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Details about Richard T. Baillie

E-mail:
Homepage:http://www.msu.edu/user/baillie
Workplace:Economics Department, Michigan State University, (more information at EDIRC)
School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)

Access statistics for papers by Richard T. Baillie.

Last updated 2013-11-12. Update your information in the RePEc Author Service.

Short-id: pba423


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Working Papers

2007

  1. Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (23)
  2. Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (7)

2006

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

2005

  1. Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2006)
  2. Testing for Neglected Nonlinearity in Long Memory Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)

1999

  1. Intervention as information: a survey
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (1)

1998

  1. Central bank intervention and overnight uncovered interest rate parity
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (2)

1994

  1. Prediction from the Regression Model with one-way Error Components
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)

1993

  1. Central Bank Intervention and Risk in the Forward Premium
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (2)
  2. Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (14)
    See also Journal Article in Journal of Finance (1994)
  3. 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

  1. A Generalized Method of Moments Estimator for Long-Memory Processes
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)
    Also in Working Papers, Tilburg - Center for Economic Research (1992) View citations (1)
  2. A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis
    Working Papers, Michigan State - Econometrics and Economic Theory
  3. Post-Louvre intervention: did target zones stabilize the dollar?
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (15)
  4. The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis
    Working Papers, Tilburg - Center for Economic Research View citations (8)

1991

  1. Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
    Working Papers, Tilburg - Center for Economic Research
  2. Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
    Working Papers, Michigan State - Econometrics and Economic Theory
  3. The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (30)
    See also Journal Article in Journal of International Money and Finance (1991)
  4. 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 Downloads

1990

  1. 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

  1. COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE?
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (4)
  2. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (30)
  3. 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) View citations (4)

1988

  1. ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (7)
  2. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory
  3. STOCK RETURNS AND VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (33)
  4. THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)

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 Downloads View citations (51)
    See also Working Paper (2005)

2004

  1. 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 Downloads View citations (7)

2002

  1. Introduction
    International Journal of Forecasting, 2002, 18, (2), 163-165 Downloads View citations (1)
  2. Modeling and forecasting from trend-stationary long memory models with applications to climatology
    International Journal of Forecasting, 2002, 18, (2), 215-226 Downloads View citations (13)
  3. Price discovery and common factor models
    Journal of Financial Markets, 2002, 5, (3), 309-321 Downloads View citations (113)
  4. The Message in Daily Exchange Rates: A Conditional-Variance Tale
    Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations (8)
    Also in Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations (265)

2001

  1. Testing Target-Zone Models Using Efficient Method of Moments: Comment
    Journal of Business & Economic Statistics, 2001, 19, (3), 273-76 View citations (1)

2000

  1. Central bank intervention
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 225-228 Downloads View citations (3)
  2. 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 Downloads View citations (16)
  3. Intervention from an information perspective
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 407-421 Downloads View citations (37)
  4. The forward premium anomaly is not as bad as you think
    Journal of International Money and Finance, 2000, 19, (4), 471-488 Downloads View citations (148)

1998

  1. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 273-76 View citations (6)

1997

  1. Central bank intervention and risk in the forward market
    Journal of International Economics, 1997, 43, (3-4), 483-497 Downloads View citations (92)
  2. Papers in honor of Patrick C. McMahon
    Journal of International Money and Finance, 1997, 16, (6), 879-883 Downloads
  3. Why do central banks intervene?
    Journal of International Money and Finance, 1997, 16, (6), 909-919 Downloads View citations (133)

1996

  1. A minimum distance estimator for long-memory processes
    Journal of Econometrics, 1996, 71, (1-2), 249-264 Downloads View citations (26)
  2. Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model
    Journal of Applied Econometrics, 1996, 11, (1), 23-40 Downloads View citations (172)
  3. Editors' introduction: Fractional differencing and long memory processes
    Journal of Econometrics, 1996, 73, (1), 1-3 Downloads View citations (2)
  4. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 Downloads View citations (727)
  5. Long memory processes and fractional integration in econometrics
    Journal of Econometrics, 1996, 73, (1), 5-59 Downloads View citations (555)

1994

  1. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 Downloads View citations (119)
    See also Working Paper (1993)
  2. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 Downloads View citations (110)
    See also Working Paper (1993)

1993

  1. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Journal of International Money and Finance, 1993, 12, (5), 511-521 Downloads View citations (9)
  2. Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models
    Empirical Economics, 1993, 18, (4), 791-806 View citations (48)
  3. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2 Downloads

1992

  1. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 Downloads View citations (86)
    See also Working Paper (1990)

1991

  1. Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge
    Journal of Applied Econometrics, 1991, 6, (2), 109-24 Downloads View citations (184)
  2. 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 Downloads View citations (32)
    See also Working Paper (1991)

1990

  1. 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 Downloads View citations (75)

1989

  1. Common Stochastic Trends in a System of Exchange Rates
    Journal of Finance, 1989, 44, (1), 167-81 Downloads View citations (213)
  2. Forecast Master: A Review
    Journal of Applied Econometrics, 1989, 4, (3), 305-07 Downloads

1987

  1. Cointegration and models of exchange rate determination
    International Journal of Forecasting, 1987, 3, (1), 43-51 Downloads View citations (78)
  2. Inference in dynamic models containing 'surprise' variables
    Journal of Econometrics, 1987, 35, (1), 101-117 Downloads View citations (6)
  3. Introduction
    International Journal of Forecasting, 1987, 3, (1), 1-1 Downloads

1986

  1. Estimation and testing of the term structure of the forward premium under rational expectations
    Journal of Macroeconomics, 1986, 8, (3), 387-391 Downloads
  2. 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 Downloads

1984

  1. Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market
    Oxford Economic Papers, 1984, 36, (1), 67-85 Downloads View citations (12)

1983

  1. 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 Downloads
  2. Testing Rational Expectations and Efficiency in the Foreign Exchange Market
    Econometrica, 1983, 51, (3), 553-63 Downloads View citations (37)

1981

  1. Interest Rates and Investment in West Germany
    Empirical Economics, 1981, 6, (1), 1-9
  2. Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
    Econometrica, 1981, 49, (5), 1331-37 Downloads View citations (4)

1980

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

Software Items

Editor

  1. Journal of Empirical Finance
    Elsevier
 
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