Richard T. Baillie : Citation Profile


Are you Richard T. Baillie?

Michigan State University (50% share)
Queen Mary University of London (50% share)

24

H index

29

i10 index

4194

Citations

RESEARCH PRODUCTION:

43

Articles

29

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   27 years (1980 - 2007). See details.
   Cites by year: 155
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 392.    Total self citations: 19 (0.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba423
   Updated: 2019-09-14    RAS profile: 2013-11-12    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Richard T. Baillie.

Is cited by:

Gil-Alana, Luis (115)

MORANA, CLAUDIO (66)

Bollerslev, Tim (63)

Nielsen, Morten (56)

Caporale, Guglielmo Maria (49)

GUPTA, RANGAN (47)

McAleer, Michael (43)

Beine, Michel (43)

Andersen, Torben (40)

Diebold, Francis (39)

Laurent, Sébastien (33)

Cites to:

Bollerslev, Tim (38)

Granger, Clive (27)

Diebold, Francis (22)

Hodrick, Robert (18)

Humpage, Owen (17)

Klein, Michael (14)

Dominguez, Kathryn (14)

Frankel, Jeffrey (12)

Engle, Robert (10)

Sowell, Fallaw (9)

Bekaert, Geert (9)

Main data


Where Richard T. Baillie has published?


Journals with more than one article published# docs
Journal of International Money and Finance8
Journal of Econometrics7
International Journal of Forecasting5
Journal of Business & Economic Statistics4
Journal of International Financial Markets, Institutions and Money4
Journal of Applied Econometrics3
Economics Letters2
Econometrica2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Working Papers (Old Series) / Federal Reserve Bank of Cleveland4

Recent works citing Richard T. Baillie (2018 and 2017)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: CREATES Research Papers. RePEc:aah:create:2018-35.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2018Some Financial Implications of Global Warming: an Empirical Assessment. (2018). Sbrana, Giacomo ; MORANA, CLAUDIO. In: CSI: Climate and Sustainable Innovation. RePEc:ags:cpaper:268728.

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2017Price discovery in the European wheat market. (2017). Vollmer, Teresa ; von Cramon-Taubadel, Stephan. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261135.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation and Transformation Pathways. RePEc:ags:feemmi:253732.

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2018Dynamic price discovery in the European wheat market based on the concept of partial cointegration. (2018). Vollmer, T ; von Cramon-Taubadel, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:276031.

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2017Long memory features and relationship stability of Asia-Pacific currencies against USD. (2017). Sankarkumar, Amirdha Vasani ; Sigo, Marxia Oli ; Maniam, Balasundram ; Selvam, Murugesan. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264628.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2018Evaluation of Long Memory on the Malaysia Exchange Rate Market. (2018). Khairi, Sitishalizamohd ; Zahid, Zalina ; Sheikh, Siti Aida ; Ibrahim, Atikullah. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:653-656.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Long and Short Memory in Economics: Fractional-Order Difference and Differentiation. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.07903.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2019Probability density of lognormal fractional SABR model. (2019). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming . In: Papers. RePEc:arx:papers:1702.08081.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2017Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets. (2017). serra, teresa ; Garcia, Philip ; Hu, Zhepeng ; Mallory, Mindy. In: Papers. RePEc:arx:papers:1711.03506.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057.

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2017Concept of dynamic memory in economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088.

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2017Logistic map with memory from economic model. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09092.

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2018Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1801.06677.

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2018Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016. (2018). Khoshrou, Abdolrahman ; Pauwels, Eric J. In: Papers. RePEc:arx:papers:1807.07328.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2019Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach. (2019). Nguyen, Quynh-Trang ; Lee, Ming-Yen ; Chen, Jo-Hui ; Diaz, John Francis. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:836-850.

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2018Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model. (2018). Ters, Kristyna ; Urban, Jorg. In: BIS Working Papers. RePEc:bis:biswps:689.

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2017Rare disaster risk and the expected equity risk premium. (2017). Berkman, Henk ; Lee, John B ; Jacobsen, Ben. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:351-372.

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2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

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2017Using a functional approach to test trending volatility in the price of Mexican and international agricultural products. (2017). Guerrero, Santiago ; Torres, Miriam Jureza ; dela Valle, Gerardo Hernndeza. In: Agricultural Economics. RePEc:bla:agecon:v:48:y:2017:i:1:p:3-13.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS. (2017). Henzel, Steffen ; Rengel, Malte. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:843-877.

