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 1 0 0 0 278
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 0 1 2 2 289
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 0 1 179
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 1 24 28 29 32 50
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 0 541
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 0 276
COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? 0 0 0 0 0 0 0 453
Central Bank Intervention and Risk in the Forward Premium 0 0 0 0 0 0 0 237
Central bank intervention and overnight uncovered interest rate parity 0 0 0 292 0 0 0 952
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 0 4 908
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 0 5 0 1 6 821
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 0 0 389
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 1 1 1,000
Intervention as information: a survey 0 0 0 152 0 0 0 529
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 0 1 678
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 0 2 914
On Robust Inference in Time Series Regression 0 0 3 3 26 26 35 35
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 1 2 883
Post-Louvre intervention: did target zones stabilize the dollar? 0 0 0 41 0 0 1 329
Prediction from the Regression Model with one-way Error Components 0 0 0 1 1 2 5 808
STOCK RETURNS AND VOLATILITY 0 0 0 0 0 1 4 587
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 0 0 0 250
The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis 0 0 0 0 0 0 0 172
The Long Memory of the Foreward Premium 0 0 0 0 0 1 1 397
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 1 1 4 306
The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990 0 0 0 30 0 0 1 415
Total Working Papers 0 0 4 556 57 65 102 12,676
5 registered items for which data could not be found


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 0 0 0 59 1 1 1 171
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 1 377 0 1 3 764
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 0 0 11 742 0 2 23 1,648
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates 0 0 0 7 0 0 0 67
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 26 0 0 0 157
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 0 0 9 1,564 1 1 19 3,642
Central bank intervention 0 0 0 25 0 0 0 91
Central bank intervention and risk in the forward market 0 0 3 134 0 0 6 398
Cointegration and models of exchange rate determination 0 0 4 372 0 1 10 747
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 1 1 5 367 3 4 11 894
Deviations from daily uncovered interest rate parity and the role of intervention 0 0 1 128 0 0 2 334
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 0 0 4 94 0 0 8 240
Editors' introduction: Fractional differencing and long memory processes 0 0 2 87 0 0 4 205
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 1 10 0 0 1 43
Forecast Master: A Review 0 0 0 54 0 0 1 349
Fractionally integrated generalized autoregressive conditional heteroskedasticity 0 3 15 1,468 2 9 45 3,336
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 0 0 52 1 1 2 200
Inference in dynamic models containing 'surprise' variables 0 0 0 26 1 1 1 86
Interest Rates and Investment in West Germany 0 0 0 0 0 0 4 153
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 0 0 0 41 0 0 1 153
Intervention from an information perspective 0 0 0 94 0 0 1 276
Introduction 0 0 0 0 0 0 0 20
Introduction 0 0 0 4 0 0 0 50
Long memory processes and fractional integration in econometrics 2 2 12 1,805 2 3 36 3,514
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 0 0 1 58 0 0 2 179
Modeling and forecasting from trend-stationary long memory models with applications to climatology 0 0 1 51 0 0 4 165
Papers in honor of Patrick C. McMahon 0 0 0 12 0 0 0 110
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 0 0 0 44 0 0 0 164
Prediction in dynamic models with time-dependent conditional variances 1 3 10 601 2 4 17 1,000
Predictions from ARMAX models 0 2 6 145 0 3 9 364
Price discovery and common factor models 0 0 10 530 2 3 17 1,078
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 0 71
Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models 0 0 0 0 2 2 5 371
Statement by the editors 0 0 0 7 0 0 0 64
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 0 0 0 195 0 0 0 485
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 0 0 0 288
Testing the permanent income hypothesis using a general rational lag formulation 0 0 0 3 0 0 0 42
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 1 2 1,027
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 1 5 14 1,058
The forward premium anomaly is not as bad as you think 0 0 2 537 0 0 4 1,127
The long memory of the forward premium 0 0 1 279 0 0 1 590
The search for equilibrium relationships in international finance: the case of the monetary model 0 0 0 56 0 0 0 191
Why do central banks intervene? 0 2 3 368 0 2 5 846
Total Journal Articles 4 13 102 10,422 18 44 259 26,758


Statistics updated 2025-02-05