Professor of Econometrics, Faculty of Economics, University of Cambridge
Professor Andrew Harvey is Professor of Econometrics in the Faculty of Economics at the University of Cambridge. His research interests include time series and econometrics; macroecometrics and financial econometrics; state space models; signal extraction; volatility; quantiles and copulas.He is particularly well-known for his work on the Kalman Filter.
He took up his current post in the Faculty of Economics in 1996. Between 2204 and 2007 he was Chair of the Faculty. Prior to his move to Cambridge he held several positions at the LSE, including Head of Department. Professor Harvey is a Fellow of both the Econometric Society and the British Academy.