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2017Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model. (2017). de Paoli, Bianca ; Sondergaard, Jens . In: Economica. RePEc:bla:econom:v:84:y:2017:i:335:p:516-540.

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2017On Asymptotic Theory for ARCH (∞) Models. (2017). Hafner, Christian ; Preminger, Arie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:865-879.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Assessing the readiness of the BRICS grouping for mutually beneficial financial integration. (2017). Bonga-Bonga, Lumengo. In: Review of Development Economics. RePEc:bla:rdevec:v:21:y:2017:i:4:p:e204-e219.

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2017The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18.

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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2018). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt1778z416.

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2017FORWARD BIAS, THE FAILURE OF UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2017). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2ff194s2.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7066.

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2018Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7073.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2019Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach. (2019). You, Kefei ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7537.

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2018Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017. (2018). Rojas, Eduardo Rosas ; Gonzalez, Teresa Lopez . In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016929.

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2018Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12951.

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2018Nominal exchange rate dynamics and monetary policy: uncovered interest rate parity and purchasing power parity revisited. (2018). Saadon, Yossi ; Sussman, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13235.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2018Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896. (2018). Siklos, Pierre ; Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:7618.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2018Improving the predictability of commodity prices in US inflation: The role of coffee price. (2018). Salisu, Afees ; Adediran, Idris ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0041.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2018Estimating a Latent Risk Premium in Exchange Rate Futures. (2018). Bernoth, Kerstin ; de Vries, Casper G ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1733.

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2017Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12.

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2018Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market. (2018). Paris, Anthony ; HACHE, Emmanuel. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-6.

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2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

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2017Modeling volatility of the French stock market. (2017). Mgadmi, Nidhal ; Bougatef, Khemaies . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00154.

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2019The Persistence of the 2008-2009 Recession and Insolvency Filings in Canada. (2019). Amine, Samir ; Predelus, Wilner. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00441.

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2017The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh. (2017). Law, Siong Hook ; Habibullah, Muzafar Shah ; Baharumshah, Ahmad Zubaidi ; Hook, Law Siong . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-49.

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2017The Long Memory Behavior of the EUR/USD Forward Premium. (2017). Hamzaoui, Nessrine ; Regaieg, Boutheina. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-57.

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2017Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach. (2017). , Tariq ; Saleh, Mohammad H. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-24.

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2017Study About the Minimum Value at Risk of Stock Index Futures Hedging Applying Exponentially Weighted Moving Average - Generalized Autoregressive Conditional Heteroskedasticity Model. (2017). Xu, Rong ; Li, Xingye. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-06-13.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2018Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-39.

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2018Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries. (2018). Tang, Bao-Jun ; Mikhaylov, Alexey Yurievich ; Nyangarika, Anthony Msafiri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-6.

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2019Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?. (2019). Buberkoku, Onder. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-23.

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2018Tourism in Iceland: Persistence and seasonality. (2018). Gil-Alana, Luis ; Huijbens, Edward H. In: Annals of Tourism Research. RePEc:eee:anture:v:68:y:2018:i:c:p:20-29.

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2017An approximate solution based on Jacobi polynomials for time-fractional convection–diffusion equation. (2017). Behroozifar, M ; Sazmand, A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:296:y:2017:i:c:p:1-17.

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2018Macroeconomic models with long dynamic memory: Fractional calculus approach. (2018). Tarasov, Vasily E ; Tarasova, Valentina V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:466-486.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2019Fluctuation and reform: A tale of two RMB markets. (2019). Shi, Kang ; Xu, Juanyi ; Wang, Lisheng ; Liang, Yousha. In: China Economic Review. RePEc:eee:chieco:v:53:y:2019:i:c:p:30-52.

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2018Perpetual learning and apparent long memory. (2018). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:343-365.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2017Analyzing the determinants of terrorist attacks and their market reactions. (2017). Managi, Shunsuke ; HALKOS, GEORGE ; Zisiadou, Argyro. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:54:y:2017:i:c:p:57-73.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2018On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2019Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data. (2019). Huang, Chia-Hsing ; Meng, Xiangcai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:131-148.

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More than 100 citations found, this list is not complete...

