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 3 278
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 0 0 0 1 287
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 0 0 177
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 1 540
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 1 235
Central bank intervention and overnight uncovered interest rate parity 0 0 0 292 0 0 2 951
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 0 8 902
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? 0 0 0 211 0 0 1 572
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 0 5 0 0 6 809
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 0 1 389
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 0 2 998
Intervention as information: a survey 0 0 0 152 1 1 4 526
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices 0 0 1 1,005 0 1 3 2,400
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 0 1 676
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 1 3 910
Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach 0 0 4 302 0 0 7 691
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 114 0 0 5 275
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 0 3 878
Post-Louvre intervention: did target zones stabilize the dollar? 0 0 0 41 0 0 1 326
Prediction from the Regression Model with one-way Error Components 0 0 0 1 1 4 6 791
STOCK RETURNS AND VOLATILITY 0 0 0 0 0 2 8 578
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 0 0 0 250
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 157 0 0 3 326
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 2 395
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 0 0 5 302
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 0 413
Total Working Papers 0 0 5 2,318 2 10 77 16,776


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 1 1 2 59 2 2 6 167
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 0 376 0 0 0 756
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 1 4 11 719 1 5 24 1,596
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 1 1 157
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 1 1 2 1,549 1 4 12 3,604
Central bank intervention 0 0 0 25 0 0 0 90
Central bank intervention and risk in the forward market 0 0 0 130 2 3 6 389
Cointegration and models of exchange rate determination 0 2 6 365 1 3 11 731
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 1 2 4 358 1 3 9 870
Deviations from daily uncovered interest rate parity and the role of intervention 0 1 1 126 0 1 1 330
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 0 0 0 88 0 0 3 224
Editors' introduction: Fractional differencing and long memory processes 0 0 1 81 0 0 2 193
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 0 9 0 0 0 42
Forecast Master: A Review 0 0 0 54 0 0 1 348
Fractionally integrated generalized autoregressive conditional heteroskedasticity 2 5 28 1,423 11 26 99 3,197
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 0 0 52 1 1 4 193
Inference in dynamic models containing 'surprise' variables 0 0 1 26 0 0 2 83
Interest Rates and Investment in West Germany 0 0 0 0 1 2 7 146
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 0 0 0 41 0 0 0 150
Intervention from an information perspective 0 0 0 93 0 0 3 274
Introduction 0 0 0 4 0 0 0 50
Introduction 0 0 0 0 0 0 0 20
Long memory processes and fractional integration in econometrics 3 9 34 1,760 10 19 80 3,405
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 0 0 0 57 0 0 0 177
Modeling and forecasting from trend-stationary long memory models with applications to climatology 0 0 3 47 1 1 7 158
Papers in honor of Patrick C. McMahon 0 0 1 12 0 1 2 110
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 0 0 1 44 0 0 1 164
Prediction in dynamic models with time-dependent conditional variances 1 1 4 576 2 2 16 954
Predictions from ARMAX models 0 0 0 137 0 0 2 352
Price discovery and common factor models 0 1 7 513 1 2 26 1,047
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 1 1 4 352
Statement by the editors 0 0 0 7 0 0 0 64
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 0 0 0 192 1 2 5 478
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 0 0 1 288
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 7 1,031
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 0 0 1,020
The forward premium anomaly is not as bad as you think 1 2 6 531 1 2 10 1,114
The long memory of the forward premium 1 2 2 278 1 2 4 586
The search for equilibrium relationships in international finance: the case of the monetary model 0 0 1 56 0 0 1 190
Why do central banks intervene? 0 3 7 363 0 4 18 834
Total Journal Articles 12 34 122 10,187 39 88 375 26,114


Statistics updated 2022-09-05