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User profiles for author:"Richard Baillie"

Richard Baillie

AJ Pasant Professor of Economics & Finance
Verified email at msu.edu
Cited by 9135

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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RT Baillie, T Bollerslev… - Journal of econometrics, 1996 - Elsevier
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Long memory processes and fractional integration in econometrics

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RT Baillie - Journal of econometrics, 1996 - Elsevier
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The message in daily exchange rates

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RT Baillie… - Journal of Business and Economic …, 2002 - Taylor & Francis
Page 1. The Message in Daily Exchange Rates A Conditional-Variance Tale Richard
T. Baillie Department of Economics, Michigan State University, East Lansing, Ml 48824
Tim Bollerslev Department of Finance, Northwestern ...
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Common stochastic trends in a system of exchange rates

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RT Baillie… - Journal of Finance, 1989 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. XLIV, NO. 1 * MARCH 1989 Common
Stochastic Trends in a System of Exchange Rates RICHARD T. BAILLIE and TIM
BOLLERSLEV* ABSTRACT Univariate tests reveal strong ...
Cited by 505 - Related articles - Get it from MIT Libraries - All 7 versions

Stock returns and volatility

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RT Baillie… - Journal of financial and …, 1990 - Cambridge Univ Press
Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 25, NO.
2, JUNE 1990 Stock Returns and Volatility Richard T. Baillie and Ramon P.
DeGennaro* Abstract Most asset pricing models postulate a positive ...
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Bivariate GARCH estimation of the optimal commodity futures hedge

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RT Baillie… - Journal of Applied Econometrics, 1991 - Wiley Online Library
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 6, 109-124 (1991) BIVARIATE GARCH
ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE RICHARD T. BAILLIE
Department of Economics, Michigan State University, East Lansing, MI 48824, USA AND ...
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[PDF] Analysing inflation by the fractionally integrated ARFIMA-GARCH model

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RT Baillie, CF Chung… - Journal of applied econometrics, 1996 - msu.edu
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 11, 23-40 (1996) ANALYSING
INFLATION BY THE FRACTIONALLY INTEGRATED ARFIMA-GARCH MODEL
RICHARD T. BAILLIE AND CHING-FAN CHUNG Department ...
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Intra-day and inter-market volatility in foreign exchange rates

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RT Baillie… - The Review of Economic …, 1991 - restud.oxfordjournals.org
Page 1. Review of Economic Studies (1990) 58, 565-585 © 1990 The Review of Economic
Studies Limited 0034-6527/91/0034056$02.00 Intra-Day and Inter-Market Volatility in Foreign
Exchange Rates RICHARD T. BAILLIE Michigan State University and ...
Cited by 387 - Related articles - All 8 versions

[BOOK] The foreign exchange market: Theory and econometric evidence

RT Baillie… - 1990 - books.google.com
Page 1. The foreign exchange marke Theory and econometric evidence Page 2.
Page 3. The foreign exchange market Theory and econometric evidence Page 4.
Page 5. The foreign exchange market Theory and econometric ...
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Cointegration, fractional cointegration, and exchange rate dynamics

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RT Baillie… - Journal of Finance, 1994 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. XLIX, NO. 2 * JUNE 1994 Cointegration,
Fractional Cointegration, and Exchange Rate Dynamics RICHARD T. BAILLIE and
TIM BOLLERSLEV* ABSTRACT Multivariate tests due ...
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A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

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RT Baillie… - Journal of International Money and Finance, 1990 - Elsevier
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The forward premium anomaly is not as bad as you think

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RT Baillie… - Journal of International Money and Finance, 2000 - Elsevier
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Cointegration and models of exchange rate determination

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RT Baillie… - International Journal of Forecasting, 1987 - Elsevier
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Prediction in dynamic models with time-dependent conditional variances

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RT Baillie… - Journal of Econometrics, 1992 - Elsevier
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Price discovery and common factor models

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RT Baillie, G Geoffrey Booth, Y Tse… - Journal of Financial …, 2002 - Elsevier
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Why do central banks intervene?

