Richard T. Baillie : Citation Profile


Are you Richard T. Baillie?

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

25

H index

29

i10 index

4571

Citations

RESEARCH PRODUCTION:

43

Articles

29

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   27 years (1980 - 2007). See details.
   Cites by year: 169
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 240.    Total self citations: 19 (0.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba423
   Updated: 2020-10-24    RAS profile: 2013-11-12    
   Missing citations? Add them    Incorrect content? Let us know

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 (136)

Bollerslev, Tim (71)

MORANA, CLAUDIO (67)

Nielsen, Morten (59)

Caporale, Guglielmo Maria (55)

GUPTA, RANGAN (50)

Beine, Michel (48)

McAleer, Michael (44)

Andersen, Torben (43)

Diebold, Francis (39)

Laurent, Sébastien (34)

Cites to:

Bollerslev, Tim (41)

Granger, Clive (27)

Diebold, Francis (22)

Hodrick, Robert (18)

Humpage, Owen (17)

Dominguez, Kathryn (14)

Klein, Michael (14)

Frankel, Jeffrey (12)

Engle, Robert (10)

Kaminsky, Graciela (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
Empirical Economics2
Econometrica2
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 (2020 and 2019)


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

Full description at Econpapers || Download paper

2019Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?. (2019). Terrones, Marco ; Ramírez-Rondán, N.R. ; Ramirez-Rondan, N R. In: Working Papers. RePEc:apc:wpaper:156.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

Full description at Econpapers || Download paper

2019iCurrency?. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1911.01272.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Energy Consumption in the GCC Countries: Evidence on Persistence. (2019). Monge, Manuel ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7470.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Cycles and Long-Range Behaviour in the European Stock Market. (2019). Caporale, Guglielmo Maria ; Poza, Carlos ; Gil-Alana, Luis A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7943.

Full description at Econpapers || Download paper

2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET. (2019). Bag, Dinabandhu. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:4:p:113-132.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering. (2019). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:127:y:2019:i:c:p:334-341.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Climate change implications for the catastrophe bonds market: An empirical analysis. (2019). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:274-294.

Full description at Econpapers || Download paper

2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

Full description at Econpapers || Download paper

2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

Full description at Econpapers || Download paper

2019The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC). (2019). Ogebe, Joseph O ; Adewuyi, Adeolu O. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:229-249.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal. (2019). Wanas, Idries Mohammad ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon ; Hamdi, Atef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:104-120.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

Full description at Econpapers || Download paper

2019Probabilistic forecast reconciliation with applications to wind power and electric load. (2019). Jeon, Joo Young ; Petropoulos, Fotios ; Panagiotelis, Anastasios. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:2:p:364-379.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019The Fisher puzzle, real rate anomaly, and Wicksell effect. (2019). Anari, Ali ; Kolari, James. In: Journal of Empirical Finance. RePEc:eee:empfin:v:52:y:2019:i:c:p:128-148.

Full description at Econpapers || Download paper

2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628.

Full description at Econpapers || Download paper

2019Long run analysis of crude oil portfolios. (2019). Cerqueti, Roy ; Fanelli, Viviana ; Rotundo, Giulia. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:183-205.

Full description at Econpapers || Download paper

2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

Full description at Econpapers || Download paper

2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

Full description at Econpapers || Download paper

2019Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826.

Full description at Econpapers || Download paper

2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

Full description at Econpapers || Download paper

2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

Full description at Econpapers || Download paper

2019What the hack: Systematic risk contagion from cyber events. (2019). Gurdgiev, Constantin ; Corbet, Shaen. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521919300274.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019The impact of tick-size reductions in foreign currency futures markets. (2019). Tse, Yiuman ; Martinez, Valeria. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:32-38.

Full description at Econpapers || Download paper

2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

Full description at Econpapers || Download paper

2019Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. (2019). Kang, Sanghoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019What is a better cross-hedge for energy: Equities or other commodities?. (2019). Olson, Eric ; Wohar, Mark E ; Vivian, Andrew. In: Global Finance Journal. RePEc:eee:glofin:v:42:y:2019:i:c:s1044028317302259.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.

Full description at Econpapers || Download paper

2019Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.

Full description at Econpapers || Download paper

2019Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis. (2019). Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:241-263.

Full description at Econpapers || Download paper

2019Does risk premium help uncover the uncovered interest parity failure?. (2019). Kumar, Satish. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118302725.

Full description at Econpapers || Download paper

2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

Full description at Econpapers || Download paper

2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

Full description at Econpapers || Download paper

2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33.

Full description at Econpapers || Download paper

2019Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:1-15.

Full description at Econpapers || Download paper

2020Price discovery in agricultural commodity markets: Do speculators contribute?. (2020). Wellenreuther, Claudia ; Stefan, Martin ; Siklos, Pierre L ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300941.

Full description at Econpapers || Download paper

2019Lithium: Production and estimated consumption. Evidence of persistence. (2019). Monge, Manuel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:198-202.

Full description at Econpapers || Download paper

2019Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:399-409.

Full description at Econpapers || Download paper

2019Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management. (2019). Tiwari, Aviral ; Sarwar, Suleman ; Khalfaoui, Rabeh. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:22-32.

Full description at Econpapers || Download paper

2019Hedging U.S. metals & mining Industrys credit risk with industrial and precious metals. (2019). Shahzad, Syed Jawad Hussain ; Kenourgios, Dimitris ; Hussain, Syed Jawad ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:9.

Full description at Econpapers || Download paper

2020Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency. (2020). Wahab, Bashir ; Adewuyi, Adeolu O ; Adeboye, Olusegun S. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305987.

Full description at Econpapers || Download paper

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]
article329
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: 329
article
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]
article150
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 150
paper
1981Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors. In: Econometrica.
[Full Text][Citation analysis]
article5
1983Testing Rational Expectations and Efficiency in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]
article44
1983Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates In: Economics Letters.
[Full Text][Citation analysis]
article0
1980Testing the permanent income hypothesis using a general rational lag formulation In: Economics Letters.
[Full Text][Citation analysis]
article0
1980Predictions from ARMAX models In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
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.
[Full Text][Citation analysis]
article26
1996Editors introduction: Fractional differencing and long memory processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article5
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article702
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]
article956
1993Statement by the editors In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article0
2002Price discovery and common factor models In: Journal of Financial Markets.
[Full Text][Citation analysis]
article189
1997Central bank intervention and risk in the forward market In: Journal of International Economics.
[Full Text][Citation analysis]
article88
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.
[Full Text][Citation analysis]
article44
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.
[Full Text][Citation analysis]
article0
2002Modeling and forecasting from trend-stationary long memory models with applications to climatology In: International Journal of Forecasting.
[Full Text][Citation analysis]
article25
1986Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
1987Introduction In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
1987Cointegration and models of exchange rate determination In: International Journal of Forecasting.
[Full Text][Citation analysis]
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]
article13
1994The long memory of the forward premium In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article125
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 125
paper
1997Papers in honor of Patrick C. McMahon In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article0
1997Why do central banks intervene? In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article139
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article177
2006Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article73
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: 73
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]
article89
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]
paper219
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]
paper140
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.
[Full Text][Citation analysis]
article229
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]
article249
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]
paper2
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]
paper97
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 October, 6 2020. Contact: CitEc Team