Richard T. Baillie is editor of


Journal
Journal of Empirical Finance

Works by Richard T. Baillie:


YearTitleTypeCited
1998Real and Spurious Long-Memory Properties of Stock-Market Data: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article6
2001Testing Target-Zone Models Using Efficient Method of Moments: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
2002The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics.
[Citation analysis]
article312
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 312
article
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
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article145
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 145
paper
1981Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors. In: Econometrica.
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article5
1983Testing Rational Expectations and Efficiency in the Foreign Exchange Market. In: Econometrica.
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article43
1983Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates In: Economics Letters.
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article0
1980Testing the permanent income hypothesis using a general rational lag formulation In: Economics Letters.
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article0
1980Predictions from ARMAX models In: Journal of Econometrics.
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article7
1987Inference in dynamic models containing surprise variables In: Journal of Econometrics.
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article8
1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
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article96
1990PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 96
paper
1996A minimum distance estimator for long-memory processes In: Journal of Econometrics.
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article26
1996Editors introduction: Fractional differencing and long memory processes In: Journal of Econometrics.
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article3
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
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article661
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
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article885
1993Statement by the editors In: Journal of Empirical Finance.
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article0
2002Price discovery and common factor models In: Journal of Financial Markets.
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article163
1997Central bank intervention and risk in the forward market In: Journal of International Economics.
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article89
2000Central bank intervention In: Journal of International Financial Markets, Institutions and Money.
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article3
2000Deviations from daily uncovered interest rate parity and the role of intervention In: Journal of International Financial Markets, Institutions and Money.
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article18
2000Intervention from an information perspective In: Journal of International Financial Markets, Institutions and Money.
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article43
2004Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates In: Journal of International Financial Markets, Institutions and Money.
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article8
2002Introduction In: International Journal of Forecasting.
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article1
2002Modeling and forecasting from trend-stationary long memory models with applications to climatology In: International Journal of Forecasting.
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article21
1986Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 In: International Journal of Forecasting.
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article0
1987Introduction In: International Journal of Forecasting.
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article0
1987Cointegration and models of exchange rate determination In: International Journal of Forecasting.
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article91
1991The search for equilibrium relationships in international finance: the case of the monetary model In: Journal of International Money and Finance.
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article33
1991The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model..(1991) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 33
paper
1993Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange In: Journal of International Money and Finance.
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article13
1994The long memory of the forward premium In: Journal of International Money and Finance.
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article122
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 122
paper
1997Papers in honor of Patrick C. McMahon In: Journal of International Money and Finance.
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article0
1997Why do central banks intervene? In: Journal of International Money and Finance.
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article132
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
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article165
2006Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article64
2005Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets In: Journal of International Money and Finance.
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article85
1986Estimation and testing of the term structure of the forward premium under rational expectations In: Journal of Macroeconomics.
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article0
1991The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990 In: Working Papers (Old Series).
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paper0
1992Post-Louvre intervention: did target zones stabilize the dollar? In: Working Papers (Old Series).
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paper20
1998Central bank intervention and overnight uncovered interest rate parity In: Working Papers (Old Series).
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paper2
1999Intervention as information: a survey In: Working Papers (Old Series).
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paper2
1989MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE. In: Columbia - Center for Futures Markets.
[Citation analysis]
paper5
1989MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE..(1989) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1988FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper0
1988STOCK RETURNS AND VOLATILITY In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper209
1988THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper5
1988ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper8
1989COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper5
1989INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper30
1991Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper0
1992A Generalized Method of Moments Estimator for Long-Memory Processes. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper1
1992A Generalized Method of Moments Estimator for Long-Memory Processes..(1992) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1992A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper0
1993Central Bank Intervention and Risk in the Forward Premium. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper1
1994Prediction from the Regression Model with one-way Error Components. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
paper5
1991Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper0
1992The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper8
1996Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model. In: Journal of Applied Econometrics.
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article213
1989Forecast Master: A Review. In: Journal of Applied Econometrics.
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article0
1991Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge. In: Journal of Applied Econometrics.
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article227
1984Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market. In: Oxford Economic Papers.
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article15
2005Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers.
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paper2
2006Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates In: Working Papers.
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paper1
2007Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach In: Working Papers.
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paper93
2007Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices In: Working Papers.
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paper41
1993Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models. In: Empirical Economics.
[Citation analysis]
article52
1981Interest Rates and Investment in West Germany. In: Empirical Economics.
[Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team