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RT Baillie… - Journal of International Money and Finance, 1997 - Elsevier
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Testing rational expectations and efficiency in the foreign exchange market

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RT Baillie, RE Lippens… - Econometrica: Journal of the …, 1983 - JSTOR
Page 1. Econometrica, Vol. 51, No. 3 (May, 1983) TESTING RATIONAL
EXPECTATIONS AND EFFICIENCY IN THE FOREIGN EXCHANGE MARKET BY
RICHARD T. BAILLIE, ROBERT E. LIPPENS, AND PATRICK C. MCMAHON1 ...
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The long memory of the forward premium

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RT Baillie… - Journal of International Money and Finance, 1994 - Elsevier
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Central bank intervention and risk in the forward market

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RT Baillie… - Journal of International Economics, 1997 - Elsevier
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Econometric tests of rationality and market efficiency

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RT Baillie - Econometric Reviews, 1989 - Taylor & Francis
Page 1. ECONOMETRIC REVIEWS, 8(2), 151-186 (1989) ECONOMETRIC TESTS OF
RATIONALITY AND MARKET EFFICIENCY Richard T. Baillie* Department of Economics,
Michigan State University, East Lansing, Yichigan 48524 ABSTRACT ...
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Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models

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CF Chung… - Empirical Economics, 1993 - Springer
Page 1. Empirical Economics (1993) 18:791-806 mIM/EG)NOMIr Small Sample Bias
in Conditional Sumoof-Squares Estimators of Fractionally Integrated ARMA
Mode|s CHING-FAN CHUNG AND RICHARD T. BAILLIE Department ...
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Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

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RT Baillie… - Journal of International Money and Finance, 2006 - Elsevier
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The search for equilibrium relationships in international finance: the case of the monetary model

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RT Baillie… - Journal of International Money and Finance, 1991 - Elsevier
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Intervention from an information perspective

RT Baillie, OF Humpage… - Journal of International Financial …, 2000 - Elsevier
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Inference in dynamic models containing [] surprise'variables

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RT Baillie - Journal of Econometrics, 1987 - Elsevier
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Further long memory properties of inflationary shocks

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RT Baillie, YW Han… - Southern Economic Journal, 2002 - JSTOR
Page 1. Southern Economic Journal 2002, 68(3), 496-510 Further Long Memory
Properties of Inflationary Shocks Richard T. Baillie,* Young Wook Han,t and Tae-Go
Kwont Several previous studies have found fractionally integrated ...
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[PDF] High frequency Deutsche mark-US dollar returns: FIGARCH representations and non linearities

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RT Baillie, AA Cecen… - Multinational Finance Journal, 2000 - mfsociety.org
Page 1. *The authors gratefully acknowledge the very helpful comments of three anonymous
referees. The first and third authors gratefully acknowledge support from the National Science
Foundation Grant DMS-0071619. (Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. ...
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[CITATION] Editors' introduction: Fractional differencing and long memory processes

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RT Baillie… - Journal of Econometrics, 1996 - ideas.repec.org
Downloadable (with restrictions)! No abstract is available for this item.
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Deviations from daily uncovered interest rate parity and the role of intervention

RT Baillie… - Journal of International Financial Markets, …, 2000 - Elsevier
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Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

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RT Baillie… - Journal of Economic Dynamics and Control, 2009 - Elsevier
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[BOOK] Post-Louvre intervention: Did target zones stabilize the dollar?

[PDF] from clevelandfed.org
R Baillie, OF Humpage… - 1992 - clevelandfed.org
ABSTRACT At their Louvre meeting in February 1987, the Group of Seven (G7) countries
agreed to stabilize dollar exchange rates. Over the next two years, central banks frequently
bought and sold dollars in a manner broadly consistent with attempting to maintain target ...
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Interpreting econometric evidence on efficiency in the foreign exchange market

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RW Bailey, RT Baillie… - Oxford Economic Papers, 1984 - JSTOR
Page 1. Oxford Economie Papers 36 (1984), 67-85 INTERPRETING ECONOMETRIC
EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET By RALPH W.
BAILEY,* RICHARD T. BAILLIE and PATRICK С McMAHON ...
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Determining the effects of media portrayals of alcohol: going beyond short term influence

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RK Baillie - Alcohol and Alcoholism, 1996 - Med Council on Alcohol
Page 1. Alcohol & Alcoholism Vol. 31, No. 3, pp. 235-242, 1996 REVIEW
DETERMINING THE EFFECTS OF MEDIA PORTRAYALS OF ALCOHOL: GOING
BEYOND SHORT TERM INFLUENCE RICHARD K. BAILLIE Alcohol ...
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A minimum distance estimator for long-memory processes

