Richard T. Baillie : Citation Profile

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

25

H index

31

i10 index

5522

Citations

RESEARCH PRODUCTION:

43

Articles

31

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   44 years (1980 - 2024). See details.
   Cites by year: 125
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 20 (0.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba423
   Updated: 2025-07-05    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Kapetanios, George (2)

Diebold, Francis (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 (165)

Bollerslev, Tim (76)

Nielsen, Morten (73)

Caporale, Guglielmo Maria (63)

MORANA, CLAUDIO (57)

GUPTA, RANGAN (56)

Diebold, Francis (50)

Beine, Michel (50)

Andersen, Torben (45)

Laurent, Sébastien (40)

Baum, Christopher (31)

Cites to:

Bollerslev, Tim (56)

Diebold, Francis (28)

Hodrick, Robert (22)

Lewis, Karen (20)

Humpage, Owen (17)

Klein, Michael (16)

Frankel, Jeffrey (15)

Dominguez, Kathryn (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 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
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Richard T. Baillie (2025 and 2024)

YearTitle of citing document
2025The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2024Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Identifying the Hidden Nexus between Benford Law Establishment in Stock Market and Market Efficiency: An Empirical Investigation. (2025). Sarkandiz, M R. In: Papers. RePEc:arx:papers:2501.02674.

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2025An Empirical Approach toward the Interaction between Pension System and Demographic Dividend: Evidence of a Co-Integrated Socio-Economic Model of China. (2025). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2501.12144.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2024The Effect of the Hurst Parameter on Value at Risk Estimation in Fractional Geometric Brownian motion Price Simulation. (2024). Matina, Tendayi ; Mangwende, Edmore. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:12:p:1849-1857.

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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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2024Analyzing horizontal integration and market efficiency in platform enterprises: A case study of exchanges. (2024). Anwar, Sajid ; Liu, Min. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:2:p:1076-1089.

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202430 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024Do Professional Forecasters Follow Uncovered Interest Rate Parity?. (2024). Bürgi, Constantin ; Brgi, Constantin ; Song, Mengdi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11338.

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2025Persistence in Real GDP: Evidence from Europe and the US. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11764.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852.

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2025Persistence and Nonlinearities in the US Federal Funds Rate. (2025). Caporale, Guglielmo Maria ; Gil-Alana, Luis Alberiko. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11913.

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2024Unveiling COVID-19€™s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets. (2024). Samil, Samia ; Ferchichi, Monia Mokhtar ; Talbi, Mariem ; Ismaalia, Fatma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-19.

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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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2024Dynamics and function projection synchronization for the fractional-order financial risk system. (2024). Wang, Huihai ; Sun, Kehui ; Xu, Zhao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924011512.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; Fu, QI ; So, Jacky Yuk-Chow. 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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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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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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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Predicting the volatility of major energy commodity prices: The dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Vcha, Luk ; Barunk, Jozef. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400690x.

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2024The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates. (2024). Kitamura, Yoshihiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002941.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Price discovery share: An order invariant measure of price discovery. (2024). Sultan, Syed Galib ; Shen, Shulin ; Zivot, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007645.

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2024Estimating the precise form of uncovered interest parity under the Stock–Watson dynamic OLS approach. (2024). Wu, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s154461232400953x.

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2024Price discovery of climate risk and green bonds: A dynamic information leadership share approach. (2024). Goodell, John W ; Hou, Yang ; Oxley, Les ; Xu, Danyang. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011279.

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2024Portfolio optimization by enhanced LinUCB. (2024). Guo, Xingjian ; Mirza, Sultan Sikandar ; Zhang, Qin ; Ni, HE. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324012959.

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2025Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization. (2025). Wang, Guoqiang ; Tao, Jiyuan ; Bai, Yanqin ; Luo, Kangyang ; Gao, Xuerui ; Sun, Zhangshuang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500073x.

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

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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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2025Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2025On memory-augmented gated recurrent unit network. (2025). Yang, Maolin ; Li, Guodong. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:844-858.

