Richard T. Baillie

Names

Identifer

Contact

Affiliations

• Michigan State University / Economics Department (weight: 50%)
  • EDIRC entry
  • location:
• Queen Mary University of London / School of Economics and Finance (weight: 50%)
  • EDIRC entry
  • location:

Research profile

author of:

• Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
  Journal of Business & Economic Statistics, American Statistical Association (1998)
  by Baillie, Richard T
  (ReDIF-article, bes:jnlbes:v:16:y:1998:i:3:p:273-76)
• Testing Target-Zone Models Using Efficient Method of Moments: Comment
  Journal of Business & Economic Statistics, American Statistical Association (2001)
  by Baillie, Richard T & Han, Young-Wook
  (ReDIF-article, bes:jnlbes:v:19:y:2001:i:3:p:273-76)
• The Message in Daily Exchange Rates: A Conditional-Variance Tale
  Journal of Business & Economic Statistics, American Statistical Association (2002)
  by Baillie, Richard T & Bollerslev, Tim
  (ReDIF-article, bes:jnlbes:v:20:y:2002:i:1:p:60-68)
• The Message in Daily Exchange Rates: A Conditional-Variance Tale
  Journal of Business & Economic Statistics, American Statistical Association (1989)
  by Baillie, Richard T & Bollerslev, Tim
  (ReDIF-article, bes:jnlbes:v:7:y:1989:i:3:p:297-305)
• Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
  Journal of Finance, American Finance Association (1994)
  by Baillie, Richard T & Bollerslev, Tim
  (ReDIF-article, bla:jfinan:v:49:y:1994:i:2:p:737-45)
• Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
  Econometrica, Econometric Society (1981)
  by Baillie, Richard T
  (ReDIF-article, ecm:emetrp:v:49:y:1981:i:5:p:1331-37)
• Testing Rational Expectations and Efficiency in the Foreign Exchange Market
  Econometrica, Econometric Society (1983)
  by Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C
  (ReDIF-article, ecm:emetrp:v:51:y:1983:i:3:p:553-63)
• Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
  Economics Letters, Elsevier (1983)
  by Baillie, Richard T.
  (ReDIF-article, eee:ecolet:v:13:y:1983:i:2-3:p:201-206)
• Testing the permanent income hypothesis using a general rational lag formulation
  Economics Letters, Elsevier (1980)
  by Baillie, Richard T. & McMahon, Patrick C. & Smyth, David J.
  (ReDIF-article, eee:ecolet:v:5:y:1980:i:1:p:39-43)
• Predictions from ARMAX models
  Journal of Econometrics, Elsevier (1980)
  by Baillie, Richard T.
  (ReDIF-article, eee:econom:v:12:y:1980:i:3:p:365-374)
• Inference in dynamic models containing 'surprise' variables
  Journal of Econometrics, Elsevier (1987)
  by Baillie, Richard T.
  (ReDIF-article, eee:econom:v:35:y:1987:i:1:p:101-117)
• Prediction in dynamic models with time-dependent conditional variances
  Journal of Econometrics, Elsevier (1992)
  by Baillie, Richard T. & Bollerslev, Tim
  (ReDIF-article, eee:econom:v:52:y:1992:i:1-2:p:91-113)
• A minimum distance estimator for long-memory processes
  Journal of Econometrics, Elsevier (1996)
  by Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T.
  (ReDIF-article, eee:econom:v:71:y:1996:i:1-2:p:249-264)
• Editors' introduction: Fractional differencing and long memory processes
  Journal of Econometrics, Elsevier (1996)
  by Baillie, Richard T. & King, Maxwell L.
  (ReDIF-article, eee:econom:v:73:y:1996:i:1:p:1-3)
• Long memory processes and fractional integration in econometrics
  Journal of Econometrics, Elsevier (1996)
  by Baillie, Richard T.
  (ReDIF-article, eee:econom:v:73:y:1996:i:1:p:5-59)
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
  Journal of Econometrics, Elsevier (1996)
  by Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole
  (ReDIF-article, eee:econom:v:74:y:1996:i:1:p:3-30)
• Journal of Empirical Finance (RePEc:repec:eee:empfin)
