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Economics and Finance

D-Index
52
Citations
22044
World Ranking
1222
National Ranking
136

Research.com Recognitions

  • 2001 - Fellow of the American Statistical Association (ASA)

Overview

Richard T. Baillie is affiliated with King's College London in the United Kingdom. Their research primarily centers on Economics, Econometrics, and Finance, with 21 publications in this main field. The subfields covered by their work include Finance, Economics and Econometrics, General Economics, Econometrics and Finance, Control and Systems Engineering, as well as Statistics and Probability.

Key topics addressed in Baillie's research span Monetary Policy and Economic Impact, Market Dynamics and Volatility, Financial Markets and Investment Strategies, Financial Risk and Volatility Modeling, Complex Systems and Time Series Analysis, Fault Detection and Control Systems, and Advanced Statistical Methods and Models.

Recent papers authored by Baillie include:

  • A new test for market efficiency and uncovered interest parity, 2022, Journal of International Money and Finance
  • On robust inference in time-series regression, 2024, Econometrics Journal
  • Hierarchical Time-Varying Estimation of Asset Pricing Models, 2022, Journal of risk and financial management
  • Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs, 2022, Econometrics and Statistics
  • A New Test for Market Efficiency and Uncovered Interest Parity, 2022, SSRN Electronic Journal

Baillie frequently collaborates with several researchers, including George Kapetanios, Kun Ho Kim, Francis X. Diebold, Dooyeon Cho, and Seunghwa Rho.

Publication venues where Baillie has contributed multiple works include SSRN Electronic Journal, Journal of International Money and Finance, arXiv (Cornell University), Econometrics Journal, and Journal of risk and financial management.

In 2001, Baillie was awarded the status of Fellow of the American Statistical Association (ASA).

Best Publications

  • Fractionally integrated generalized autoregressive conditional heteroskedasticity

    Richard T. Baillie;Tim Bollerslev;Hans Ole Mikkelsen

  • Long memory processes and fractional integration in econometrics

    Richard T. Baillie

  • The Message in Daily Exchange Rates: A Conditional-Variance Tale

    Richard T. Baillie;Tim Bollerslev

  • Stock Returns and Volatility

    Richard T. Baillie;Ramon P. DeGennaro

  • Bivariate garch estimation of the optimal commodity futures Hedge

    Richard T. Baillie;Robert J. Myers

  • Common Stochastic Trends in a System of Exchange Rates

    Richard T. Baillie;Tim Bollerslev

  • Analysing inflation by the fractionally integrated ARFIMA–GARCH model

    Richard T. Baillie;Ching-Fan Chung;Margie A. Tieslau

  • Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

    Richard T. Baillie;Tim Bollerslev

  • Price discovery and common factor models

    Richard T. Baillie;G. Geoffrey Booth;Yiuman Tse;Tatyana Zabotina

  • The Foreign Exchange Market: Theory and Econometric Evidence

    Patrick Minford;Richard Baillie;Patrick McMahon

  • Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

    Richard T. Baillie;Tim Bollerslev

  • The forward premium anomaly is not as bad as you think

    Richard T. Baillie;Tim Bollerslev

  • A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

    Richard T. Baillie;Tim Bollerslev

  • Prediction in dynamic models with time-dependent conditional variances

    Richard T. Baillie;Tim Bollerslev

  • Cointegration and models of exchange rate determination

    Richard T. Baillie;David D. Selover

  • The Long-Memory of the Forward Premium

    Richard T Baillie;Tim Bollerslev

  • The Message in Daily Exchange Rates: A Conditional-Variance Tale

    Unknown

  • Why do central banks intervene

    Richard T. Baillie;William P. Osterberg

  • The Message in Daily Exchange Rates: A Conditional-Variance Tale

    Unknown

  • Testing rational expectations and efficiency in the foreign exchange market

    Richard T. Baillie;Robert E. Lippens;Patrick C. McMahon

  • Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

    Richard T. Baillie;Richard T. Baillie;Claudio Morana

  • Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly

    Richard T. Baillie;Richard T. Baillie;Rehim Kiliç

  • Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771

    Unknown

Frequent Co-Authors

Tim Bollerslev
Tim Bollerslev Duke University
George Kapetanios
George Kapetanios King's College London
Yiuman Tse
Yiuman Tse University of Missouri–St. Louis
G. Geoffrey Booth
G. Geoffrey Booth Michigan State University
Francis X. Diebold
Francis X. Diebold University of Pennsylvania
Badi H. Baltagi
Badi H. Baltagi Syracuse University

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