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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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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024State-dependent intertemporal risk-return tradeoff: Further evidence. (2024). Chelikani, Surya ; Nam, Kiseok ; Marks, Joseph M. In: Journal of Economics and Business. RePEc:eee:jebusi:v:130:y:2024:i:c:s0148619524000031.

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

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2024A permutation entropy analysis of Bitcoin volatility. (2024). Verster, Tanja ; Obanya, Praise Otito ; Seitshiro, Modisane ; Olivier, Carel Petrus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:638:y:2024:i:c:s0378437124001171.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Tzavalis, Elias ; Smyrnakis, Dimitris ; 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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2024Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model. (2024). Wang, LU ; Peng, Lijuan ; Liang, Chao ; Yang, Baoying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004052.

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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 ; Tarchella, Salma ; Khalfaoui, Rabeh. 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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2024Exploring the use of emotional sentiment to understanding market response to unexpected corporate pivots. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Taffler, Richard ; Cioroianu, Iulia ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000977.

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2025The COVID-19 pandemic and feedback trading dynamics: Unveiling global patterns. (2025). Tang, Chia-Hsien ; Huang, Ya-Ling ; Chen, Chan-Shin ; Lee, Yen-Hsien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004318.

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

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2024A Jackknife Variance Estimator for Panel Regressions. (2024). Gospodinov, Nikolay ; Crump, Richard ; Gaffney, Ignacio Lopez. In: Staff Reports. RePEc:fip:fednsr:99064.

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2024Identifying the Frequency and Connectivity Dynamics of the US Economy. (2024). Tessmann, Mathias ; Pontes, Pedro Henrique ; Khodr, Omar Barroso ; de Oliveira, Marcelo ; Lima, Alexandre Vasconcelos. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:6:p:149-:d:1413576.

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2024General Fractional Economic Dynamics with Memory. (2024). Tarasov, Vasily E. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:15:p:2411-:d:1449011.

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2025Bayesian Tapered Narrowband Least Squares for Fractional Cointegration Testing in Panel Data. (2025). Alharbi, Nada Mohammedsaeed ; Rashash, Ali ; Olaniran, Saidat Fehintola ; Alzahrani, Asma Ahmad. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:10:p:1615-:d:1655783.

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2025Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market. (2025). Guse, Daniel Dumitru ; Saiu, Gabriel Robert ; Girlovan, Aura ; Tudor, Cristiana. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1134-:d:1624073.

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2024Resilience Amidst Turbulence: Unraveling COVID-19€™s Impact on Financial Stability through Price Dynamics and Investor Behavior in GCC Markets. (2024). Samil, Samia ; Ferchichi, Monia ; Talbi, Mariem ; Ismaalia, Fatma. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:16:y:2024:i:4:p:22.

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2025Delta Method Confidence Intervals for Linear Regression Processes With Long-memory Disturbances. (2025). Aga, Mosisa. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:12:y:2025:i:5:p:12.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: IEER Working Papers. RePEc:iee:wpaper:wp0125.

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2024Let the Laser Beam Connect the Dots: Forecasting and Narrating Stock Market Volatility. (2024). Gupta, Amulya ; Yuan, Jie ; Zhang, Zhu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:6:p:1400-1416.

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2024Oil and the Stock Market Revisited: A Mixed Functional VAR Approach. (2024). Cross, Jamie ; Chang, Yoosoon ; Bjørnland, Hilde ; Bjornland, Hilde C. In: CAEPR Working Papers. RePEc:inu:caeprp:2023005.

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2024Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. (2024). Nadarajah, Saralees ; Okorie, Idika E ; Nzeribe, Geraldine E ; Afuecheta, Emmanuel. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10340-9.

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

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2024Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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2025Analyzing Stationarity in World Coffee Prices. (2025). Gil-Alana, Luis ; Komatsu, Flores C. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10630-4.

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2025On the Efficiency of the Informal Currency Markets: The Case of the Cuban Peso. (2025). Garca-Figal, Alejandro ; Mulet, R ; Amaro, Daniel A ; Lage-Castellanos, Alejandro. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10638-w.

