Richard T. Baillie : Citation Profile


Are you Richard T. Baillie?

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

26

H index

31

i10 index

4852

Citations

RESEARCH PRODUCTION:

43

Articles

29

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   27 years (1980 - 2007). See details.
   Cites by year: 179
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 268.    Total self citations: 20 (0.41 %)

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   Permalink: http://citec.repec.org/pba423
   Updated: 2021-11-28    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 (147)

Bollerslev, Tim (71)

MORANA, CLAUDIO (69)

Nielsen, Morten (60)

Caporale, Guglielmo Maria (56)

GUPTA, RANGAN (53)

Beine, Michel (47)

McAleer, Michael (46)

Andersen, Torben (44)

Diebold, Francis (39)

Laurent, Sébastien (34)

Cites to:

Bollerslev, Tim (41)

Granger, Clive (27)

Diebold, Francis (22)

Hodrick, Robert (18)

Humpage, Owen (17)

Lewis, Karen (16)

Klein, Michael (14)

Dominguez, Kathryn (14)

Frankel, Jeffrey (12)

Engle, Robert (10)

Sowell, Fallaw (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 International Financial Markets, Institutions and Money4
Journal of Business & Economic Statistics4
Journal of Applied Econometrics3
Econometrica2
Empirical Economics2
Economics Letters2

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 (2021 and 2020)


YearTitle of citing document
2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

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2021.

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2021The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach. (2021). Dufrenot, Gilles ; Pourroy, Marc ; Ginn, William. In: AMSE Working Papers. RePEc:aim:wpaimx:2130.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Fractional trends in unobserved components models. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.03988.

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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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2020Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2021Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181.

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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2021Order flow in the financial markets from the perspective of the Fractional L\{e}vy stable motion. (2021). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2105.02057.

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2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926.

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2021Understanding the nature of the long-range memory phenomenon in socioeconomic systems. (2021). Gontis, Vygintas ; Kaulakys, Bronislovas ; Kononovicius, Aleksejus ; Kazakevicius, Rytis. In: Papers. RePEc:arx:papers:2108.02506.

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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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2021Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2020The Shanghai- Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. (2020). Gilroy, Bernard ; Stoeckmann, Nico ; Feng, Yuanhua ; Peitz, Christian. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:427-438.

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2020Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819.

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2020Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets. (2020). Mallory, Mindy ; Hu, Zhepeng ; Garcia, Philip ; Serra, Teresa. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:6:p:825-840.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2021Reassessing the inflation uncertainty?inflation relationship in the tails. (2021). Panagiotidis, Theodore ; Konstantinou, Panagiotis ; Bampinas, Georgios. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:508-534.

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2020How does temperature vary over time?: evidence on the stationary and fractal nature of temperature fluctuations. (2020). Moen, Sigmund Hov ; Fortuna, Mariachiara ; Dagsvik, John K. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:883-908.

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2020Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2020). Gil-Alana, Luis ; GilAlana, Luis ; Caporale, Guglielmo Maria. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:174-185.

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2020Exchange Rates and Political Uncertainty: The Brexit Case. (2020). Trigilia, G ; Moramarco, G ; Manasse, P. In: Working Papers. RePEc:bol:bodewp:wp1141.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. (2020). McAleer, Michael ; Allen, David ; David, Allen ; Shelton, Peiris ; Manabu, Asai . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2.

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2020Causal relationships between inflation and inflation uncertainty. (2020). JAWADI, Fredj ; Barnett, William ; William, Barnett ; ZIED, FTITI . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:26:n:4.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA. (2020). Bala, Anju ; Gupta, Kapil. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:25-43.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Long Memory and Stock Market Efficiency: Case of Saudi Arabia. (2020). Lamouchi, Rim Ammar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-5.

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2021Changes in Demand for Crude Oil and its Correlation with Crude Oil and Stock Market Returns Volatilities: Evidence from Three Asian Oil Importing Countries. (2021). Hadhek, Zouhaier ; Lafi, Mosbah ; Mrad, Fatma ; Bouazizi, Tarek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-5.

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2020A note on power-law cross-correlated processes. (2020). Trinidad, J E ; Casado, M P ; Sanchez-Granero, M A ; Fernandez-Martinez, M. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920303143.

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2020Testing of fractional Brownian motion in a noisy environment. (2020). Burnecki, Krzysztof ; Balcerek, Micha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s096007792030494x.

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2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

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2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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2020Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. (2020). Krištoufek, Ladislav ; Roubaud, David ; Bouri, Elie ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:212-224.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Liquidity shocks: A new solution to the forward premium puzzle. (2020). Kumar, Vikram. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:445-454.

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2021Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective. (2021). Mu, Jinqi ; Wang, Jieru ; Lie, Jiayi ; Jiang, Yonghong. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:21-34.

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2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

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2020Risk premium or irrational expectations? An investigation into the causes of forward discount bias across 27 developed and developing economies forward rates. (2020). Altiti, Omar ; Miah, Fazlul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818300640.

