Richard T. Baillie : Citation Profile


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

25

H index

31

i10 index

5489

Citations

RESEARCH PRODUCTION:

43

Articles

31

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   44 years (1980 - 2024). See details.
   Cites by year: 124
   Journals where Richard T. Baillie has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 20 (0.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba423
   Updated: 2025-04-19    RAS profile: 2023-03-10    
   Missing citations? Add them    Incorrect content? Let us know

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 (162)

Bollerslev, Tim (76)

Nielsen, Morten (73)

Caporale, Guglielmo Maria (60)

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


Production by document typepaperarticle19801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 25Most cited documents12345678910111213141516171819202122232425262705001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

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
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 (2025 and 2024)


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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Oil 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2.

Full description at Econpapers || Download paper

2024Uncertainty and the uncovered interest parity condition: How are they related?. (2024). Terrones, Marco ; Ramírez-Rondán, Nelson R. ; Ramrez-Rondn, Nelson R. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:160:y:2024:i:4:d:10.1007_s10290-024-00539-3.

Full description at Econpapers || Download paper

2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Hedge and safe haven role of commodities for the US and Chinese equity markets. (2024). Naifar, Nader ; Siddique, Asima ; Mujtaba, Ghulam ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2381-2414.

Full description at Econpapers || Download paper

2024Time?varying price discovery in regular and microbitcoin futures. (2024). Yang, Jimmy J ; Chen, Yulun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:103-121.

Full description at Econpapers || Download paper

2024Calibration in the “real world” of a partially specified stochastic volatility model. (2024). Mariani, Francesca ; Fatone, Lorella ; Zirilli, Francesco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

Richard T. Baillie is editor of


Journal  ↓  ↓
Journal of Empirical Finance

Works by Richard T. Baillie:


Year  ↓Title  ↓Type  ↓Cited  ↓
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]
article406
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: 406
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]
article10
1996Long memory processes and fractional integration in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article853
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]
article1150
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]
article93
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]
paper268
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]
paper175
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]
article279
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]
article321
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team