Andrew Harvey

Andrew Harvey - University of Cambridge (UK)

Andrew Harvey is Professor of Econometrics and Fellow of Corpus Christi College at the University of Cambridge. Other teaching positions include courses on Econometrics at the London School of Economics.

His main research interests are time series and econometrics; macroecometrics and financial econometrics, including state space models, signal extraction, volatility, quantiles and copulas.

Dr. Harvey has published more than 100 specialized journal articles and is the author of the celebrated textbooks: The Econometric Analysis of Time Series; Time Series Models, and Forecasting; Structural Time Series Models and the Kalman Filter.

He is also the co-author of the STAMP, a package to model time series based on structural models, and has a great deal of experience as a consultant. He is a Fellow of the Econometric Society and the British Academy.

RESEARCH STAY AT UC3M: STATISTICS DEPARTMENT

PROJECT: Derivation of asymptotic theory for a class of time series models. Models known as exponential conditional volatility models, modificated of a class of models widely used in financial econometrics. Extends the models to deal with asymmetric distributions.

STAY PERIOD: MAR 10 - OCT 10

Publications

1. “Exponential Conditional Volatility Models”, Andrew Harvey. Working Statistics and Econometrics Series 20. Paper 10-36. September 2010.