Details about Richard T. Baillie

Access statistics for papers by Richard T. Baillie.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pba423

Working Papers

2024

1. On Robust Inference in Time Series Regression
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2022

2. A New Test for Market Efficiency and Uncovered Interest Parity
   NBER Working Papers, National Bureau of Economic Research, Inc

1999

3. Intervention as information: a survey
   Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (3)

1998

4. Central bank intervention and overnight uncovered interest rate parity
   Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (3)

1994

5. Prediction from the Regression Model with one-way Error Components
   Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)

1993

6. Central Bank Intervention and Risk in the Forward Premium
   Working Papers, Michigan State - Econometrics and Economic Theory View citations (2)
7. Cointegration, Fractional Cointegration, and Exchange RAte Dynamics
   Working Papers, Michigan State - Econometrics and Economic Theory View citations (14)
   See also Journal Article Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, Journal of Finance, American Finance Association (1994) View citations (190) (1994)
8. The Long Memory of the Foreward Premium
   Working Papers, Michigan State - Econometrics and Economic Theory
   See also Journal Article The long memory of the forward premium, Journal of International Money and Finance, Elsevier (1994) View citations (148) (1994)

1992

9. A Generalized Method of Moments Estimator for Long-Memory Processes
   Working Papers, Michigan State - Econometrics and Economic Theory View citations (2)
   Also in Working Papers, Tilburg - Center for Economic Research (1992) View citations (2)
10. A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis
    Working Papers, Michigan State - Econometrics and Economic Theory
    Also in Working Papers, Tilburg - Center for Economic Research (1992) View citations (9)
11. Post-Louvre intervention: did target zones stabilize the dollar?
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (26)

1991

12. Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange
    Working Papers, Tilburg - Center for Economic Research
13. Bear Squeezes in the Hyperinflation 1920s Foreign Exchange
    Working Papers, Michigan State - Econometrics and Economic Theory
14. The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (35)
    See also Journal Article The search for equilibrium relationships in international finance: the case of the monetary model, Journal of International Money and Finance, Elsevier (1991) View citations (36) (1991)
15. 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 View citations (1)

1990

16. PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)
    See also Journal Article Prediction in dynamic models with time-dependent conditional variances, Journal of Econometrics, Elsevier (1992) View citations (110) (1992)

1989

17. COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE?
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (7)
18. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (33)
19. MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (3)
    Also in Working Papers, Columbia - Center for Futures Markets (1989) View citations (6)

1988

20. ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (8)
21. FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)
22. STOCK RETURNS AND VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (32)
23. THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)

Journal Articles

2006

1. Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
   Journal of International Money and Finance, 2006, 25, (1), 22-47 View citations (92)

2004

2. Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
   Journal of International Financial Markets, Institutions and Money, 2004, 14, (5), 401-418 View citations (8)

2002

3. Introduction
   International Journal of Forecasting, 2002, 18, (2), 163-165
4. Modeling and forecasting from trend-stationary long memory models with applications to climatology
   International Journal of Forecasting, 2002, 18, (2), 215-226 View citations (39)
5. Price discovery and common factor models
   Journal of Financial Markets, 2002, 5, (3), 309-321 View citations (267)
6. The Message in Daily Exchange Rates: A Conditional-Variance Tale
   Journal of Business & Economic Statistics, 2002, 20, (1), 60-68 View citations (24)
   Also in Journal of Business & Economic Statistics, 1989, 7, (3), 297-305 (1989) View citations (391)

2001

7. Testing Target-Zone Models Using Efficient Method of Moments: Comment
   Journal of Business & Economic Statistics, 2001, 19, (3), 273-76 View citations (1)

2000

8. Central bank intervention
   Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 225-228 View citations (3)
9. Deviations from daily uncovered interest rate parity and the role of intervention
   Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 363-379 View citations (25)
10. Intervention from an information perspective
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 407-421 View citations (52)
11. The forward premium anomaly is not as bad as you think
    Journal of International Money and Finance, 2000, 19, (4), 471-488 View citations (206)

1998

12. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 273-76 View citations (6)

1997

13. Central bank intervention and risk in the forward market
    Journal of International Economics, 1997, 43, (3-4), 483-497 View citations (102)
14. Papers in honor of Patrick C. McMahon
    Journal of International Money and Finance, 1997, 16, (6), 879-883
15. Why do central banks intervene?
    Journal of International Money and Finance, 1997, 16, (6), 909-919 View citations (156)

1996

16. A minimum distance estimator for long-memory processes
    Journal of Econometrics, 1996, 71, (1-2), 249-264 View citations (28)
17. Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model
    Journal of Applied Econometrics, 1996, 11, (1), 23-40 View citations (280)
18. Editors' introduction: Fractional differencing and long memory processes
    Journal of Econometrics, 1996, 73, (1), 1-3 View citations (10)
19. Fractionally integrated generalized autoregressive conditional heteroskedasticity
    Journal of Econometrics, 1996, 74, (1), 3-30 View citations (1116)
20. Long memory processes and fractional integration in econometrics
    Journal of Econometrics, 1996, 73, (1), 5-59 View citations (845)

1994

21. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 737-45 View citations (190)
    See also Working Paper Cointegration, Fractional Cointegration, and Exchange RAte Dynamics, Working Papers (1993) View citations (14) (1993)
22. The long memory of the forward premium
    Journal of International Money and Finance, 1994, 13, (5), 565-571 View citations (148)
    See also Working Paper The Long Memory of the Foreward Premium, Working Papers (1993) (1993)

1993

23. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
    Journal of International Money and Finance, 1993, 12, (5), 511-521 View citations (16)
24. Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models
    Empirical Economics, 1993, 18, (4), 791-806 View citations (73)
25. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2

1992

26. Prediction in dynamic models with time-dependent conditional variances
    Journal of Econometrics, 1992, 52, (1-2), 91-113 View citations (110)
    See also Working Paper PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES, Working Papers (1990) View citations (1) (1990)

1991

27. Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge
    Journal of Applied Econometrics, 1991, 6, (2), 109-24 View citations (320)
28. The search for equilibrium relationships in international finance: the case of the monetary model
    Journal of International Money and Finance, 1991, 10, (4), 582-593 View citations (36)
    See also Working Paper The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model, Working Papers (1991) View citations (35) (1991)

1990

29. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
    Journal of International Money and Finance, 1990, 9, (3), 309-324 View citations (126)

1989

30. Forecast Master: A Review
    Journal of Applied Econometrics, 1989, 4, (3), 305-07

1987

31. Cointegration and models of exchange rate determination
    International Journal of Forecasting, 1987, 3, (1), 43-51 View citations (92)
32. Inference in dynamic models containing 'surprise' variables
    Journal of Econometrics, 1987, 35, (1), 101-117 View citations (9)
33. Introduction
    International Journal of Forecasting, 1987, 3, (1), 1-1

1986

34. Estimation and testing of the term structure of the forward premium under rational expectations
    Journal of Macroeconomics, 1986, 8, (3), 387-391
35. Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771
    International Journal of Forecasting, 1986, 2, (3), 393-394 View citations (1)

1984

36. Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market
    Oxford Economic Papers, 1984, 36, (1), 67-85 View citations (16)

1983

37. Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
    Economics Letters, 1983, 13, (2-3), 201-206
38. Testing Rational Expectations and Efficiency in the Foreign Exchange Market
    Econometrica, 1983, 51, (3), 553-63 View citations (58)

1981

39. Interest Rates and Investment in West Germany
    Empirical Economics, 1981, 6, (1), 1-9 View citations (1)
40. Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
    Econometrica, 1981, 49, (5), 1331-37 View citations (5)

1980

41. Predictions from ARMAX models
    Journal of Econometrics, 1980, 12, (3), 365-374 View citations (13)
42. Testing the permanent income hypothesis using a general rational lag formulation
    Economics Letters, 1980, 5, (1), 39-43

Editor

1. Journal of Empirical Finance
   Elsevier