  from Elsevier as editor
• Statement by the editors
  Journal of Empirical Finance, Elsevier (1993)
  by Baillie, Richard T. & Palm, Franz C. & Pfann, Gerard A. & Vermaelen, Theo J. & Wolff, Christian C. P.
  (ReDIF-article, eee:empfin:v:1:y:1993:i:1:p:1-2)
• Price discovery and common factor models
  Journal of Financial Markets, Elsevier (2002)
  by Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana
  (ReDIF-article, eee:finmar:v:5:y:2002:i:3:p:309-321)
• Central bank intervention and risk in the forward market
  Journal of International Economics, Elsevier (1997)
  by Baillie, Richard T. & P. Osterberg, William
  (ReDIF-article, eee:inecon:v:43:y:1997:i:3-4:p:483-497)
• Central bank intervention
  Journal of International Financial Markets, Institutions and Money, Elsevier (2000)
  by Baillie, Richard T.
  (ReDIF-article, eee:intfin:v:10:y:2000:i:3-4:p:225-228)
• Deviations from daily uncovered interest rate parity and the role of intervention
  Journal of International Financial Markets, Institutions and Money, Elsevier (2000)
  by Baillie, Richard T. & Osterberg, William P.
  (ReDIF-article, eee:intfin:v:10:y:2000:i:3-4:p:363-379)
• Intervention from an information perspective
  Journal of International Financial Markets, Institutions and Money, Elsevier (2000)
  by Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P.
  (ReDIF-article, eee:intfin:v:10:y:2000:i:3-4:p:407-421)
• Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
  Journal of International Financial Markets, Institutions and Money, Elsevier (2004)
  by Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook
  (ReDIF-article, eee:intfin:v:14:y:2004:i:5:p:401-418)
• Introduction
  International Journal of Forecasting, Elsevier (2002)
  by Baillie, R. & Crato, N. & Ray, B. K.
  (ReDIF-article, eee:intfor:v:18:y:2002:i:2:p:163-165)
• Modeling and forecasting from trend-stationary long memory models with applications to climatology
  International Journal of Forecasting, Elsevier (2002)
  by Baillie, Richard T. & Chung, Sang-Kuck
  (ReDIF-article, eee:intfor:v:18:y:2002:i:2:p:215-226)
• Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771
  International Journal of Forecasting, Elsevier (1986)
  by Baillie, Richard T.
  (ReDIF-article, eee:intfor:v:2:y:1986:i:3:p:393-394)
• Introduction
  International Journal of Forecasting, Elsevier (1987)
  by Alexander, Don & Baillie, Richard T. & Thomas, Lee
  (ReDIF-article, eee:intfor:v:3:y:1987:i:1:p:1-1)
• Cointegration and models of exchange rate determination
  International Journal of Forecasting, Elsevier (1987)
  by Baillie, Richard T. & Selover, David D.
  (ReDIF-article, eee:intfor:v:3:y:1987:i:1:p:43-51)
• The search for equilibrium relationships in international finance: the case of the monetary model
  Journal of International Money and Finance, Elsevier (1991)
  by Baillie, Richard T. & Pecchenino, Rowena A.
  (ReDIF-article, eee:jimfin:v:10:y:1991:i:4:p:582-593)
• Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
  Journal of International Money and Finance, Elsevier (1993)
  by Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R.
  (ReDIF-article, eee:jimfin:v:12:y:1993:i:5:p:511-521)
• The long memory of the forward premium
  Journal of International Money and Finance, Elsevier (1994)
  by Baillie, Richard T & Bollerslev, Tim
  (ReDIF-article, eee:jimfin:v:13:y:1994:i:5:p:565-571)
• Papers in honor of Patrick C. McMahon
  Journal of International Money and Finance, Elsevier (1997)
  by Baillie, Richard T. & Girardin, Eric & Lothian, James R. & McFarland, James W.
  (ReDIF-article, eee:jimfin:v:16:y:1997:i:6:p:879-883)
• Why do central banks intervene?
  Journal of International Money and Finance, Elsevier (1997)
  by Baillie, Richard T. & Osterberg, William P.