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MA Tieslau, P Schmidt… - Journal of econometrics, 1996 - Elsevier
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Prediction from the dynamic simultaneous equation model with vector autoregressive errors

RT Baillie - Econometrica: Journal of the Econometric Society, 1981 - JSTOR
Page 1. Econometrica, Vol. 49, No. 5 (September, 1981) PREDICTION FROM THE
DYNAMIC SIMULTANEOUS EQUATION MODEL WITH VECTOR AUTOREGRESSIVE
ERRORS BY RICHARD T. BAILLIE' The asymptotic distribution ...
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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

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RT Baillie, T Bollerslev… - Journal of International Money and …, 1993 - Elsevier
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Testing for neglected nonlinearity in long-memory models

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RT Baillie… - Journal of Business and Economic …, 2007 - Taylor & Francis
Page 1. Testing for Neglected Nonlinearity in Long-Memory Models Richard T.
BAILLIE Departments of Economics and Finance, Michigan State University, East
Lansing, MI 48824, and Department of Economics, Queen Mary ...
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[CITATION] Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge

RT Baillie… - Working Papers, 1989 - econpapers.repec.org
By Richard T. Baillie and RJ Myers; MODELING COMMODITY PRICE
DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE.
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Predictions from ARMAX models

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RT Baillie - Journal of Econometrics, 1980 - Elsevier
This paper gives an expression for the minimum mean squared error predictor of the single
equation ARMAX model when all the parameters are known. A formula is t.
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The impact of delivery terms on stock return volatility

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RT Baillie… - Journal of Financial Services Research, 1989 - Springer
Page 1. Journal of Financial Services Research 3:55-76 (1989) İ 1989 Kluwer Academic
Publishers The Impact of Delivery Terms on Stock Return Volatility RICHARD T. BAILLIE
Department of Economics Michigan State University, East Lansing, MI 48824 USA ...
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[CITATION] Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?

RT Baillie - Working Papers, 1989 - econpapers.repec.org
By Richard T. Baillie; COMMODITY PRICES AND AGGREGATE INFLATION:
WOULD A COMMODITY PRICE RULE BE WORTHWHILE?
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Long memory models for daily and high frequency commodity futures returns

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RT Baillie, YW Han, RJ Myers… - Journal of Futures …, 2007 - Wiley Online Library
Page 1. LONG MEMORY MODELS FOR DAILY AND HIGH FREQUENCY
COMMODITY FUTURES RETURNS RICHARD T. BAILLIE* YOUNG-WOOK HAN
ROBERT J. MYERS JEONGSEOK SONG The volatility of daily futures ...
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[CITATION] The long memory and variability of inflation: A reappraisal of the Friedman hypothesis

RT Baillie, C Chung, MA Tieslau - Papers, 1992 - ideas.repec.org
No abstract is available for this item.
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Nonlinear models for strongly dependent processes with financial applications

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RT Baillie… - Journal of Econometrics, 2008 - Elsevier
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Normal heartbeat series are nonchaotic, nonlinear, and multifractal: New evidence from semiparametric and parametric tests

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RT Baillie, AA Cecen… - Chaos: An Interdisciplinary Journal of …, 2009 - chaos.aip.org
Page 1. ...
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Regression model fitting with a long memory covariate process

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HL Koul, RT Baillie… - Econometric Theory, 2004 - Cambridge Univ Press
Page 1. REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE
PROCESS HIRA L. KOUL Michigan State University RICHARD T. BAILLIE Michigan
State University and Queen Mary, University of London DONATAS ...
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Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

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RT Baillie, AA Cecen, C Erkal… - Journal of International Financial …, 2004 - Elsevier
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[PDF] On the interdependence of international asset markets

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RT Baillie… - Global Portfolio Diversification, 1995 - econ.duke.edu
Page 1. - _- ___._..._...._._.__-._._. On the Interdependence of International Asset
Markets Richard T. Baillie and Tim Bollerslev This chapter considers some possible
volatility overspills ortfinely sampled asset market data. We ...
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Small-sample properties of predictions from the regression model with autoregressive errors

