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 2 2 3 270
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 0 1 2 5 276
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 1 1 172
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 2 3 6 525
Bear Squeezes in the Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 1 272
COMMODITY PRICES AND AGGREGATE INFLATION: WOULD A COMMODITY PRICE RULE BE WORTHWHILE? 0 0 0 0 1 3 3 451
Central Bank Intervention and Risk in the Forward Premium 0 0 0 0 2 2 3 234
Central bank intervention and overnight uncovered interest rate parity 0 0 0 292 0 1 2 945
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 3 6 8 882
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? 1 1 2 207 4 4 9 560
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 0 5 1 4 7 797
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 1 2 11 384
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 2 3 9 984
Intervention as information: a survey 0 0 0 151 1 1 5 513
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices 0 0 6 1,002 3 8 27 2,386
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 1 2 4 668
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 1 5 903
Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach 0 0 3 297 0 2 15 671
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 114 0 1 1 266
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 1 2 862
Post-Louvre intervention: did target zones stabilize the dollar? 0 0 2 41 2 2 5 308
Prediction from the Regression Model with one-way Error Components 0 0 0 1 0 4 14 770
STOCK RETURNS AND VOLATILITY 0 0 0 0 4 6 12 553
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 0 1 5 245
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 157 1 1 2 320
The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis 0 0 0 0 2 3 3 164
The Long Memory of the Foreward Premium 0 0 0 0 0 3 8 385
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 0 1 4 287
The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990 0 0 0 30 1 3 3 407
Total Working Papers 1 1 13 2,305 34 73 183 16,460


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 1 57 0 1 4 156
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 0 3 374 0 3 15 747
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 1 3 10 690 4 7 22 1,524
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates 0 0 0 7 1 1 1 66
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 0 1 26 2 3 10 146
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 0 0 4 1,533 1 3 15 3,549
Central bank intervention 0 0 0 25 1 1 1 89
Central bank intervention and risk in the forward market 0 0 4 130 3 3 11 374
Cointegration and models of exchange rate determination 0 2 5 345 0 7 15 697
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 1 1 12 345 3 8 43 835
Deviations from daily uncovered interest rate parity and the role of intervention 0 0 2 123 0 1 4 323
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 0 0 0 83 2 5 7 200
Editors' introduction: Fractional differencing and long memory processes 0 0 1 79 1 1 4 187
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 0 9 0 2 4 40
Forecast Master: A Review 0 0 0 54 0 1 3 343
Fractionally integrated generalized autoregressive conditional heteroskedasticity 2 12 43 1,336 11 30 110 2,895
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 0 2 49 2 3 7 177
Inference in dynamic models containing 'surprise' variables 0 0 0 25 1 1 1 78
Interest Rates and Investment in West Germany 0 0 0 0 0 2 5 131
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 0 0 1 41 0 1 3 147
Intervention from an information perspective 0 0 1 91 2 2 12 264
Introduction 0 0 0 4 2 3 3 48
Introduction 0 0 0 0 1 1 1 20
Long memory processes and fractional integration in econometrics 3 8 44 1,659 6 21 110 3,164
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 0 0 0 56 0 1 4 176
Modeling and forecasting from trend-stationary long memory models with applications to climatology 0 0 0 41 2 2 7 141
Papers in honor of Patrick C. McMahon 0 0 0 11 0 1 4 105
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 0 0 0 43 2 2 4 157
Prediction in dynamic models with time-dependent conditional variances 1 3 7 553 2 8 26 889
Predictions from ARMAX models 0 0 0 136 0 1 3 343
Price discovery and common factor models 3 4 13 477 5 9 35 954
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 1 1 2 69
Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models 0 0 0 0 1 4 7 343
Statement by the editors 0 0 0 7 1 3 3 62
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 0 1 3 190 3 4 11 455
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 2 2 2 285
Testing the permanent income hypothesis using a general rational lag formulation 0 0 0 3 3 3 3 40
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 3 35 985
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 0 2 9 996
The forward premium anomaly is not as bad as you think 2 3 12 515 3 8 32 1,068
The long memory of the forward premium 0 1 6 274 0 2 19 571
The search for equilibrium relationships in international finance: the case of the monetary model 1 1 1 54 2 2 3 179
Why do central banks intervene? 0 0 3 351 2 4 14 805
Total Journal Articles 14 39 179 9,796 72 173 634 24,823


Statistics updated 2020-02-04