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 1 2 5 279
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 1 0 1 4 272
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 0 4 175
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 1 4 12 534
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 3 4 276
COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? 0 0 0 0 1 2 5 453
Central Bank Intervention and Risk in the Forward Premium 0 0 0 0 0 0 2 234
Central bank intervention and overnight uncovered interest rate parity 0 0 0 292 0 0 1 945
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 1 4 12 888
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? 0 1 5 211 0 2 10 566
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 0 5 0 2 7 800
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 1 3 385
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 3 11 992
Intervention as information: a survey 0 0 1 152 1 4 6 518
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices 0 0 2 1,004 0 0 17 2,395
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 1 3 6 672
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 1 1 4 906
Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach 0 0 0 297 0 3 9 678
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 114 0 0 1 266
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 2 3 6 867
Post-Louvre intervention: did target zones stabilize the dollar? 0 0 0 41 0 3 11 317
Prediction from the Regression Model with one-way Error Components 0 0 0 1 0 4 12 778
STOCK RETURNS AND VOLATILITY 0 0 0 0 0 2 14 561
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 0 1 2 246
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 157 0 0 1 320
The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis 0 0 0 0 0 3 9 170
The Long Memory of the Foreward Premium 0 0 0 0 0 2 10 392
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 1 1 5 291
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 4 408
Total Working Papers 0 1 8 2,312 10 54 197 16,584


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 57 1 1 2 157
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 1 2 376 0 2 10 754
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 0 0 13 700 2 5 34 1,551
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates 0 0 0 7 0 0 1 66
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 0 26 2 2 7 150
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 1 3 7 1,540 1 3 21 3,567
Central bank intervention 0 0 0 25 0 0 1 89
Central bank intervention and risk in the forward market 0 0 0 130 1 2 9 380
Cointegration and models of exchange rate determination 1 3 10 353 1 4 16 706
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 0 1 4 348 1 7 23 850
Deviations from daily uncovered interest rate parity and the role of intervention 0 0 1 124 0 0 2 324
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 0 1 3 86 0 3 18 213
Editors' introduction: Fractional differencing and long memory processes 0 0 0 79 0 0 3 189
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 0 9 0 0 4 42
Forecast Master: A Review 0 0 0 54 0 1 2 344
Fractionally integrated generalized autoregressive conditional heteroskedasticity 2 6 44 1,368 4 23 125 2,990
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 0 0 49 1 2 5 179
Inference in dynamic models containing 'surprise' variables 0 0 0 25 0 0 1 78
Interest Rates and Investment in West Germany 0 0 0 0 0 0 7 136
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 0 0 0 41 0 0 3 149
Intervention from an information perspective 0 0 0 91 0 1 5 267
Introduction 0 0 0 0 0 0 1 20
Introduction 0 0 0 4 0 0 5 50
Long memory processes and fractional integration in econometrics 4 9 36 1,687 8 20 105 3,248
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 0 0 0 56 0 0 1 176
Modeling and forecasting from trend-stationary long memory models with applications to climatology 0 0 0 41 0 0 5 144
Papers in honor of Patrick C. McMahon 0 0 0 11 1 1 2 106
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 0 0 0 43 1 1 5 160
Prediction in dynamic models with time-dependent conditional variances 0 2 9 559 3 11 31 912
Predictions from ARMAX models 0 1 1 137 1 2 4 346
Price discovery and common factor models 1 4 15 488 1 5 37 982
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 2 70
Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models 0 0 0 0 2 3 8 347
Statement by the editors 0 0 0 7 0 0 3 62
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 0 0 3 192 1 3 11 462
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 0 0 2 285
Testing the permanent income hypothesis using a general rational lag formulation 0 0 0 3 0 0 4 41
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 5 7 19 1,001
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 2 3 14 1,008
The forward premium anomaly is not as bad as you think 0 0 4 516 1 3 27 1,087
The long memory of the forward premium 0 0 3 276 1 1 11 580
The search for equilibrium relationships in international finance: the case of the monetary model 0 0 1 54 1 1 8 185
Why do central banks intervene? 1 1 5 356 3 3 13 814
Total Journal Articles 10 32 161 9,918 45 120 617 25,267


Statistics updated 2020-11-03