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JJ Spitzer… - Journal of the American Statistical Association, 1983 - JSTOR
Page 1. Small-Sample Properties of Predictions From the Regression Model With
Autoregressive Errors JOHN J. SPITZER and RICHARD T. BAILLIE* Monte Carlo
methods are used to examine the small-sam- ple properties ...
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Some joint tests of market efficiency: The case of the forward premium*

RT Baillie… - Journal of macroeconomics, 1985 - Elsevier
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[CITATION] High frequency data in finance

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RT Baillie… - Journal of Empirical Finance, 1997 - Elsevier
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[BOOK] Intervention as information: a survey

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RT Baillie, OF Humpage, WP Osterberg… - 1999 - clevelandfed.org
Page 1. working paper FEDERAL RESERVE BANK OF CLEVELAND Intervention as
Information: A Survey by Richard T. Baillie, Owen F. Humpage, and William P. Osterberg
9 9 1 8 Page 2. Working Paper 9918 Intervention as Information: A Survey ...
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[CITATION] A high frequency perspective on the forward premium anomaly

RT Baillie - 2008 - econ.sinica.edu.tw
中文版 | English | 中央研究院 | 網站地圖 | 常見問題 | 聯絡方式 | Webmail | 虛擬網路 |
回首頁. 站外 站內. 中央研究院經濟研究所, skype. 用Skype與經濟所連絡. 行事曆2012年3月 星期二.
l. 2012-3, 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24 ...
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[CITATION] Post-Louvre Intervention: Did Central Banks Stabilize the Dollar?

R Baillie… - Federal Reserve Bank of Cleveland Working Paper, 1994
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On the limitations of comparing mean square forecast errors: Commentary

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RT Baillie… - Journal of Forecasting, 1993 - Wiley Online Library
Skip to Main Content. ...
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[Testing Target-Zone Models Using Efficient Method of Moments]: Comment

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RT Baillie… - Journal of Business & Economic Statistics, 2001 - JSTOR
Page 1. Baillie and Han: Comment 273 as the European Monetary System (EMS)
is that it shows that in fact it must necessarily be the case that for a such a grid system
the bilateral rates will be bounded to within an interior band ...
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Comment on modeling asset returns with alternatrve stable distributions

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RT Baillie - Econometric Reviews, 1993 - Taylor & Francis
Page 1. ECONOMETRIC REVIEWS, 12(3), 343-345 (1993) COMMENT ON
MODELING ASSET RETURNS WITH ALTERNATWE STABLE DISTRIBUTIONS
I would like to congratulate Stefan Mittnik and Svetlozar Rachev for ...
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[CITATION] On unit roots and the cointegrability of daily spot and forward exchange rates

RT Baillie… - Econometrics and Economic Theory Papers, 1987
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[CITATION] Conditional Forecast Densities from Dynamics Models with GARCH Innovations'

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RT Baillie… - J. Econometrics, 1992
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[CITATION] Merging the stochastic with the nonlinear deterministic: the case of high frequency European exchange rates

RT Baillie, AA Cecen, C Erkal… - Journal of International Financial Markets, …, 2004
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[BOOK] Central bank intervention and overnight uncovered interest rate parity

[PDF] from clevelandfed.org
R Baillie… - 1998 - clevelandfed.org
Abstract This paper considers the impact of US and German central bank intervention on the
risk premium in forward foreign exchange markets. The model estimation is facilitated with
the use of daily data on overnight Eurocurrency deposit rates, so that the interest rate ...
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Central bank intervention

RT Baillie - Journal of International Financial Markets, Institutions …, 2000 - Elsevier
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Long memory and FIGARCH models for daily and high frequency commodity prices

RT Baillie, YW Han, RJ Myers… - Working Papers, 2007 - ideas.repec.org
Downloadable! Daily futures returns on six important commodities are found to be well described
as FIGARCH fractionally integrated volatility processes, with small departures from the martingale
in mean property. The paper also analyzes several years of high frequency intra day ...
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[PDF] Semi parametric estimation of long memory: comparisons and some attractive alternatives

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RT Baillie… - conference in honor of Peter Phillip's …, 2009 - norges-bank.no
Page 1. Semi Parametric Estimation of Long Memory: Comparisons and Some Attractive
Alternatives Richard T. Baillie ∗ Departments of Economics and Finance, Michigan State
University Department of Economics, Queen Mary University of London George Kapetanios ...
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[PDF] The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990

[PDF] from clevelandfed.org
RT Baillie… - Federal Reserve Bank of Cleveland …, 1991 - clevelandfed.org
Page 1. Working Paver 9109 THE RISK PREMIUM IN FORWARD FOREIGN EXCHANGE
MARKETS AND G-3 CENTRAL BANK INTERVENTION: EVIDENCE OF DAILY EFFECTS,
1985-1990 by Richard T. Baillie and William P. Osterberg ...
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A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets

[PDF] from duke.edu
T Bollerslev… - 1990 - dukespace.lib.duke.edu
Page 1. Journpl of International Money and Finance (1990), 9, 309-324 A multivariate
generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Richard T. Baillie Michigan State University, East Lansing, Mí 48824. ...
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[CITATION] Efficient estimation of vector autoregressions under the rational expectation, efficient market hypothesis

R Baillie… - 1983 - University of Birmingham, Faculty of …
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Carry trades, momentum trading and the forward premium anomaly

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RT Baillie… - Journal of Financial Markets, 2011 - Elsevier
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[PDF] Investigating inflation dynamics and structural change with an adaptive ARFIMA approach'

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RT Baillie… - ICER Working Papers-Applied Mathematics …, 2009 - socionet.org
Page 1. INTERNATIONAL CENTRE FOR ECONOMIC RESEARCH WORKING PAPER SERIES
RT Baillie, C. Morana INVESTIGATINGINFLATION DYNAMICS ANDSTRUCTURALCHANGEWITH
AN ADAPTIVE ARFIMA APPROACH Working Paper No. 6/2009 ...
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[CITATION] Rational Forecasts in Models of the Term Structure of Interest Rates

RT Baillie… - The Operation and Regulation of Financial Markets, …, 1987
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[CITATION] Central Bank Intervention and Risk in the Forward Premium

RT Baillie… - Papers, 1993 - ideas.repec.org
No abstract is available for this item.
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Causality and free liquid reserves in the Federal Republic of Germany

RT Baillie, PC McMahon… - Zeitschrift für die gesamte …, 1980 - JSTOR
Page 1. Causality and Free Liquid Reserves in the Federal Republic of Germany*
by Richard T. Baillie, Patrick C. McMahon, and Hans- Jürgen Regier 7. Introduction
The subject of causality between banks' "free" reserves held ...
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[PDF] Asymmetry and nonlinearity in uncovered interest rate parity

[PDF] from uoc.gr
RT Baillie… - Midwest Econometrics Group Meeting, …, 2004 - economics.soc.uoc.gr
Page 1. Asymmetry and nonlinearity in Uncovered Interest Rate Parity Richard T.
Baillie∗ Rehim Kılı熇 January 2004 This Version: November 2004 Abstract This
paper provides empirical evidence that the relationship be- tween ...
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[CITATION] Empirical regularities in exchange rate behaviour

RT Baillie, PC McMahon… - … Rates and the …, 1987 - Wheatsheaf Books Brighton
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[CITATION] Testing for Causality in Economics

RT Baillie - 1980 - Department of Economics, Wayne …
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[CITATION] Econometric tests of rational expectations and market efficiency

RT Baillie - Forthcoming, Econometric Reviews, 1989
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[CITATION] A generalized method of moments estimator for long-memory processes

M Tieslau, P Schmidt… - Discussion Paper, 1992 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Possible solutions to the forward bias paradox

RT Baillie - Journal of International Financial Markets, Institutions …, 2011 - Elsevier
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[CITATION] Assessing Persistence: Theory and Data Consistent Decision-Making

S DeBoef, RT Baillie… - Pennsylvania State University. Typescript, 1997
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Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

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RT Baillie - Economics Letters, 1983 - Elsevier
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[CITATION] The Foreign Exchange Rate Market: Theory and Econometric Method

RT Baillie… - 1989 - Cambridge University Press, …
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[CITATION] Efficient Estimation of Vector Autoregression under the Rational Expectations Efficient Markets Hypothesis. University of Birmingham

RT Baillie… - 1983 - Discussion Paper, 263. Birmingham
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[DOC] Modeling Volatility

[DOC] from palgrave.com
RT Baillie… - Handbook of Econometrics, 2006 - palgrave.com
Modeling Volatility. by. Richard T Baillie. Michigan State University. and Queen Mary,
University of London. April, 2005. JEL classifications: C22, F31. Author's address for
correspondence: Richard T Baillie, Department of Economics ...
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Estimation and testing of the term structure of the forward premium under rational expectations

