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

31

i10 index

5412

Citations

RESEARCH PRODUCTION:

43

Articles

31

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   44 years (1980 - 2024). See details.
   Cites by year: 123
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 20 (0.37 %)

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   Permalink: http://citec.repec.org/pba423
   Updated: 2024-11-04    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Diebold, Francis (2)

Kapetanios, George (2)

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 (161)

Bollerslev, Tim (76)

Nielsen, Morten (73)

Caporale, Guglielmo Maria (60)

MORANA, CLAUDIO (57)

GUPTA, RANGAN (56)

Beine, Michel (50)

Diebold, Francis (47)

Andersen, Torben (45)

Laurent, Sébastien (38)

Baum, Christopher (31)

Cites to:

Bollerslev, Tim (56)

Diebold, Francis (28)

Hodrick, Robert (22)

Lewis, Karen (20)

Humpage, Owen (17)

Klein, Michael (16)

Dominguez, Kathryn (15)

Frankel, Jeffrey (15)

Froot, Kenneth (14)

Bekaert, Geert (12)

Engle, Robert (11)

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
Empirical Economics2
Economics Letters2
Econometrica2

Working Papers Series with more than one paper published# docs
Working Papers (Old Series) / Federal Reserve Bank of Cleveland4
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Richard T. Baillie (2024 and 2023)

YearTitle of citing document
2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Testing 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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2023Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2023Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897.

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2023Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market. (2023). Zhang, KE. In: Papers. RePEc:arx:papers:2304.04676.

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2023NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years. (2023). Press, William H. In: Papers. RePEc:arx:papers:2305.08241.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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2023The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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2023Persistence in Climate Risk Measures. (2023). Umar, Hassana Babangida ; Akpa, Emeka Okoro ; Usman, Nuruddeen. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:80.

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2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574.

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2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

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2024A general asymptotic theory for time-series models. (2010). McAleer, Michael ; Ling, Shiqing. In: Statistica Neerlandica. RePEc:bla:stanee:v:64:y:2010:i:1:p:97-111.

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2023Oil and the Stock Market Revisited: A mixed functional VAR approach. (2023). Bjørnland, Hilde ; Cross, Jamie L ; Chang, Yoosoon ; Bjrnland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0114.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-48.

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2023COVID-era forecasting: Google trends and window and model averaging. (2023). Ryan-Saha, Joshua ; Ross, Gordon ; Llewellyn, Mary. In: Annals of Tourism Research. RePEc:eee:anture:v:103:y:2023:i:c:s0160738323001330.

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2023Forecast energy demand, CO2 emissions and energy resource impacts for the transportation sector. (2023). Tontiwachwuthikul, P ; Wang, Z ; Tang, Y ; Javanmard, Emami M. In: Applied Energy. RePEc:eee:appene:v:338:y:2023:i:c:s0306261923001940.

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2024Energy demand forecasting using adaptive ARFIMA based on a novel dynamic structural break detection framework. (2024). Amindavar, Hamidreza ; Nikseresht, Ali. In: Applied Energy. RePEc:eee:appene:v:353:y:2024:i:pa:s0306261923014332.

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2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

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2023How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644.

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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

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2024Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures. (2024). Park, Sung Y. ; Joo, Young C. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000524.

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2023GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Baillie, Richard T ; Rho, Seunghwa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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2023Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. (2023). Miu, Peter ; Li, Leon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:367-385.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Foreign exchange market return spillovers and connectedness among African countries. (2023). Osei, Kofi Acheampong ; Kang, Sang Hoon ; Mensah, Lord Kwaku ; Boakye, Robert Owusu. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000212.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307.

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2023Bitcoin vs. fiat currencies: Insights from extreme dependence and risk spillover analysis with financial markets. (2023). Galariotis, Emilios ; Bouri, Elie ; Abid, Ilyes ; Mzoughi, Hela ; Guesmi, Khaled. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003228.

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2023Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market. (2023). Yang, Jimmy J ; Chen, Yu-Lun ; Xu, KE. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300412x.

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2023The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19. (2023). Çevik, Emrah ; Yildirim, Durmu Ari ; Dibooglu, Sel ; Gunay, Samet ; Cevik, Emrah Ismail. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411.

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2023Analyzing commodity futures and stock market indices: Hedging strategies using asymmetric dynamic conditional correlation models. (2023). Obeid, Hassan ; Alshammari, Saad. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004531.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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2023Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527.

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2024Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends. (2024). Poza, Carlos ; Claudio-Quiroga, Gloria ; Monge, Manuel. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000744.

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2023Which COVID-19 information really impacts stock markets?. (2023). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749.

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2023Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets. (2023). Kinkyo, Takuji ; Xu, Lei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s104244312300032x.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2023Return predictability with endogenous growth. (2023). Tamoni, Andrea ; Bretscher, Lorenzo ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001642.

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2023A new test for market efficiency and uncovered interest parity. (2023). Ho, Kun ; Kapetanios, George ; Diebold, Francis X ; Baillie, Richard T. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001681.

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2023Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000259.

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2023Oil–gas price relationships on three continents: Disruptions and equilibria. (2023). Russo, Marianna ; Paraschiv, Florentina ; Halser, Christoph. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000375.

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2023Hedging with futures during nonconvergence in commodity markets. (2023). Karali, Berna ; Goswami, Alankrita ; Adjemian, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000545.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach. (2023). Vasa, Laszlo ; Roy, Jewel Kumar ; Kolte, Ashutosh. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006596.

