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Economics and Finance
UK
2024

D-Index & Metrics

Economics and Finance

D-Index
68
Citations
33834
World Ranking
503
National Ranking
57

Research.com Recognitions

  • 2024 - Research.com Economics and Finance in United Kingdom Leader Award

Overview

Andrew Harvey is affiliated with the University of Cambridge in the United Kingdom. Their research primarily focuses on mathematics, with a particular emphasis on modeling and simulation, economics and econometrics, global and planetary change, electrical and electronic engineering, and statistics and probability.

The scientist's work covers several main research topics including:

  • COVID-19 epidemiological studies
  • Energy load and power forecasting
  • Complex systems and time series analysis
  • Climate variability and models
  • Hydrology and drought analysis
  • COVID-19 pandemic impacts
  • Statistical mechanics and entropy

Andrew Harvey has published a number of papers addressing time series methodologies and their applications to forecasting, especially relevant during the COVID-19 pandemic. Notable recent publications include:

  • "Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus" (2020) in Harvard Data Science Review
  • "Cointegration and control: Assessing the impact of events using time series data" (2020) in Journal of Applied Econometrics
  • "A farewell to R: time-series models for tracking and forecasting epidemics" (2021) in Journal of The Royal Society Interface
  • "TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021" (2021) in National Institute Economic Review
  • "Regime switching models for circular and linear time series" (2023) in Journal of Time Series Analysis

The primary venues where Andrew Harvey has frequently published include:

  • Apollo (University of Cambridge)
  • Journal of Time Series Analysis
  • National Institute Economic Review
  • Journal of Econometrics
  • Harvard Data Science Review

Collaboration is a notable aspect of their work. Frequent co-authors include:

  • Paul Kattuman
  • Dario Palumbo
  • Stephen Thiele
  • Craig Thamotheram
  • Leopoldo Catania

Best Publications

  • Forecasting, Structural Time Series Models and the Kalman Filter

    Andrew C. Harvey

  • Multivariate stochastic variance models

    Andrew Harvey;Esther Ruiz;Neil Shephard

  • Time series models

    Andrew C. Harvey

  • Detrending, stylized facts and the business cycle

    A. C. Harvey;A. Jaeger

  • 5 Stochastic volatility

    Eric Ghysels;Andrew C. Harvey;Eric Renault

  • The econometric analysis of time series

    A. C. Harvey

  • Estimating Regression Models with Multiplicative Heteroscedasticity

    A. C. Harvey

  • STAMP 6.0 Structural Time Series Analyser, Modeller and Predictor

    S.J. Koopman;A.C. Harvey;J.A. Doornik;N. Shephard

  • Trends and Cycles in Macroeconomic Time Series

    A. C. Harvey

  • The Econometric Analysis of Time Series.

    W. D. Ray;A. C. Harvey

  • Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

    Andrew C. Harvey;Neil Shephard

  • Identification and inference for econometric models : essays in honor of Thomas Rothenberg

    Donald W. K. Andrews;James H. Stock

  • The Econometric Analysis of Time Series.

    Chung Chen;A. C. Harvey

  • Unobserved component time series models with Arch disturbances

    Andrew Harvey;Esther Ruiz;Enrique Sentana

  • Estimating Missing Observations in Economic Time Series

    A. C. Harvey;R. G. Pierse

  • The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

    A. C. Harvey;J. Durbin

  • Inflation Convergence and Divergence within the European Monetary Union

    Fabio Busetti;Lorenzo Forni;Andrew Harvey;Fabrizio Venditti

  • Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study

    A. C. Harvey;P. H. J. Todd

  • Diagnostic Checking of Unobserved- Components Time Series Models

    Andrew C. Harvey;Siem Jan Koopman

  • Forecasting Hourly Electricity Demand Using Time-Varying Splines

    Andrew Harvey;Siem Jan Koopman

  • A unified view of statistical forecasting procedures

    A. C. Harvey

  • Dynamic Models for Volatility and Heavy Tails

    Andrew Harvey

  • Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series

    Andrew C. Harvey

  • Time Series Models.

    A. R. Tremayne;A. C. Harvey

Frequent Co-Authors

Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam
Neil Shephard
Neil Shephard Harvard University
Herman K. van Dijk
Herman K. van Dijk Erasmus University Rotterdam
Gary Koop
Gary Koop University of Strathclyde
Mark F. J. Steel
Mark F. J. Steel University of Warwick
James H. Stock
James H. Stock Harvard University
Peter C. B. Phillips
Peter C. B. Phillips Yale University
Carl Chiarella
Carl Chiarella University of Technology Sydney
Stefan Mittnik
Stefan Mittnik Ludwig-Maximilians-Universität München
Olivier Scaillet
Olivier Scaillet University of Geneva

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