25
H index
31
i10 index
5489
Citations
Michigan State University (50% share) | 25 H index 31 i10 index 5489 Citations RESEARCH PRODUCTION: 43 Articles 31 Papers EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Richard T. Baillie. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers (Old Series) / Federal Reserve Bank of Cleveland | 4 |
NBER Working Papers / National Bureau of Economic Research, Inc | 2 |
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2024 | Geometric 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 |
2025 | Identifying 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 |
2025 | An 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 |
2025 | Assessing 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 |
2024 | Exchange 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 |
2024 | 30 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 |
2024 | Energy 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 |
2024 | Dynamics 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 |
2025 | A 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 |
2024 | Stable 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 |
2024 | Hedging 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 |
2024 | Forecasting 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 |
2024 | Volatility 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 |
2024 | Combining 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 |
2024 | Dynamic 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 |
2024 | An 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 |
2024 | The 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 |
2024 | Forecasting 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 |
2024 | Time-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 |
2024 | A 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 |
2024 | Price 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 |
2024 | Estimating 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 |
2024 | Price 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 |
2024 | Portfolio 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 |
2024 | Chinese 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 |
2024 | Contagion 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 |
2024 | Reconciling 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 |
2024 | Quantile 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 |
2024 | A 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 |
2024 | The 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 |
2024 | Crude 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 |
2024 | The 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 |
2024 | Performance 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 |
2025 | The 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 |
2024 | Prediction 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 |
2024 | Let 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 |
2024 | Oil 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 |
2024 | Measuring 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 |
2025 | A 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 |
2024 | Quantifying 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 |
2025 | Explaining 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 |
2025 | Shades 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 |
2024 | Inflation 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 |
2024 | Carbon 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 |
2024 | Domestic 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 |
2024 | Time-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 |
2024 | Statistical 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 |
2024 | Fractional 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 |
2024 | Dynamic 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 |
2024 | Energy 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 |
2024 | To 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 |
2024 | Rough 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 |
2024 | Uncertainty 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 |
2024 | Dynamic 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 |
2024 | Hedge 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 |
2024 | Time?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 |
2024 | Calibration 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 |
Journal ![]() | ![]() |
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Journal of Empirical Finance |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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1998 | Real and Spurious Long-Memory Properties of Stock-Market Data: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 6 |
2001 | Testing Target-Zone Models Using Efficient Method of Moments: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
2002 | The Message in Daily Exchange Rates: A Conditional-Variance Tale. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 406 |
1989 | The 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] | article | 194 |
1993 | Cointegration, 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 | |
1981 | Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors. In: Econometrica. [Full Text][Citation analysis] | article | 5 |
1983 | Testing Rational Expectations and Efficiency in the Foreign Exchange Market. In: Econometrica. [Full Text][Citation analysis] | article | 57 |
1983 | Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
1980 | Testing the permanent income hypothesis using a general rational lag formulation In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
1980 | Predictions from ARMAX models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
1987 | Inference in dynamic models containing surprise variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
1992 | Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 111 |
1990 | PREDICTION 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 | |
1996 | A minimum distance estimator for long-memory processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
1996 | Editors introduction: Fractional differencing and long memory processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
1996 | Long memory processes and fractional integration in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 853 |
1996 | Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1150 |
1993 | Statement by the editors In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2002 | Price discovery and common factor models In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 270 |
1997 | Central bank intervention and risk in the forward market In: Journal of International Economics. [Full Text][Citation analysis] | article | 97 |
2000 | Central bank intervention In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 3 |
2000 | Deviations from daily uncovered interest rate parity and the role of intervention In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 25 |
2000 | Intervention from an information perspective In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 52 |
2004 | Measuring 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] | article | 8 |
2002 | Introduction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2002 | Modeling and forecasting from trend-stationary long memory models with applications to climatology In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 39 |
1986 | Handbook 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] | article | 1 |
1987 | Introduction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
1987 | Cointegration and models of exchange rate determination In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 92 |
1991 | The search for equilibrium relationships in international finance: the case of the monetary model In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 35 |
1991 | The 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 | |
1993 | Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
1994 | The long memory of the forward premium In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 142 |
1993 | The 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 | |
1997 | Papers in honor of Patrick C. McMahon In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
1997 | Why do central banks intervene? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 154 |
2000 | The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 206 |
2006 | Do asymmetric and nonlinear adjustments explain the forward premium anomaly? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 93 |
1990 | A 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] | article | 124 |
1986 | Estimation and testing of the term structure of the forward premium under rational expectations In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
1991 | The 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] | paper | 1 |
1992 | Post-Louvre intervention: did target zones stabilize the dollar? In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 26 |
1998 | Central bank intervention and overnight uncovered interest rate parity In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 3 |
1999 | Intervention as information: a survey In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 3 |
1989 | MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE. In: Columbia - Center for Futures Markets. [Citation analysis] | paper | 6 |
1989 | MODELING 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 | |
1988 | FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 1 |
1988 | STOCK RETURNS AND VOLATILITY In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 268 |
1988 | THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 5 |
1988 | ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 8 |
1989 | COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 7 |
1989 | INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 175 |
1991 | Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 0 |
1992 | A Generalized Method of Moments Estimator for Long-Memory Processes. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 2 |
1992 | A 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 | |
1992 | A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 9 |
1992 | The 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 | |
1993 | Central Bank Intervention and Risk in the Forward Premium. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 1 |
1994 | Prediction from the Regression Model with one-way Error Components. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 5 |
1991 | Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 0 |
1996 | Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 279 |
1989 | Forecast Master: A Review. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
1991 | Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 321 |
2022 | A New Test for Market Efficiency and Uncovered Interest Parity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | On Robust Inference in Time Series Regression In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
1984 | Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market. In: Oxford Economic Papers. [Full Text][Citation analysis] | article | 16 |
2005 | Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2005 | Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2006 | Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
2007 | Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices In: Working Papers. [Full Text][Citation analysis] | paper | 51 |
1993 | Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models. In: Empirical Economics. [Citation analysis] | article | 70 |
1981 | Interest Rates and Investment in West Germany. In: Empirical Economics. [Citation analysis] | article | 1 |
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