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2023Volatility feedback effect and risk-return tradeoff. (2023). Nam, Kiseok ; Marks, Joseph M ; Chelikani, Surya. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:49-65.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Smyrnakis, Dimitris ; Tzavalis, Elias ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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2023Adaptive short-term wind power forecasting with concept drifts. (2023). Su, Yan ; Wu, Zhenyu ; Li, Yanting. In: Renewable Energy. RePEc:eee:renene:v:217:y:2023:i:c:s0960148123010601.

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2023Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.

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2023What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis. (2023). Gu, Ming ; Chen, Haiqiang ; Arkorful, Gideon Bruce ; Liu, Xiaoqun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:88:y:2023:i:c:p:141-153.

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2023Growth vs value investing: Persistence and time trend before and after COVID-19. (2023). Parada, Jose Luis ; Lazcano, Ana ; Monge, Manuel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001101.

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2024The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods. (2024). Hammoudeh, Shawkat ; Khalfaoui, Rabeh ; Tarchella, Salma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002519.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2024Prediction of Gaussian Volterra processes with compound Poisson jumps. (2024). Sottinen, Tommi ; Shokrollahi, Foad ; Almani, Hamidreza Maleki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000233.

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2023An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552.

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2023.

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2023Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. (2023). Paul, Biswajit ; Bagchi, Bhaskar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:64-:d:1045044.

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2023Coupling the Empirical Wavelet and the Neural Network Methods in Order to Forecast Electricity Price. (2023). Bannour, Nawres ; Boubaker, Heni. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:246-:d:1126677.

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2023.

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2023.

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2023Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks. (2023). Yoon, Seong-Min ; Mensi, Walid ; Jiang, Zhuhua. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2193-:d:1045871.

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2023.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-04121327.

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2023INTERLINKA TERLINKAGE OF M GE OF MACROECONOMIC UNCER CROECONOMIC UNCERTAINTY AND MACROECONOMIC PERFORMANCE: EVIDENCE FROM ASEAN-5 COUNTRIES PANEL VAR. (2023). Afin, Rifai. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:26:y:2023:i:1b:p:39-68.

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2023Oil and the Stock Market Revisited: A Mixed Functional VAR Approach. (2023). Bjørnland, Hilde ; Chang, Yoosoon ; Bjornland, Hilde C. In: CAEPR Working Papers. RePEc:inu:caeprp:2023005.

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2023A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options. (2023). Chen, Zhang-Hangjian ; Xiong, Xiong ; Li, Sai-Ping ; Cai, Mei-Ling ; Ren, Fei. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10268-0.

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2024Measuring the Resilience to the Covid-19 Pandemic of Eurozone Economies with Their 2050 Forecasts. (2024). Wall, John ; Rostan, Alexandra. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10425-z.

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2023Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. (2023). Babalos, Vassilios ; Kiohos, Apostolos ; Koulakiotis, Athanasios ; Kyriakou, Maria I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09879-5.

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2024Quantifying the non-Gaussian gain. (2024). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00338-9.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2024Inflation and Its Uncertainty: Evidence from Indonesia and the Philippines. (2024). Kuncoro, Haryo. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:16:y:2024:i:2:p:231-247.

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2023Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis. (2023). Aftab, Muhammad ; Qureshi, Saba. In: Global Business Review. RePEc:sae:globus:v:24:y:2023:i:6:p:1180-1204.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8.

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2023Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

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2023Efficiency of Wheat Futures across APMC Mandis. (2023). Singh, Rahul Kumar. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00348-9.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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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]		article405
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 405		article
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]		article194
1993Cointegration, Fractional Cointegration, and Exchange RAte Dynamics..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 194		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]		article57
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]		article13
1987Inference in dynamic models containing surprise variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1992Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics.
[Full Text][Citation analysis]		article110
1990PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 110		paper
1996A minimum distance estimator for long-memory processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
1996Editors introduction: Fractional differencing and long memory processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article842
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article1104
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]		article266
1997Central bank intervention and risk in the forward market In: Journal of International Economics.
[Full Text][Citation analysis]		article97
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]		article24
2000Intervention from an information perspective In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article52
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]		article39
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]		article1
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]		article92
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]		article35
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 nother version. Agregated cites: 35		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]		article16
1994The long memory of the forward premium In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article142
1993The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 142		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]		article152
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article204
2006Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article91
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]		article124
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]		paper1
1992Post-Louvre intervention: did target zones stabilize the dollar? In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper26
1998Central bank intervention and overnight uncovered interest rate parity In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper3
1999Intervention as information: a survey In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper3
1989MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE. In: Columbia - Center for Futures Markets.
[Citation analysis]		paper6
1989MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE..(1989) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 6		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]		paper1
1988STOCK RETURNS AND VOLATILITY In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper267
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]		paper7
1989INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper174
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]		paper2
1992A Generalized Method of Moments Estimator for Long-Memory Processes..(1992) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1992A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis. In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]		paper9
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 nother version. Agregated cites: 9		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]		article278
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]		article320
2022A New Test for Market Efficiency and Uncovered Interest Parity In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024On Robust Inference in Time Series Regression In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
1984Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market. In: Oxford Economic Papers.
[Full Text][Citation analysis]		article16
2005Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2005Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? In: Working Papers.
[Full Text][Citation analysis]		paper6
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]		paper15
2007Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices In: Working Papers.
[Full Text][Citation analysis]		paper51
1993Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models. In: Empirical Economics.
[Citation analysis]		article70
1981Interest Rates and Investment in West Germany. In: Empirical Economics.
[Citation analysis]		article1

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