Research output per year
Research output per year
Research output
- 12 Article
- 12 results
Search results
-
2023
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) -
2022
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
-
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) -
2019
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) -
2017
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) -
2016
Assessing Euro crises from a time varying international CAPM approach
Baillie, R. T. & Cho, D., Dec 2016, In: Journal of Empirical Finance. 39, B, p. 197-208Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus) -
2015
Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, R. T. & Kim, K. H., 1 Dec 2015, In: Journal of Empirical Finance. 34, 0, p. 99-111Research output: Contribution to journal › Article › peer-review
10 Citations (Scopus) -
2014
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, R. T., Kapetanios, G. & Papailias, F., Dec 2014, In: Journal of Empirical Finance. 29, p. 129-143Research output: Contribution to journal › Article › peer-review
9 Citations (Scopus) -
Modified information criteria and selection of long memory time series models
Baillie, R. T., Kapetanios, G. & Papailias, F., 1 Aug 2014, In: COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 76, p. 116-131Research output: Contribution to journal › Article › peer-review
12 Citations (Scopus) -
2009
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
Baillie, R. T. & Morana, C., Aug 2009, In: Journal Of Economic Dynamics & Control. 33, 8, p. 1577-1592Research output: Contribution to journal › Article › peer-review
116 Citations (Scopus) -
1983
TESTING RATIONAL-EXPECTATIONS AND EFFICIENCY IN THE FOREIGN-EXCHANGE MARKET
BAILLIE, R., LIPPENS, R. & MCMAHON, P., 1983, In: Econometrica. 51, 3, p. 553-563Research output: Contribution to journal › Article › peer-review
-
1980
PREDICTIONS FROM ARMAX MODELS
Baillie, R. T., 1980, In: JOURNAL OF ECONOMETRICS. 12, 3, p. 365-374Research output: Contribution to journal › Article › peer-review
34 Citations (Scopus)