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 1 4 274
A Generalized Method of Moments Estimator for Long-Memory Processes 0 0 0 1 1 1 4 268
A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis 0 0 0 0 0 0 0 171
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange 0 0 0 0 0 0 5 521
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 0 0 2 448
Central Bank Intervention and Risk in the Forward Premium 0 0 0 0 0 0 1 232
Central bank intervention and overnight uncovered interest rate parity 0 0 1 292 0 0 2 944
Cointegration, Fractional Cointegration, and Exchange RAte Dynamics 0 0 0 1 0 1 4 876
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly? 0 0 2 206 1 2 6 555
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY 0 0 0 5 1 2 5 792
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES 0 0 0 0 0 2 21 382
INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES 0 0 0 4 0 0 6 979
Intervention as information: a survey 0 0 0 151 0 0 0 508
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices 0 3 9 1,002 2 7 38 2,376
MODELING COMMODITY PRICE DISTRIBUTION AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 0 0 6 666
MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE 0 0 0 0 1 1 6 901
Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach 0 0 5 295 0 2 18 666
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 114 0 0 3 265
PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES 0 0 0 2 0 1 2 861
Post-Louvre intervention: did target zones stabilize the dollar? 0 0 2 41 0 1 4 306
Prediction from the Regression Model with one-way Error Components 0 0 0 1 1 8 17 765
STOCK RETURNS AND VOLATILITY 0 0 0 0 1 2 9 546
THE IMPACT OF DELIVERY TERMS ON STOCK RETURN VOLATILITY 0 0 0 0 0 4 4 244
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 157 0 0 0 318
The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis 0 0 0 0 0 0 1 161
The Long Memory of the Foreward Premium 0 0 0 0 1 2 7 381
The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model 0 0 0 0 0 1 4 285
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 1 404
Total Working Papers 0 3 19 2,302 10 38 181 16,367


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 4 154
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 0 1 5 373 3 7 15 741
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model 0 1 12 686 1 3 30 1,516
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 65
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 0 1 1 26 1 2 3 138
Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge 0 0 4 1,533 4 5 15 3,545
Central bank intervention 0 0 0 25 0 0 0 88
Central bank intervention and risk in the forward market 0 1 5 130 1 3 9 371
Cointegration and models of exchange rate determination 1 2 5 343 3 5 13 690
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 2 6 14 343 6 19 42 820
Deviations from daily uncovered interest rate parity and the role of intervention 0 0 3 123 0 1 4 322
Do asymmetric and nonlinear adjustments explain the forward premium anomaly? 0 0 0 83 0 0 1 194
Editors' introduction: Fractional differencing and long memory processes 0 0 1 79 0 0 1 184
Estimation and testing of the term structure of the forward premium under rational expectations 0 0 0 9 0 1 3 38
Forecast Master: A Review 0 0 0 54 0 0 2 342
Fractionally integrated generalized autoregressive conditional heteroskedasticity 3 10 41 1,317 8 22 107 2,849
Handbook of econometrics: Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 0 0 2 48 0 0 5 173
Inference in dynamic models containing 'surprise' variables 0 0 0 25 0 0 3 77
Interest Rates and Investment in West Germany 0 0 0 0 2 2 3 129
Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market 1 1 1 41 1 1 2 146
Intervention from an information perspective 0 0 1 90 0 8 9 260
Introduction 0 0 0 0 0 0 0 19
Introduction 0 0 0 4 0 0 2 45
Long memory processes and fractional integration in econometrics 3 8 48 1,643 11 22 100 3,123
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates 0 0 0 56 2 2 4 174
Modeling and forecasting from trend-stationary long memory models with applications to climatology 0 0 0 41 3 3 5 138
Papers in honor of Patrick C. McMahon 0 0 0 11 2 2 3 103
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors 0 0 0 43 0 0 1 153
Prediction in dynamic models with time-dependent conditional variances 0 2 6 550 3 7 18 876
Predictions from ARMAX models 0 0 0 136 0 1 3 342
Price discovery and common factor models 2 4 19 471 3 9 36 938
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 1 68
Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models 0 0 0 0 1 1 4 338
Statement by the editors 0 0 0 7 0 0 0 59
Testing Rational Expectations and Efficiency in the Foreign Exchange Market 1 1 2 189 4 4 6 449
Testing Target-Zone Models Using Efficient Method of Moments: Comment 0 0 0 0 0 0 1 283
Testing the permanent income hypothesis using a general rational lag formulation 0 0 0 3 0 0 0 37
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 2 4 6 992
The Message in Daily Exchange Rates: A Conditional-Variance Tale 0 0 0 0 5 14 46 980
The forward premium anomaly is not as bad as you think 0 4 12 511 0 10 29 1,057
The long memory of the forward premium 2 4 11 273 3 8 28 569
The search for equilibrium relationships in international finance: the case of the monetary model 0 0 0 53 0 0 1 176
Why do central banks intervene? 0 0 5 350 0 4 18 800
Total Journal Articles 15 46 199 9,733 69 171 583 24,561


Statistics updated 2019-09-09