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2020A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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2020A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306636.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Forecasting oil futures market volatility in a financialized world: Why speculative activities matter. (2020). Nguyen, Chi M ; Chan, Leo H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301153.

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2021Analysis of asymmetric response of exchange rate to interest rate differentials: The case of African Big 4. (2021). Salisu, Afees ; Musa, Abdullahi ; Mevweroso, Chioma R ; Aliyu, Victoria O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302072.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2020Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate. (2020). Miller, J. ; Park, Sungkeun ; Kim, Chang Sik ; Kaufmann, Robert K ; Chang, Yoosoon. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:274-294.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2021How puzzling is the forward premium puzzle? A meta-analysis. (2021). Zigraiova, Diana ; Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas. In: European Economic Review. RePEc:eee:eecrev:v:134:y:2021:i:c:s0014292121000672.

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2020Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.

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2020Intraday-of-the-week effects: What do the exchange rate data tell us?. (2020). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302031.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020Information shares in a two-tier FX market. (2020). Schreiber, Ben Z ; Piccotti, Louis R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35.

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2020Volatility forecasts, proxies and loss functions. (2020). Stark, Thomas ; Mangat, Manveer Kaur ; Reschenhofer, Erhard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:133-153.

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2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. (2020). Corbet, Shaen ; Gunay, Samet ; Goodell, John W. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303182.

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2020Reference forecasts for CO2 emissions from fossil-fuel combustion and cement production in Portugal. (2020). Pereira, Alfredo ; Belbute, Jose M. In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520303761.

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2020Short-term wind power forecasting approach based on Seq2Seq model using NWP data. (2020). Zhang, Guangyao ; Li, Yanting. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s036054422031478x.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Rare disaster risk and exchange rates: An empirical investigation of South Korean exchange rates under tension between the two Koreas. (2020). Park, Cheolbeom. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319303903.

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2021News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models. (2021). Ho, Kin-Yip ; Shi, Yanlin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309961.

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2021Is China a source of financial contagion?. (2021). Abdel-Qader, Waleed ; Akhtaruzzaman, MD ; Shams, Syed ; Hammami, Helmi. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310402.

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2021CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms. (2021). Zhang, Zhaoyong. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Urban, Jorg ; Ters, Kristyna. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2020Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544.

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2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2021The tail behavior of safe haven currencies: A cross-quantilogram analysis. (2021). Cho, Dooyeon ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301414.

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2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

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2021Return and volatility spillovers to African currencies markets. (2021). Mougoue, Mbodja ; Etoundi, Eric Martial. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000676.

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2021Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273.

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2021On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:511-530.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2021The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets. (2021). Xu, KE ; Chen, Yu-Lun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000820.

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2021A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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2021Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793.

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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]
article343
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: 343
article
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]
article161
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 161
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.
[Full Text][Citation analysis]
article46
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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article10
1987Inference in dynamic models containing surprise variables In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
[Full Text][Citation analysis]
article100
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: 100
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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article6
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
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article743
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
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article1006
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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article217
1997Central bank intervention and risk in the forward market In: Journal of International Economics.
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article90
2000Central bank intervention In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article3
2000Deviations from daily uncovered interest rate parity and the role of intervention In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article21
2000Intervention from an information perspective In: Journal of International Financial Markets, Institutions and Money.
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article45
2004Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article8
2002Introduction In: International Journal of Forecasting.
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article0
2002Modeling and forecasting from trend-stationary long memory models with applications to climatology In: International Journal of Forecasting.
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article30
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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article1
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article14
1994The long memory of the forward premium In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article127
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 127
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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article142
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article182
2006Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article77
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: 77
paper
1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article90
1986Estimation and testing of the term structure of the forward premium under rational expectations In: Journal of Macroeconomics.
[Full Text][Citation analysis]
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).
[Full Text][Citation analysis]
paper0
1992Post-Louvre intervention: did target zones stabilize the dollar? In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper20
1998Central bank intervention and overnight uncovered interest rate parity In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper2
1999Intervention as information: a survey In: Working Papers (Old Series).
[Full Text][Citation analysis]
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]
paper231
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]
paper147
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]
paper8
1992The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis..(1992) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
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
1996Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model. In: Journal of Applied Econometrics.
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article250
1989Forecast Master: A Review. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article0
1991Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article264
1984Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market. In: Oxford Economic Papers.
[Full Text][Citation analysis]
article15
2005Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers.
[Full Text][Citation analysis]
paper42
2006Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates In: Working Papers.
[Full Text][Citation analysis]
paper1
2007Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach In: Working Papers.
[Full Text][Citation analysis]
paper109
2007Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices In: Working Papers.
[Full Text][Citation analysis]
paper44
1993Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models. In: Empirical Economics.
[Citation analysis]
article55
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 March, 2 2021. Contact: CitEc Team