Details about Richard T. Baillie

Access statistics for papers by Richard T. Baillie.

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Short-id: pba423

Working Papers

2007

1. Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices
   Working Papers, Queen Mary, University of London, Department of Economics
2. Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach
   Working Papers, Queen Mary, University of London, Department of Economics

2006

3. Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates
   Working Papers, Queen Mary, University of London, Department of Economics

2005

4. Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?
   Working Papers, Queen Mary, University of London, Department of Economics View citations
   See Also Journal Article in Journal of International Money and Finance (2006)
5. Testing for Neglected Nonlinearity in Long Memory Models
   Working Papers, Queen Mary, University of London, Department of Economics

2002

6. Central Bank Intervention and Properties of the 1920s Currency Markets
   Finance Working Papers, East Asian Bureau of Economic Research

1999

7. Intervention as information: a survey
   Working Paper, Federal Reserve Bank of Cleveland View citations

1998

8. Central bank intervention and overnight uncovered interest rate parity
   Working Paper, Federal Reserve Bank of Cleveland View citations

1994

9. Prediction from the Regression Model with one-way Error Components
   Working Papers, Michigan State - Econometrics and Economic Theory View citations

1993

10. Central Bank Intervention and Risk in the Forward Premium
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
11. Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
    See Also Journal Article in Journal of Finance (1994)
12. The Long Memory of the Foreward Premium
    Working Papers, Michigan State - Econometrics and Economic Theory
    See Also Journal Article in Journal of International Money and Finance (1994)

1992

13. A Generalized Method of Moments Estimator for Long-Memory Processes
    Working Papers, Tilburg - Center for Economic Research View citations
    Also in
    Working Papers, Michigan State - Econometrics and Economic Theory (1992) View citations
14. A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis
    Working Papers, Michigan State - Econometrics and Economic Theory
15. Post-Louvre intervention: did target zones stabilize the dollar?
    Working Paper, Federal Reserve Bank of Cleveland View citations
16. The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis
    Working Papers, Tilburg - Center for Economic Research View citations

1991

17. Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
    Working Papers, Tilburg - Center for Economic Research
18. Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
    Working Papers, Michigan State - Econometrics and Economic Theory
19. The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
    See Also Journal Article in Journal of International Money and Finance (1991)
20. The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990
    Working Paper, Federal Reserve Bank of Cleveland

1990

21. PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES
    Working Papers, Michigan State - Econometrics and Economic Theory
    See Also Journal Article in Journal of Econometrics (1992)

1989

22. COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE?
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
23. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
    See Also Journal Article in Review of Economic Studies (1991)
24. MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE
    Working Papers, Michigan State - Econometrics and Economic Theory
    Also in
    Working Papers, Columbia - Center for Futures Markets (1989)

1988

25. ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
26. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory
27. STOCK RETURNS AND VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
28. THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations

Journal Articles

2006

1. Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
   Journal of International Money and Finance, 2006, 25, (1), 22-47 View citations
   See Also Working Paper (2005)

2004

2. Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
   Journal of International Financial Markets, Institutions and Money, 2004, 14, (5), 401-418 View citations
3. REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
   Econometric Theory, 2004, 20, (03), 485-512

2002

4. Introduction
   International Journal of Forecasting, 2002, 18, (2), 163-165 View citations
5. Modeling and forecasting from trend-stationary long memory models with applications to climatology
   International Journal of Forecasting, 2002, 18, (2), 215-226 View citations
6. Price discovery and common factor models
   Journal of Financial Markets, 2002, 5, (3), 309-321 View citations
7. The Message in Daily Exchange Rates: A Conditional-Variance Tale
   Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations
   Also in
   Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations

2001

8. Testing Target-Zone Models Using Efficient Method of Moments: Comment
   Journal of Business & Economic Statistics, 2001, 19, (3), 273-76 View citations

2000

9. Central bank intervention
   Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 225-228 View citations
10. Deviations from daily uncovered interest rate parity and the role of intervention
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 363-379 View citations
11. Intervention from an information perspective
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 407-421 View citations
12. The forward premium anomaly is not as bad as you think
    Journal of International Money and Finance, 2000, 19, (4), 471-488 View citations

1998

13. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 273-76 View citations

1997

14. Central bank intervention and risk in the forward market
    Journal of International Economics, 1997, 43, (3-4), 483-497 View citations
15. Papers in honor of Patrick C. McMahon
    Journal of International Money and Finance, 1997, 16, (6), 879-883
16. Why do central banks intervene?
    Journal of International Money and Finance, 1997, 16, (6), 909-919 View citations

1996

17. A minimum distance estimator for long-memory processes
    Journal of Econometrics, 1996, 71, (1-2), 249-264 View citations
18. Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model
    Journal of Applied Econometrics, 1996, 11, (1), 23-40 View citations
19. Editors' introduction: Fractional differencing and long memory processes
    Journal of Econometrics, 1996, 73, (1), 1-3 View citations
20. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 View citations
21. Long memory processes and fractional integration in econometrics
    Journal of Econometrics, 1996, 73, (1), 5-59 View citations

1994

22. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 View citations
    See Also Working Paper (1993)
23. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 View citations
    See Also Working Paper (1993)

1993

24. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Journal of International Money and Finance, 1993, 12, (5), 511-521
25. Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models
    Empirical Economics, 1993, 18, (4), 791-806 View citations
26. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2

1992

27. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 View citations
    See Also Working Paper (1990)

1991

28. Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge
    Journal of Applied Econometrics, 1991, 6, (2), 109-24 View citations
29. Intra-day and Inter-market Volatility in Foreign Exchange Rates
    Review of Economic Studies, 1991, 58, (3), 565-85 View citations
    See Also Working Paper (1989)
30. The search for equilibrium relationships in international finance: the case of the monetary model
    Journal of International Money and Finance, 1991, 10, (4), 582-593 View citations
    See Also Working Paper (1991)

1990

31. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
    Journal of International Money and Finance, 1990, 9, (3), 309-324 View citations

1989

32. Common Stochastic Trends in a System of Exchange Rates
    Journal of Finance, 1989, 44, (1), 167-81 View citations
33. Forecast Master: A Review
    Journal of Applied Econometrics, 1989, 4, (3), 305-07

1987

34. Cointegration and models of exchange rate determination
    International Journal of Forecasting, 1987, 3, (1), 43-51 View citations
35. Inference in dynamic models containing 'surprise' variables
    Journal of Econometrics, 1987, 35, (1), 101-117 View citations
36. Introduction
    International Journal of Forecasting, 1987, 3, (1), 1-1

1986

37. Estimation and testing of the term structure of the forward premium under rational expectations
    Journal of Macroeconomics, 1986, 8, (3), 387-391
38. Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771
    International Journal of Forecasting, 1986, 2, (3), 393-394

1984

39. Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market
    Oxford Economic Papers, 1984, 36, (1), 67-85 View citations

1983

40. Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
    Economics Letters, 1983, 13, (2-3), 201-206
41. Testing Rational Expectations and Efficiency in the Foreign Exchange Market
    Econometrica, 1983, 51, (3), 553-63 View citations

1981

42. Interest Rates and Investment in West Germany
    Empirical Economics, 1981, 6, (1), 1-9
43. Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
    Econometrica, 1981, 49, (5), 1331-37 View citations

1980

44. Predictions from ARMAX models
    Journal of Econometrics, 1980, 12, (3), 365-374 View citations
45. Testing the permanent income hypothesis using a general rational lag formulation
    Economics Letters, 1980, 5, (1), 39-43

Editor

1. Journal of Empirical Finance
   Elsevier