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2024Private and public debt convergence: a fractional cointegration approach. (2024). Gil-Alana, Luis ; Malmierca-Ordoqui, Maria ; Bermejo, Lorenzo. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:1:d:10.1007_s10663-023-09594-9.

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2025A study of the effectiveness of central bank intervention in BRICS countries. (2025). Deo, Malabika. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:22:y:2025:i:1:d:10.1007_s10368-024-00649-1.

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2024Volatility in U.S. Housing Sector and the REIT Equity Return. (2024). Alam, Masud. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09897-x.

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2025Time-varying predictability of TAIEX volatility. (2025). Pan, Ging-Ginq ; Shiu, Yung-Ming ; Wu, Tu-Cheng. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09212-9.

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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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2025Explaining the Great Moderation Exchange Rate Volatility Puzzle. (2025). Tang, Jenny ; Stavrakeva, Vania. In: IMF Economic Review. RePEc:pal:imfecr:v:73:y:2025:i:1:d:10.1057_s41308-024-00264-9.

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2024An empirical investigation of Bangladesh’s inflation dynamics: evaluating persistence and identifying structural breaks. (2024). Basher, Syed ; Rafa, Mujtaba Rafid. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04067-1.

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2024High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. (2024). Kuang, Wei. In: PLOS ONE. RePEc:plo:pone00:0303962.

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2025Shades of inflation targeting: insights from fractional integration. (2025). Janus, Jakub ; Dbrowski, Marek A ; Mucha, Krystian. In: MPRA Paper. RePEc:pra:mprapa:123455.

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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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2024Carbon Emissions Pricing: Linkages Between EU ETS Spot and Future Prices and Completeness of EU ETS Market. (2024). Varghese, Ann Mary ; Chatterjee, Debaleena ; Madhavan, Vinodh ; Pradhan, Rudra P ; Mondal, Saikat. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:4:p:450-470.

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2024Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey. (2024). Altun, Omer ; Ozkaya, Ata. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241243200.

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2024Conditional sum of squares estimation of k-factor GARMA models. (2024). Beaumont, Paul ; Smallwood, Aaron D. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:3:d:10.1007_s10182-023-00482-y.

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2024Time-frequency information transmission among financial markets: evidence from implied volatility. (2024). Tiwari, Aviral ; Qureshi, Fiza ; Naeem, Muhammad Abubakr ; Farid, Saqib ; Elheddad, Mohamed. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04266-y.

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2024Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk. (2024). Riccioni, Jessica ; Maggi, Mario ; Cerqueti, Roy. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-04742-z.

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2025Long-range dependence and asset return anomaly. (2025). Xiang, Yun ; Deng, Shijie. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06376-9.

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2024Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar. (2024). Gil-Alana, Luis ; Monge, Manuel ; Malmierca-Ordoqui, Maria. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:2:d:10.1007_s00181-023-02468-w.

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2024Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH. (2024). Rahman, Mohammad Mafizur ; Haneklaus, Nils ; Li, Binlin. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00607-x.

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2025Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w.

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2025The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5.

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2024Energy consumption prediction of a smart home using non-intrusive appliance load monitoring. (2024). Chabane, Lazhar ; Drid, Said ; Chrifi-Alaoui, Larbi ; Delahoche, Laurant. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:15:y:2024:i:3:d:10.1007_s13198-023-02209-3.

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2024To Subsidize Or Not to Subsidize: A Comparison of Market Scoring Rules and Continuous Double Auctions for Price Discovery. (2024). Dimitrov, Stanko ; Karimi, Majid. In: Information Systems Frontiers. RePEc:spr:infosf:v:26:y:2024:i:2:d:10.1007_s10796-023-10384-8.

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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]		article408
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: 408		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]		article14
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]		article111
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: 111		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]		article11
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article863
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article1162
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]		article270
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]		article25
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]		article154
2000The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article206
2006Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article95
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]		article125
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]		paper269
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]		paper176
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]		article281
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]		article322
2022A New Test for Market Efficiency and Uncovered Interest Parity In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2024On Robust Inference in Time Series Regression In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
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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