicators

Journal of Time Series Analysis, Vol. 31, Issue 6, pp. 435-450, November 2010
Number of pages: 16 Posted: 12 Oct 2010
Fabio Busetti and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 5 (811,681)
Citation 1

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9.

Volatility Modeling with a Generalized t Distribution

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 175-190, 2017
Number of pages: 16 Posted: 08 Feb 2017
Andrew Harvey and Rutger‐Jan Lange
University of Cambridge - Department of Applied Economics and Erasmus University Rotterdam (EUR)
Downloads 1 (856,128)
Citation 3

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Asymmetry, dynamic conditional score (DCS) model, partially adaptive estimation, robustness, tail index

10.

Modeling the Interactions between Volatility and Returns Using EGARCH‐M

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 909-919, 2018
Number of pages: 11 Posted: 07 Oct 2018
Andrew Harvey and Rutger‐Jan Lange
University of Cambridge - Department of Applied Economics and Erasmus University Rotterdam (EUR)
Downloads 0 (874,031)
Citation 1

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ARCH‐in‐mean, dynamic conditional score (DCS) model, equity risk premium, leverage, two‐component model