 | AJ Pasant Professor of Economics & Finance Verified email at msu.edu Cited by 9135 |
RT Baillie - Journal of econometrics, 1996 - Elsevier
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
RT Baillie… - Journal of International Money and Finance, 1990 - Elsevier
RT Baillie… - Journal of International Money and Finance, 2000 - Elsevier
RT Baillie… - International Journal of Forecasting, 1987 - Elsevier
RT Baillie… - Journal of Econometrics, 1992 - Elsevier
RT Baillie, G Geoffrey Booth, Y Tse… - Journal of Financial …, 2002 - Elsevier
RT Baillie… - Journal of International Money and Finance, 1997 - Elsevier
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 ...
RT Baillie… - Journal of International Money and Finance, 1994 - Elsevier
RT Baillie… - Journal of International Economics, 1997 - Elsevier
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 ...
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 ...
RT Baillie… - Journal of International Money and Finance, 2006 - Elsevier
RT Baillie… - Journal of International Money and Finance, 1991 - Elsevier
RT Baillie, OF Humpage… - Journal of International Financial …, 2000 - Elsevier
RT Baillie - Journal of Econometrics, 1987 - Elsevier
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 ...
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. ...
RT Baillie… - Journal of Econometrics, 1996 - ideas.repec.org
Downloadable (with restrictions)! No abstract is available for this item.
RT Baillie… - Journal of International Financial Markets, …, 2000 - Elsevier
RT Baillie… - Journal of Economic Dynamics and Control, 2009 - Elsevier
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 ...
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 ...
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 ...
MA Tieslau, P Schmidt… - Journal of econometrics, 1996 - Elsevier
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 ...
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 ...
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.
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.
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 ...
RT Baillie - Working Papers, 1989 - econpapers.repec.org
By Richard T. Baillie; COMMODITY PRICES AND AGGREGATE INFLATION:
WOULD A COMMODITY PRICE RULE BE WORTHWHILE?
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 ...
RT Baillie, C Chung, MA Tieslau - Papers, 1992 - ideas.repec.org
No abstract is available for this item.
RT Baillie… - Journal of Econometrics, 2008 - Elsevier
RT Baillie, AA Cecen… - Chaos: An Interdisciplinary Journal of …, 2009 - chaos.aip.org
Page 1. ...
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 ...
RT Baillie, AA Cecen, C Erkal… - Journal of International Financial …, 2004 - Elsevier
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 ...
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 ...
RT Baillie… - Journal of macroeconomics, 1985 - Elsevier
[CITATION] High frequency data in finance
RT Baillie… - Journal of Empirical Finance, 1997 - Elsevier
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] Post-Louvre Intervention: Did Central Banks Stabilize the Dollar?
R Baillie… - Federal Reserve Bank of Cleveland Working Paper, 1994
RT Baillie… - Journal of Forecasting, 1993 - Wiley Online Library
Skip to Main Content. ...
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 ...
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 ...
[CITATION] On unit roots and the cointegrability of daily spot and forward exchange rates
RT Baillie… - Econometrics and Economic Theory Papers, 1987
[CITATION] Conditional Forecast Densities from Dynamics Models with GARCH Innovations'
RT Baillie… - J. Econometrics, 1992
[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
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 ...
RT Baillie - Journal of International Financial Markets, Institutions …, 2000 - Elsevier
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 ...
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 ...
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 ...
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. ...
[CITATION] Efficient estimation of vector autoregressions under the rational expectation, efficient market hypothesis
R Baillie… - 1983 - University of Birmingham, Faculty of …
RT Baillie… - Journal of Financial Markets, 2011 - Elsevier
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 ...
[CITATION] Rational Forecasts in Models of the Term Structure of Interest Rates
RT Baillie… - The Operation and Regulation of Financial Markets, …, 1987
No abstract is available for this item.
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 ...
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 ...
[CITATION] Empirical regularities in exchange rate behaviour
RT Baillie, PC McMahon… - … Rates and the …, 1987 - Wheatsheaf Books Brighton
[CITATION] Testing for Causality in Economics
RT Baillie - 1980 - Department of Economics, Wayne …
[CITATION] Econometric tests of rational expectations and market efficiency
RT Baillie - Forthcoming, Econometric Reviews, 1989
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 ...
RT Baillie - Journal of International Financial Markets, Institutions …, 2011 - Elsevier
[CITATION] Assessing Persistence: Theory and Data Consistent Decision-Making
S DeBoef, RT Baillie… - Pennsylvania State University. Typescript, 1997
[CITATION] The Foreign Exchange Rate Market: Theory and Econometric Method
RT Baillie… - 1989 - Cambridge University Press, …
[CITATION] Efficient Estimation of Vector Autoregression under the Rational Expectations Efficient Markets Hypothesis. University of Birmingham
RT Baillie… - 1983 - Discussion Paper, 263. Birmingham
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 ...
RT Baillie… - Journal of macroeconomics, 1986 - Elsevier
[CITATION] McMahon, The Foreign Exchange Marker-Theory and Econometric Evidence
RT Baillie… - 1989 - Canbridge University Press
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 ...
[CITATION] Long and short run memory
S DeBoef, RT Baillie, M Bange, J Granato… - annual meeting of the …, 1996
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 ...
[CITATION] Expectations, Risk and Interest Parity in the Foreign Exchange Market
R Baillie, PC McMahon… - 1982 - Australian National University, …
RT Baillie - Journal of Applied Econometrics, 1993 - Wiley Online Library
Skip to Main Content. ...
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 ...
RT Baillie, PC McMahon… - Economics Letters, 1980 - Elsevier
[CITATION] Rational expectations and the term structure of the forward premium
R Baillie… - 1983 - University of Birmingham, Faculty of …
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 ...
[CITATION] Primary commodity prices, ed. by L. Alan Winters..: Cambridge, Cambridge Univ. Press, 1990
RT Baillie - Journal of Forecasting, 1984 - Wiley Online Library
Skip to Main Content. ...
[CITATION] Call for Papers Forecasting Long Memory Processes
RT Baillie, N Crato… - international journal of forecasting, 1999
No abstract is available for this item.
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 ...
Livre: The theory and practice of time series econometrics
BAILLIE RICHARD T., MCMAHON PATRICK C.
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