Richard Baillie
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British-American economist
Richard Baillie's AcademicInfluence.com Rankings
Richard Baillieeconomics Degrees
Economics
#3221
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#3653
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Financial Economics
#52
World Rank
#52
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Macroeconomics
#281
World Rank
#297
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Economics
Richard Baillie's Degrees
- Bachelors Economics University of Oxford
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Why Is Richard Baillie Influential?
(Suggest an Edit or Addition)According to Wikipedia, Richard T. Baillie is a British–American economist and statistician who is currently the A J Pasant Professor of Economics at the Michigan State University. He is also part time professor at King's College, London, and Senior Scientific Officer for the Rimini Center for Economic Analysis in Italy, and also on the Executive Council of the Society for Nonlinear Dynamics in Econometrics .
Richard Baillie's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996) (2243)
- Long memory processes and fractional integration in econometrics (1996) (1944)
- The Message in Daily Exchange Rates (1989) (1005)
- Bivariate garch estimation of the optimal commodity futures Hedge (1991) (762)
- Common Stochastic Trends in a System of Exchange Rates (1989) (661)
- Analysing inflation by the fractionally integrated ARFIMA–GARCH model (1996) (617)
- Stock Returns and Volatility (1990) (536)
- Price discovery and common factor models (2002) (512)
- INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES (1991) (507)
- Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994) (369)
- The forward premium anomaly is not as bad as you think (2000) (332)
- Prediction in dynamic models with time-dependent conditional variances (1992) (303)
- A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990) (300)
- Cointegration and models of exchange rate determination (1987) (237)
- The long memory of the forward premium (1994) (221)
- The Foreign Exchange Market: Theory and Econometric Evidence (1990) (219)
- Why do central banks intervene (1997) (209)
- Testing rational expectations and efficiency in the foreign exchange market (1983) (186)
- Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach (2009) (182)
- Central bank intervention and risk in the forward market (1997) (146)
- Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly (2006) (144)
- ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY (1989) (138)
- Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models (1993) (129)
- Modeling and forecasting from trend-stationary long memory models with applications to climatology (2002) (94)
- Long memory models for daily and high frequency commodity futures returns (2007) (90)
- Further Long Memory Properties of Inflationary Shocks (2002) (83)
- Carry trades, momentum trading and the forward premium anomaly (2011) (76)
- The Foreign Exchange Market (1989) (68)
- Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (1993) (67)
- The Search for Equilibrium Relationships in International Finance: The Case of the Monetary Model (1991) (66)
- Testing for Neglected Nonlinearity in Long-Memory Models (2007) (65)
- Estimation of GARCH Models from the Autocorrelations of the Squares of a Process (2001) (61)
- Intervention from an information perspective (2000) (57)
- Deviations from daily uncovered interest rate parity and the role of intervention (2000) (53)
- Deviations from daily uncovered interest rate parity and the role of intervention (2000) (53)
- The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors (1979) (51)
- A minimum distance estimator for long-memory processes (1996) (45)
- Asymptotic prediction mean squared error for vector autoregressive models (1979) (45)
- Inference in dynamic models containing 'surprise' variables (1987) (45)
- Post-Louvre Intervention: Did Target Zones Stabilize the Dollar? (1992) (44)
- Editors' introduction: Fractional differencing and long memory processes (1996) (43)
- Nonlinear models for strongly dependent processes with financial applications (2008) (40)
- PREDICTIONS FROM ARMAX MODELS (1980) (40)
- Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market (1984) (38)
- Adaptive ARFIMA models with applications to inflation (2012) (36)
- Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile? (1989) (34)
- Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors (1981) (32)
- Normal heartbeat series are nonchaotic, nonlinear, and multifractal: new evidence from semiparametric and parametric tests. (2009) (31)
- Analysis of panels and limited dependent variable models: Prediction from the regression model with one-way error components (1999) (29)
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS (2004) (28)
- High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities (2015) (27)
- A Conditional-Variance Tale (1989) (24)
- The impact of delivery terms on stock return volatility (1989) (23)
- Time variation in the standard forward premium regression: Some new models and tests (2014) (23)
- Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (2019) (23)
- MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE (1989) (20)
- Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures (2012) (19)
- Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates (2004) (18)
- Central bank intervention (2000) (17)
- Possible solutions to the forward bias paradox (2011) (16)
- Long memory and FIGARCH models for daily and high frequency commodity prices (2007) (15)
- The Long Memory and Variability of Inflation: A Reappraisal of the Friedman Hypothesis (1992) (14)
- Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions (2015) (14)
- Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes (2013) (14)
- Bandwidth selection by cross-validation for forecasting long memory financial time series (2014) (13)
- Modified information criteria and selection of long memory time series models (2014) (12)
- Statement From The Editors (1981) (12)
- Small-Sample Properties of Predictions from the Regression Model with Autoregressive Errors (1983) (11)
- Interest rates and investment in West Germany (1981) (11)
- When Carry Trades in Currency Markets are Not Profitable (2014) (11)
- THE RISK PREMIUM IN FORWARD FOREIGN EXCHANGE MARKETS AND G-3 CENTRAL BANK INTERVENTION: EVIDENCE OF DAILY EFFECTS, 1985-1990 (1991) (11)
- Central Bank Intervention and Risk in the Forward Premium (1993) (10)
- Asymmetry and nonlinearity in Uncovered Interest Rate Parity (2004) (9)
- Asymptotics of M-estimators in non-linear regression with long memory designs (2003) (8)
- Some joint tests of market efficiency: The case of the forward premium (1985) (8)
- Intervention as Information: A Survey (1999) (8)
- Real and Spurious Long-Memory Properties of Stock-Market Data: Comment (1998) (7)
- Semi Parametric Estimation of Long Memory : the Holy Grail or a Poisoned Chalice ? ” (2007) (7)
- An examination of the public discourse on benefit claimants in the media (2011) (7)
- Testing Target-Zone Models Using Efficient Method of Moments: Comment (2001) (7)
- Comment on modeling asset returns with alternatrve stable distributions (1993) (6)
- Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates (2006) (6)
- Central bank intervention and overnight uncovered interest rate parity (1998) (5)
- Modelling financial time series: S. TAYLOR Wiley, Chichester, 1986, xvi + 268 pages, £19.95 (1987) (5)
- Assessing Euro crises from a time varying international CAPM approach (2016) (4)
- FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES (1988) (3)
- On Robust Inference in Time Series Regression (2022) (2)
- Estimation and testing of the term structure of the forward premium under rational expectations (1986) (2)
- Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 (1986) (2)
- Volatility in Foreign Exchange Rates (2007) (2)
- Choices between OLS with robust inference and feasible GLS in time series regressions (2018) (2)
- Inference for impulse response coefficients from multivariate fractionally integrated processes (2014) (2)
- Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates (1983) (2)
- Testing the permanent income hypothesis using a general rational lag formulation (1980) (2)
- Introduction to multiple time series analysis, H. LÜTKEPOHL. Springer-Verlag. Berlin And New York, 1991. ISBN 0-387-53194-7, cloth £31, pp. 1 + 545 (1993) (2)
- A New Test for Market Efficiency and Uncovered Interest Parity (2022) (1)
- Rational Forecasts in Models of the Term Structure of Interest Rates (1987) (1)
- A Generalized Method of Moments Estimator for Long-Memory Processes (1992) (1)
- Time series analysis: A comprehensive introduction for social scientists, Gottman, John M. Cambridge: Cambridge University Press, 1981. Price: £18.50. Pages: 400 (1984) (1)
- Estimation and Inference for Impulse Response Weights From Strongly Persistent Processes (2010) (1)
- Hierarchical Time-Varying Estimation of Asset Pricing Models (2022) (1)
- Papers in honor of Patrick C. McMahon (1997) (1)
- Asymptotic standard errors for moving average representation coefficients (1982) (1)
- A New Test and Historical Perspectives on Tests for Market Efficiency and Rational Expectations in Financial Markets (2022) (0)
- Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility (2023) (0)
- Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches (2016) (0)
- Long Memory Property and Central Bank Intervention in the 1920s Foreign Exchange Markets (2006) (0)
- Is Robust Inference with OLS Sensible in Time Series Regressions ? Comparisons with Feasible GLS and V AR Approaches (2016) (0)
- Testing the rational expectations model of the term structure of interest rates (1982) (0)
- Bear Squeezes in the Hyperinflation 1920s Foreign Exchange (1991) (0)
- Long Memory, Realized Volatility and HAR Models (2019) (0)
- Local Deviations from Uncovered Interest Parity: The Role of Macroeconomic Fundamentals (2015) (0)
- Editorial collaborators (2007) (0)
- Estimating the Relationship Between Output and Hours Worked in United Kingdom Manufacturing and Production Industries (1987) (0)
- High Frequency Interest Rate Differentials and Long Memory Property in Forward Premium Anomaly (2013) (0)
- A user's guide to the gottman-williams time series analysis computer programs for social scientists, Cambridge: Cambridge University Press, 1982. Price: £6.50. Pages: 108 (1984) (0)
- Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets (2019) (0)
- Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model (2019) (0)
- On the estimation of short memory components in long memory time series models (2016) (0)
- Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si103.svg"><mml:mrow><mml:mi>M</mml:mi><mml:mi>L</mml:mi><mml:mi>E</mml:mi></mml:mrow></mml:math>s (2022) (0)
- Editor's introduction for the special issue of the Journal of Empirical Finance on “The euro zone in crisis” (2016) (0)
- Expectations, risk and interest parity in the foreign exchange market (1982) (0)
- Asymmetric Adjustment Toward Optimal Capital Structure: Evidence From a Crisis∗ (2018) (0)
- Forecast master: A review (1989) (0)
- Local Deviations from Uncovered Interest Parity: Kernel Smoothing Functions and the Role of Fundamentals (2014) (0)
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