Access Statistics for Richard T. Baillie

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 0 0 0 11 223
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 1 0 1 10 210
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 0 3 130
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 1 5 19 441
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 3 11 214
COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? 0 0 0 0 1 3 24 278
Central Bank Intervention and Properties of the 1920s Currency Markets 2 2 14 39 9 24 126 290
Central Bank Intervention and Risk in the Forward Premium 0 0 0 0 0 1 13 173
Central bank intervention and overnight uncovered interest rate parity 0 4 19 238 4 17 55 739
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 1 1 6 15 79 719
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? 2 6 36 102 10 26 79 242
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 3 5 0 3 32 631
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 1 4 32 298
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 2 4 4 23 67 571
Intervention as information: a survey 0 0 4 126 5 10 26 396
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices 1 15 94 145 10 37 165 237
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 2 7 39 362
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 3 9 37 719
Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach 3 9 39 83 3 14 69 108
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 16 68 4 9 40 121
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 1 2 4 13 88 599
Post-Louvre intervention: did target zones stabilize the dollar? 1 2 4 4 2 7 26 158
Prediction from the Regression Model with one-way Error Components 0 0 0 1 4 9 35 500
STOCK RETURNS AND VOLATILITY 0 0 0 0 2 18 50 397
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 1 2 5 199
Testing for Neglected Nonlinearity in Long Memory Models 1 3 15 83 2 6 34 148
The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis 0 0 0 0 0 1 5 106
The Long Memory of the Foreward Premium 0 0 0 0 1 6 36 290
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 1 2 17 165
The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990 0 2 8 8 6 13 35 303
Total Working Papers 10 43 256 910 86 288 1,268 9,967

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A minimum distance estimator for long-memory processes 3 5 16 28 3 6 23 63
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 6 20 56 220 11 44 125 433
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 3 14 57 468 8 24 86 954
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates 0 0 1 1 1 2 10 14
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 1 9 0 1 9 69
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 7 29 115 927 11 54 212 2,166
Central bank intervention 0 0 0 16 0 1 6 53
Central bank intervention and risk in the forward market 1 4 13 70 1 6 49 212
Cointegration and models of exchange rate determination 7 14 54 109 9 23 99 208
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 3 14 55 146 5 26 101 301
Common Stochastic Trends in a System of Exchange Rates 2 9 14 77 3 13 40 196
Deviations from daily uncovered interest rate parity and the role of intervention 0 3 14 72 0 4 24 198
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 1 2 14 20 2 4 25 49
Editors' introduction: Fractional differencing and long memory processes 0 2 13 42 2 4 18 82
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 1 2 0 0 5 8
Forecast Master: A Review 0 1 5 25 2 10 36 134
Fractionally integrated generalized autoregressive conditional heteroskedasticity 10 35 115 623 21 65 215 1,303
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 1 7 16 0 3 32 62
Inference in dynamic models containing 'surprise' variables 1 1 5 8 2 3 11 20
Interest Rates and Investment in West Germany 0 0 0 0 1 2 13 81
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 1 2 4 25 2 3 8 98
Intervention from an information perspective 0 0 5 52 0 3 19 128
Intra-day and Inter-market Volatility in Foreign Exchange Rates 3 12 42 219 8 28 95 556
Introduction 0 0 0 0 0 0 1 5
Introduction 0 0 0 3 0 1 4 28
Long memory processes and fractional integration in econometrics 13 41 183 760 16 58 263 1,285
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 4 6 12 36 5 11 37 102
Modeling and forecasting from trend-stationary long memory models with applications to climatology 1 2 6 31 1 2 10 84
Papers in honor of Patrick C. McMahon 0 0 1 4 2 11 16 48
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 2 3 9 28 2 4 18 85
Prediction in dynamic models with time-dependent conditional variances 8 17 81 282 10 20 114 388
Predictions from ARMAX models 1 6 29 45 6 19 68 99
Price discovery and common factor models 9 18 59 179 11 24 83 299
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS 1 1 7 10 1 3 20 36
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 1 3 3 36
Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models 0 0 0 0 2 15 54 196
Statement by the editors 0 0 0 2 0 1 2 29
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 2 6 17 137 5 16 41 293
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 0 0 1 247
Testing the permanent income hypothesis using a general rational lag formulation 0 0 0 1 0 3 12 18
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 4 13 62 667
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 6 26 100 440
The forward premium anomaly is not as bad as you think 9 22 78 277 15 34 131 573
The long memory of the forward premium 6 20 49 162 8 38 89 292
The search for equilibrium relationships in international finance: the case of the monetary model 0 1 3 28 1 6 28 96
Why do central banks intervene? 2 3 23 160 5 10 47 358
Total Journal Articles 106 314 1,164 5,320 193 647 2,465 13,092

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Statistics updated 2008-09-04