Research output per year
Research output per year
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Dive into the research topics where Richard Baillie is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
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Research output
- 12 Article
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A new test for market efficiency and uncovered interest parity
Baillie, R. T., Diebold, F. X., Kapetanios, G. & Kim, K. H., Feb 2023, In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 130, 102765.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs
Baillie, R. T., Cho, D. & Rho, S., 30 Jun 2022, (E-pub ahead of print) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
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Hierarchical Time-Varying Estimation of Asset Pricing Models
Baillie, R. T., Calonaci, F. & Kapetanios, G., Jan 2022, In: Journal of Risk and Financial Management. 15, 1, 14.Research output: Contribution to journal › Article › peer-review
Open Access1 Citation (Scopus) -
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, R. T., Calonaci, F., Cho, D. & Rho, S., 1 Jul 2019, In: JOURNAL OF TIME SERIES ANALYSIS. 40, 4, p. 609-628 20 p.Research output: Contribution to journal › Article › peer-review
25 Citations (Scopus) -
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, R. T., Kapetanios, G. & Papailias, F., 16 Mar 2017, In: ECONOMETRIC REVIEWS. 36, 1-3, p. 60-84Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus)