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Richard Baillie
Richard Baillie
A J Pasant Professor of Economics & Finance
Verified email at msu.edu
Title
Cited by
Cited by
Year
Fractionally integrated generalized autoregressive conditional heteroskedasticity
RT Baillie, T Bollerslev, HO Mikkelsen
Journal of econometrics 74 (1), 3-30, 1996
34551996
Long memory processes and fractional integration in econometrics
RT Baillie
Journal of econometrics 73 (1), 5-59, 1996
27061996
The message in daily exchange rates: a conditional-variance tale
RT Baillie, T Bollerslev
Journal of Business & Economic Statistics 20 (1), 60-68, 2002
14922002
Stock returns and volatility
RT Baillie, RP DeGennaro
Journal of financial and Quantitative Analysis 25 (2), 203-214, 1990
11831990
Bivariate GARCH estimation of the optimal commodity futures hedge
RT Baillie, RJ Myers
Journal of Applied Econometrics 6 (2), 109-124, 1991
11591991
Common stochastic trends in a system of exchange rates
RT Baillie, T Bollerslev
the Journal of Finance 44 (1), 167-181, 1989
9341989
Analysing inflation by the fractionally integrated ARFIMA–GARCH model
RT Baillie, CF Chung, MA Tieslau
Journal of applied econometrics 11 (1), 23-40, 1996
8791996
Intra-day and inter-market volatility in foreign exchange rates
RT Baillie, T Bollerslev
The Review of Economic Studies 58 (3), 565-585, 1991
7591991
Price discovery and common factor models
RT Baillie, GG Booth, Y Tse, T Zabotina
Journal of financial markets 5 (3), 309-321, 2002
7242002
The foreign exchange market: Theory and econometric evidence
RT Baillie, PC McMahon
Cambridge University Press, 1989
5281989
Cointegration, fractional cointegration, and exchange rate dynamics
RT Baillie, T Bollerslev
The Journal of Finance 49 (2), 737-745, 1994
4921994
The forward premium anomaly is not as bad as you think
RT Baillie, T Bollerslev
Journal of International Money and Finance 19 (4), 471-488, 2000
4582000
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
RT Baillie, T Bollerslev
Journal of International Money and Finance 9 (3), 309-324, 1990
4491990
Prediction in dynamic models with time-dependent conditional variances
RT Baillie, T Bollerslev
Journal of Econometrics 52 (1-2), 91-113, 1992
4331992
Cointegration and models of exchange rate determination
RT Baillie, DD Selover
International Journal of Forecasting 3 (1), 43-51, 1987
3991987
Why do central banks intervene?
RT Baillie, WP Osterberg
Journal of International Money and Finance 16 (6), 909-919, 1997
3181997
The long memory of the forward premium
RT Baillie, T Bollerslev
Journal of international money and finance 13 (5), 565-571, 1994
3061994
Testing rational expectations and efficiency in the foreign exchange market
RT Baillie, RE Lippens, PC McMahon
Econometrica: Journal of the Econometric Society, 553-563, 1983
2931983
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
RT Baillie, C Morana
Journal of Economic Dynamics and Control 33 (8), 1577-1592, 2009
2462009
Central bank intervention and risk in the forward market
RT Baillie, WP Osterberg
Journal of International Economics 43 (3-4), 483-497, 1997
2041997
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