Andrew Harvey

University of Cambridge - Department of Applied Economics

Sidgwick Avenue

Cambridge, CB3 9DE

United Kingdom

  • University of Cambridge - Department of Applied Economics

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SCHOLARLY PAPERS

6

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CROSSREF CITATIONS

122

Scholarly Papers (6)

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1.

Inflation Convergence and Divergence within the European Monetary Union

ECB Working Paper No. 574
Number of pages: 38 Posted: 17 Jan 2006
Fabio Busetti, Lorenzo Forni, Andrew Harvey and Fabrizio Venditti
Bank of Italy, International Monetary Fund (IMF), University of Cambridge - Department of Applied Economics and Bank of Italy
Downloads 636 (70,622)
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 156 (312,437)
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 102 (430,775)

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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 65 (563,174)
Citation 36

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

5.

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 55 (610,800)
Citation 61

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

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 (776,231)
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Balanced growth, error correction mechanism, Kalman filter, signal extraction, stochastic trend, unobserved components