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Andrew Harvey
Researcher at University of Cambridge
Publications - 209
Citations - 30995
Andrew Harvey is an academic researcher from University of Cambridge. The author has contributed to research in topics: Heteroscedasticity & Series (mathematics). The author has an hindex of 67, co-authored 206 publications receiving 30318 citations. Previous affiliations of Andrew Harvey include Queensland University of Technology & Nuffield College.
Papers
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Book
Forecasting, Structural Time Series Models and the Kalman Filter
TL;DR: In this article, the Kalman filter and state space models were used for univariate structural time series models to estimate, predict, and smoothen the univariate time series model.
Posted Content
Forecasting, Structural Time Series Models and the Kalman Filter
TL;DR: In this paper, the authors provide a unified and comprehensive theory of structural time series models, including a detailed treatment of the Kalman filter for modeling economic and social time series, and address the special problems which the treatment of such series poses.
Book ChapterDOI
5 Stochastic volatility
TL;DR: The Black-Scholes model predicts a flat term structure of volatilities as mentioned in this paper, which is typically upward sloping when short term volatility is low and the reverse when they are high.
Book
Multivariate stochastic variance models
TL;DR: In this article, a multivariate model based on autoregressive conditional heteroscedasticity (ARCH) is proposed to capture common movements in volatility in a very natural way.
Book
The econometric analysis of time series
TL;DR: The Econometric Analysis of Time Series "focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs".