← All authors Richard T. Baillie Michigan State University (from arXiv:2203.04080, 2022) · ORCID · OpenAlex
101 papers in scope · 101 published · 2 on the econ.EM arXiv · 14,672 citations · h-index 42 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Koichiro Moriya Akihiko Noda Kun Ho Kim Tianwei Zhou J. Jenny Li Aaron Mora Likai Chen Francis X. Diebold George Kapetanios Chad E. Brown Christis Katsouris Dongyuan Mu Junjie Li Mikkel Sølvsten Wei Biao Wu Anna Mikusheva Sayar Karmakar George Michailidis Jiahe Lin Stefan Richter Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 101)
Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons
published 2025 · Economics Letters
Yes! uncovered interest parity does hold in the long run
published 2025 · Journal of International Money and Finance · 3 citations
published 2024 · Econometrics Journal · 7 citations · first circulated 2016
Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility
published 2023 · Empirical Economics
with Dooyeon Cho, Seunghwa Rho
published 2022 · Journal of International Money and Finance · 5 citations
Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the M L E s
published 2022 · Econometrics and Statistics · 1 citations
with Dooyeon Cho, Seunghwa Rho
Hierarchical Time-Varying Estimation of Asset Pricing Models
published 2022 · Journal of risk and financial management · 2 citations
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
published 2019 · Journal of Time Series Analysis · 38 citations
with Fabio Calonaci, Dooyeon Cho, Seunghwa Rho
Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets
published 2019 · Korean Economic Review/The Korean economic review
with Young Wook Han
no link
Choices between OLS with robust inference and feasible GLS in time series regressions
published 2018 · Economics Letters · 8 citations
Editor's introduction for the special issue of the Journal of Empirical Finance on “The euro zone in crisis”
published 2016 · Journal of Empirical Finance
with Mark J. Jensen
Assessing Euro crises from a time varying international CAPM approach
published 2016 · Journal of Empirical Finance · 4 citations
with Dooyeon Cho
On the estimation of short memory components in long memory time series models
published 2016 · Studies in Nonlinear Dynamics and Econometrics · 2 citations
Inference for impulse response coefficients from multivariate fractionally integrated processes
published 2015 · Econometric Reviews · 3 citations · first circulated 2014
Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
published 2015 · Journal of Empirical Finance · 13 citations
When Carry Trades in Currency Markets are not Profitable
published 2014 · Review of Development Economics · 11 citations
with Dooyeon Cho
Bandwidth selection by cross-validation for forecasting long memory financial time series
published 2014 · Journal of Empirical Finance · 13 citations
Time variation in the standard forward premium regression: Some new models and tests
published 2014 · Journal of Empirical Finance · 28 citations
with Dooyeon Cho
Modified information criteria and selection of long memory time series models
published 2013 · Computational Statistics & Data Analysis · 15 citations
High Frequency Interest Rate Differentials and Long Memory Property in Forward Premium Anomaly
published 2013 · Korean Journal of Financial Engineering
with Young Wook Han
Estimation and inference for impulse response functions from univariate strongly persistent processes
published 2012 · Econometrics Journal · 21 citations
Adaptive ARFIMA models with applications to inflation
published 2012 · Economic Modelling · 41 citations · first circulated 2011
Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
published 2011 · International Journal of Forecasting · 24 citations
Possible solutions to the forward bias paradox
published 2011 · Journal of International Financial Markets Institutions and Money · 20 citations
Carry trades, momentum trading and the forward premium anomaly
published 2011 · Journal of Financial Markets · 91 citations
with Sanders S. Chang
Normal heartbeat series are nonchaotic, nonlinear, and multifractal: New evidence from semiparametric and parametric tests
published 2009 · Chaos An Interdisciplinary Journal of Nonlinear Science · 35 citations
with Aydin A. Cecen, Cahit Erkal
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
published 2009 · Journal of Economic Dynamics and Control · 216 citations · first circulated 2007
Nonlinear models for strongly dependent processes with financial applications
published 2008 · Journal of Econometrics · 34 citations
Testing for Neglected Nonlinearity in Long-Memory Models
published 2007 · Journal of Business and Economic Statistics · 55 citations · first circulated 2002
Long memory models for daily and high frequency commodity futures returns
published 2007 · Journal of Futures Markets · 92 citations
with Young Wook Han, Robert J. Myers, Jeongseok Song
Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
published 2005 · Journal of International Money and Finance · 160 citations
with Rehim Kılıç
Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
published 2004 · Journal of International Financial Markets Institutions and Money · 21 citations
with Aydin A. Cecen, Cahit Erkal, Young Wook Han
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
published 2004 · Econometric Theory · 23 citations
with Hira L. Koul, Донатас Сургайлис
Asymptotics of M-estimators in non-linear regression with long memory designs
published 2003 · Statistics & Probability Letters · 10 citations
with Hira L. Koul
Price discovery and common factor models
published 2002 · Journal of Financial Markets · 565 citations
with G. Geoffrey Booth, Yiuman Tse, Tatyana Zabotina
Modeling and forecasting from trend-stationary long memory models with applications to climatology
published 2002 · International Journal of Forecasting · 94 citations
with Sang-Kuck Chung
Introduction
published 2002 · International Journal of Forecasting · 1 citations
with Nuno Crato, Baishakhi Ray
The Message in Daily Exchange Rates
published 2002 · Journal of Business and Economic Statistics · 800 citations
with Tim Bollerslev
Further Long Memory Properties of Inflationary Shocks
published 2002 · Southern Economic Journal · 70 citations
with Young Wook Han, Tae-Go Kwon
Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
published 2001 · Journal of Time Series Analysis · 61 citations
with Hui-Min Chung
Testing Target-Zone Models Using Efficient Method of Moments: Comment
published 2001 · Journal of Business and Economic Statistics · 4 citations
with Young-Wook Han
no link
Deviations from daily uncovered interest rate parity and the role of intervention
published 2000 · Journal of International Financial Markets Institutions and Money · 44 citations
with William P. Osterberg
High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities
published 2000 · Multinational Finance Journal · 50 citations
with Aydin A. Cecen, Young-Wook Han, Young Wook Han
Intervention from an information perspective
published 2000 · Journal of International Financial Markets Institutions and Money · 56 citations
with Owen F. Humpage, William P. Osterberg
Central bank intervention
published 2000 · Journal of International Financial Markets Institutions and Money · 13 citations
The forward premium anomaly is not as bad as you think
published 2000 · Journal of International Money and Finance · 340 citations
with Tim Bollerslev
Comment
published 1998 · Journal of Business and Economic Statistics · 1 citations
[Real and Spurious Long-Memory Properties of Stock-Market Data]: Comment
published 1998 · Journal of Business and Economic Statistics
Why do central banks intervene?
published 1997 · Journal of International Money and Finance · 219 citations
with William P. Osterberg
Papers in honor of Patrick C. McMahon
published 1997 · Journal of International Money and Finance · 1 citations
with Éric Girardin, James R. Lothian, James W. McFarland
Central bank intervention and risk in the forward market
published 1997 · Journal of International Economics · 148 citations · first circulated 1993
with William P. Osterberg
Fractionally integrated generalized autoregressive conditional heteroskedasticity
published 1996 · Journal of Econometrics · 2318 citations
with Tim Bollerslev, Hans Ole Mikkelsen
Long memory processes and fractional integration in econometrics
published 1996 · Journal of Econometrics · 1914 citations
Editors' introduction: Fractional differencing and long memory processes
published 1996 · Journal of Econometrics · 45 citations
with Maxwell L. King
A minimum distance estimator for long-memory processes
published 1996 · Journal of Econometrics · 50 citations
with Margie Tieslau, Peter Schmidt
Analysing inflation by the fractionally integrated ARFIMA-GARCH model
published 1996 · Journal of Applied Econometrics · 570 citations
with Ching-Fan Chung, Margie Tieslau
The long memory of the forward premium
published 1994 · Journal of International Money and Finance · 212 citations
with Tim Bollerslev
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
published 1994 · The Journal of Finance · 336 citations
with Tim Bollerslev
On the limitations of comparing mean square forecast errors: Commentary
published 1993 · Journal of Forecasting · 5 citations
Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models
published 1993 · Empirical Economics · 108 citations
with Ching-Fan Chung
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
published 1993 · Journal of International Money and Finance · 44 citations · first circulated 1991
with Tim Bollerslev, Michael R. Redfearn
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
published 1993 · Journal of Applied Econometrics · 1 citations
Statement by the editors
published 1993 · Journal of Empirical Finance · 13 citations
Comment on modeling asset returns with alternatrve stable distributions
published 1993 · Econometric Reviews · 7 citations
Prediction in dynamic models with time-dependent conditional variances
published 1992 · Journal of Econometrics · 284 citations · first circulated 1990
with Tim Bollerslev, R.T. Bollerslev
The search for equilibrium relationships in international finance: the case of the monetary model
published 1991 · Journal of International Money and Finance · 47 citations
with Rowena A. Pecchenino
Primary Commodity Prices: Economic Models and Policy.
published 1991 · The Economic Journal · 1 citations
with L. Alan Winters, David Sapsford
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates
published 1991 · The Review of Economic Studies · 504 citations · first circulated 1989
with Tim Bollerslev
Bivariate garch estimation of the optimal commodity futures Hedge
published 1991 · Journal of Applied Econometrics · 737 citations
with Robert J. Myers
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
published 1990 · Journal of International Money and Finance · 298 citations
with Tim Bollerslev
The Foreign Exchange Market: Theory and Econometric Evidence.
published 1990 · Economica · 200 citations
with David Miles, Patrick C. McMahon, Patrick Minford, Patrick J. McMahon
Stock Returns and Volatility
published 1990 · Journal of Financial and Quantitative Analysis · 739 citations · first circulated 1988
with Ramon P. DeGennaro
The impact of delivery terms on stock return volatility
published 1989 · Journal of Financial Services Research · 24 citations · first circulated 1988
with Ramon P. DeGennaro
Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?
published 1989 · Carnegie-Rochester Conference Series on Public Policy · 30 citations
The Message in Daily Exchange Rates: A Conditional-Variance Tale
published 1989 · Journal of Business and Economic Statistics · 368 citations
with Tim Bollerslev
Forecast master: A review
published 1989 · Journal of Applied Econometrics
Common Stochastic Trends in a System of Exchange Rates
published 1989 · The Journal of Finance · 593 citations
with Tim Bollerslev
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets.
published 1989 · The Economic Journal · 39 citations
with Robert J. Hodrick
Econometric tests of rationality and market efficiency
published 1989 · Econometric Reviews · 138 citations · first circulated 1988
Reply
published 1989 · Econometric Reviews
Modelling financial time series
published 1987 · European Journal of Operational Research · 282 citations
Inference in dynamic models containing ‘surprise’ variables
published 1987 · Journal of Econometrics · 42 citations
Cointegration and models of exchange rate determination
published 1987 · International Journal of Forecasting · 266 citations
with David D. Selover
Introduction
published 1987 · International Journal of Forecasting
with Don Alexander, Thomas Lee
Handbook of econometrics
published 1986 · International Journal of Forecasting · 553 citations
Estimation and testing of the term structure of the forward premium under rational expectations
published 1986 · Journal of Macroeconomics · 2 citations
with Patrick C. McMahon
Contrastación de la hipótesis de las expectativas eficientes no sesgadas en el mercado a futuros de divisas y cuantificación de los efectos de la nueva información
published 1986 · Información Comercial Española, ICE: Revista de economía
no link
Some joint tests of market efficiency: The case of the forward premium
published 1985 · Journal of Macroeconomics · 10 citations
with Patrick C. McMahon
INTERPRETING ECONOMETRIC EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET
published 1984 · Oxford Economic Papers · 37 citations
with R. W. Bailey, Patrick C. McMahon
Time series analysis: A comprehensive introduction for social scientists, Gottman, John M. Cambridge: Cambridge University Press, 1981. Price: £18.50. Pages: 400
published 1984 · Journal of Forecasting · 1 citations
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
published 1984 · Journal of Forecasting
Small-Sample Properties of Predictions from the Regression Model with Autoregressive Errors
published 1983 · Journal of the American Statistical Association · 10 citations
with John J. Spitzer
Testing Rational Expectations and Efficiency in the Foreign Exchange Market
published 1983 · Econometrica · 185 citations
with Robert E. Lippens, Patrick C. McMahon
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
published 1983 · Economics Letters · 3 citations
Asymptotic standard errors for moving average representation coefficients
published 1982 · Medical Entomology and Zoology · 2 citations
no link
Interest rates and investment in West Germany
published 1981 · Empirical Economics · 8 citations
with Patrick C. McMahon
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
published 1981 · Econometrica · 34 citations
Predictions from ARMAX models
published 1980 · Journal of Econometrics · 46 citations
Testing the permanent income hypothesis using a general rational lag formulation
published 1980 · Economics Letters · 2 citations
with Patrick C. McMahon, David J. Smyth
The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
published 1979 · Journal of the American Statistical Association · 47 citations
Asymptotic prediction mean squared error for vector autoregressive models
published 1979 · Biometrika · 54 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).