RT Baillie… - Journal of macroeconomics, 1986 - Elsevier
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[CITATION] McMahon, The Foreign Exchange Marker-Theory and Econometric Evidence

RT Baillie… - 1989 - Canbridge University Press
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Multivariate Causality and the Relationship Between the Free Liquid Reserves and Interest Rates

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RT Baillie… - … für die gesamte Staatswissenschaft/Journal of …, 1981 - JSTOR
Page 1. Zeitschrift ür die gesamte Staatswissenschaft (ZgS) 137 (1981), 284-288 Kurzbeiträge /
Short Articles Multivariate Causality and the Relationship Between the Free Liquid Reserves
and Interest Rates* by Richard T. Baillie and Patrick C. McMahon Introduction ...
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[CITATION] Long and short run memory

S DeBoef, RT Baillie, M Bange, J Granato… - annual meeting of the …, 1996
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Interest rates and investment in West Germany

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RT Baillie… - Empirical Economics, 1981 - Springer
Page 1. empirical economics, VoL 6, 1981, page 1-9. 9 Physica-Verlag, Vienna.
Interest Rates and Investment in West Germany t ) By RT Baillie and PC McMahon,
Birmingham 2) Abstract: Causality tests due to Granger [1969 ...
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[CITATION] Expectations, Risk and Interest Parity in the Foreign Exchange Market

R Baillie, PC McMahon… - 1982 - Australian National University, …
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Introduction to multiple time series analysis, H. LÜTKEPOHL. Springer‐Verlag. Berlin And New York, 1991. ISBN 0‐387‐53194‐7, cloth£ 31, pp. 1+ 545

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RT Baillie - Journal of Applied Econometrics, 1993 - Wiley Online Library
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[PDF] Carry Trades, Momentum Trading and Nonlinear Adjustments to Uncovered Interest Parity

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RT Baillie… - 2007 - qass.org.uk
Page 1. Carry Trades, Momentum Trading and Nonlinear Adjustments to Uncovered Interest
Parity Richard T Baillie* Michigan State University, USA and Queen Mary University of London,
UK Sanders S Chung Michigan State University, USA July 6, 2007 Abstract ...
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Testing the permanent income hypothesis using a general rational lag formulation

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RT Baillie, PC McMahon… - Economics Letters, 1980 - Elsevier
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[CITATION] Rational expectations and the term structure of the forward premium

R Baillie… - 1983 - University of Birmingham, Faculty of …
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[BOOK] Central Bank Intervention and Properties of the 1920s Currency Markets

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R Baillie… - 2002 - icmacentre.ac.uk
Abstract The 1920s currency markets represent one of the earliest recorded periods of
central bank intervention. This paper uses a relatively new set of daily data for four
currencies and finds the exchange rate returns have the widespread long memory ...
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[CITATION] Primary commodity prices, ed. by L. Alan Winters..: Cambridge, Cambridge Univ. Press, 1990

RT Baillie - The economic journal, 1991
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A user's guide to the gottman‐williams time series analysis computer programs for social scientists, Cambridge: Cambridge University Press, 1982. Price:£ 6.50. …

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RT Baillie - Journal of Forecasting, 1984 - Wiley Online Library
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[CITATION] Call for Papers Forecasting Long Memory Processes

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RT Baillie, N Crato… - international journal of forecasting, 1999

[CITATION] Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange

RT Baillie, T Bollerslev… - Papers, 1991 - ideas.repec.org
No abstract is available for this item.
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Empirical economics acknowledges the cooperation of

M Bahmani-Oskooee, R Baillie, B Baltagi… - Springer
Bahmani-Oskooee, Mohsen, University of Wisconsin, Milwaukee, USA Baillie, Richard, Michigan
State Univer- sity, USA Baltagi, Badi, Texas A&M University, USA Barnett, William A., Washington
Univer- sity, USA Bartels, Robert, University of Sydney, Australia Beach, Charles, Queen's ...

[CITATION] The theory and practice of time series econometrics

RT BAILLIE… - Recherche, 2006 - lavoisier.fr
Livre: The theory and practice of time series econometrics
BAILLIE RICHARD T., MCMAHON PATRICK C.
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