  (ReDIF-article, eee:jimfin:v:16:y:1997:i:6:p:909-919)
• The forward premium anomaly is not as bad as you think
  Journal of International Money and Finance, Elsevier (2000)
  by Baillie, Richard T. & Bollerslev, Tim
  (ReDIF-article, eee:jimfin:v:19:y:2000:i:4:p:471-488)
• Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
  Journal of International Money and Finance, Elsevier (2006)
  by Baillie, Richard T. & Kilic, Rehim
  (ReDIF-article, eee:jimfin:v:25:y:2006:i:1:p:22-47)
• A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
  Journal of International Money and Finance, Elsevier (1990)
  by Baillie, Richard T. & Bollerslev, Tim
  (ReDIF-article, eee:jimfin:v:9:y:1990:i:3:p:309-324)
• Estimation and testing of the term structure of the forward premium under rational expectations
  Journal of Macroeconomics, Elsevier (1986)
  by Baillie, Richard T. & McMahon, Patrick C.
  (ReDIF-article, eee:jmacro:v:8:y:1986:i:3:p:387-391)
• The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990
  Working Papers (Old Series), Federal Reserve Bank of Cleveland (1991)
  by Richard T. Baillie & William P. Osterberg
  (ReDIF-paper, fip:fedcwp:9109)
• Post-Louvre intervention: did target zones stabilize the dollar?
  Working Papers (Old Series), Federal Reserve Bank of Cleveland (1992)
  by Richard T. Baillie & Owen F. Humpage
  (ReDIF-paper, fip:fedcwp:9203)
• Central bank intervention and overnight uncovered interest rate parity
  Working Papers (Old Series), Federal Reserve Bank of Cleveland (1998)
  by Richard T. Baillie & William P. Osterberg
  (ReDIF-paper, fip:fedcwp:9823)
• Intervention as information: a survey
  Working Papers (Old Series), Federal Reserve Bank of Cleveland (1999)
  by Richard T. Baillie & Owen F. Humpage & William P. Osterberg
  (ReDIF-paper, fip:fedcwp:9918)
• Modeling Commodity Price Distributions And Estimating The Optimal Futures Hedge
  Papers, Columbia - Center for Futures Markets (1989)
  by Baillie, R.T. & Myers, R.J.
  (ReDIF-paper, fth:colufu:201)
• Further Results On Unit Roots And The Cointegrability Of Daily Spot And Forward Exchange Rates
  Papers, Michigan State - Econometrics and Economic Theory (1988)
  by Baillie, R.T. & Bollerslev, T.
  (ReDIF-paper, fth:mistet:8715)
• Stock Returns And Volatility
  Papers, Michigan State - Econometrics and Economic Theory (1988)
  by Baillie, R.T. & Degennaro, R.P.
  (ReDIF-paper, fth:mistet:8803)
• The Impact Of Delivery Terms On Stock Return Volatility
  Papers, Michigan State - Econometrics and Economic Theory (1988)
  by Baillie, R.T. & Degennaro, R.
  (ReDIF-paper, fth:mistet:8804)
• Econometric Tests Of Rationality And Market Efficiency
  Papers, Michigan State - Econometrics and Economic Theory (1988)
  by Baillie, R.T.
  (ReDIF-paper, fth:mistet:8805)
• Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?
  Papers, Michigan State - Econometrics and Economic Theory (1989)
  by Baillie, R.T.
  (ReDIF-paper, fth:mistet:8808)
• Intra Day And Inter Market Volatility In Foreign Exchange Rates
  Papers, Michigan State - Econometrics and Economic Theory (1989)
  by Baillie, R.T. & Bollerslev, T.
  (ReDIF-paper, fth:mistet:8811)
• Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge
  Papers, Michigan State - Econometrics and Economic Theory (1989)
  by Baillie, R.T. & Myers, R.J.
  (ReDIF-paper, fth:mistet:8814)
• Prediction In Dynamic Models With Time Dependent Conditional Variances
  Papers, Michigan State - Econometrics and Economic Theory (1990)
  by Baillie, R.T. & Bollerslev, R.T.
  (ReDIF-paper, fth:mistet:8815)
• The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model
  Papers, Michigan State - Econometrics and Economic Theory (1991)
  by Baillie, R.T. & Pecchenino, R.A.
  (ReDIF-paper, fth:mistet:9003)
• Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
  Papers, Michigan State - Econometrics and Economic Theory (1991)
  by Baillie, R.T. & Bollerslev, T. & Redfearn, M.R.
  (ReDIF-paper, fth:mistet:9006)
• A Generalized Method of Moments Estimator for Long-Memory Processes
  Papers, Michigan State - Econometrics and Economic Theory (1992)
  by Tieslau, M.A. & Schmidt, P. & Baillie, R.T.
  (ReDIF-paper, fth:mistet:9100)
• A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis
  Papers, Michigan State - Econometrics and Economic Theory (1992)
  by Baillie, R.T. & Chung, C.F. & Tieslau, M.A.
  (ReDIF-paper, fth:mistet:9102)
• Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
  Papers, Michigan State - Econometrics and Economic Theory (1993)
  by Baillie, R.T. & Bollerslev, T.
  (ReDIF-paper, fth:mistet:9103)
• Central Bank Intervention and Risk in the Forward Premium
  Papers, Michigan State - Econometrics and Economic Theory (1993)
  by Baillie, R.T. & Osterberg, W.P.
  (ReDIF-paper, fth:mistet:9109)
• The Long Memory of the Foreward Premium
  Papers, Michigan State - Econometrics and Economic Theory (1993)
  by Baillie, R.T. & Bollerslev, T.
  (ReDIF-paper, fth:mistet:9203)
• Prediction from the Regression Model with one-way Error Components
  Papers, Michigan State - Econometrics and Economic Theory (1994)
  by Baillie, R.T. & Baltagi, B.H.
  (ReDIF-paper, fth:mistet:9405)
• Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
  Papers, Tilburg - Center for Economic Research (1991)
  by Baillie, R.T. & Bollerslev, T. & Redfearn, M.
  (ReDIF-paper, fth:tilbur:9152)
• The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis
  Papers, Tilburg - Center for Economic Research (1992)
  by Baillie, R.T. & Chung, C,F. & Tieslau, M.A.
  (ReDIF-paper, fth:tilbur:9246)
• A Generalized Method of Moments Estimator for Long-Memory Processes
  Papers, Tilburg - Center for Economic Research (1992)
  by Tieslau, M.A. & Schmidt, P. & Baillie, R.T.
  (ReDIF-paper, fth:tilbur:9247)
• Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996)
  by Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A
  (ReDIF-article, jae:japmet:v:11:y:1996:i:1:p:23-40)
• Forecast Master: A Review
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1989)
  by Baillie, Richard T
  (ReDIF-article, jae:japmet:v:4:y:1989:i:3:p:305-07)
• Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991)
  by Baillie, Richard T & Myers, Robert J
  (ReDIF-article, jae:japmet:v:6:y:1991:i:2:p:109-24)
• A New Test for Market Efficiency and Uncovered Interest Parity
  NBER Working Papers, National Bureau of Economic Research, Inc (2022)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
  (ReDIF-paper, nbr:nberwo:30638)
• On Robust Inference in Time Series Regression
  NBER Working Papers, National Bureau of Economic Research, Inc (2024)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora
  (ReDIF-paper, nbr:nberwo:32554)
• Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market
  Oxford Economic Papers, Oxford University Press (1984)
  by Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C
  (ReDIF-article, oup:oxecpp:v:36:y:1984:i:1:p:67-85)
• Unknown item RePEc:qmw:qmwecw:wp528 (paper)
• Unknown item RePEc:qmw:qmwecw:wp543 (paper)
• Unknown item RePEc:qmw:qmwecw:wp570 (paper)
• Unknown item RePEc:qmw:qmwecw:wp593 (paper)
• Unknown item RePEc:qmw:qmwecw:wp594 (paper)
• Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models
  Empirical Economics, Springer (1993)
  by Chung, Ching-Fan & Baillie, Richard T
  (ReDIF-article, spr:empeco:v:18:y:1993:i:4:p:791-806)
• Interest Rates and Investment in West Germany
  Empirical Economics, Springer (1981)
  by Baillie, R T & McMahon, P C
  (ReDIF-article, spr:empeco:v:6:y:1981:i:1:p:1-9)