What is he best known for?
The fields of study he is best known for:
- Statistics
- Econometrics
- Finance
His scientific interests lie mostly in Econometrics, Exchange rate, Financial economics, Volatility and Conditional variance.
His Econometrics study frequently links to related topics such as Forward rate.
His Exchange rate research incorporates themes from Cointegration and Liberian dollar.
His Financial economics research integrates issues from Currency and Financial asset.
While the research belongs to areas of Autoregressive fractionally integrated moving average, Richard T. Baillie spends his time largely on the problem of Mean reversion, intersecting his research to questions surrounding Long memory.
His biological study spans a wide range of topics, including Conditional expectation and Autoregressive model.
His most cited work include:
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (1739 citations)
- Long memory processes and fractional integration in econometrics (1506 citations)
- The Message in Daily Exchange Rates: A Conditional-Variance Tale (809 citations)
What are the main themes of his work throughout his whole career to date?
Richard T. Baillie spends much of his time researching Econometrics, Statistics, Long memory, Volatility and Financial economics.
His Econometrics study combines topics in areas such as Exchange rate, Interest rate parity and Series.
The concepts of his Exchange rate study are interwoven with issues in Cointegration and Forward rate.
Particularly relevant to Autoregressive fractionally integrated moving average is his body of work in Long memory.
His Financial economics research is multidisciplinary, incorporating elements of Currency and International finance.
Richard T. Baillie interconnects Monte Carlo method and Heteroscedasticity in the investigation of issues within Conditional variance.
He most often published in these fields:
- Econometrics (72.73%)
- Statistics (26.57%)
- Long memory (27.27%)
What were the highlights of his more recent work (between 2010-2019)?
- Econometrics (72.73%)
- Long memory (27.27%)
- Forward premium anomaly (19.58%)
In recent papers he was focusing on the following fields of study:
His primary areas of study are Econometrics, Long memory, Forward premium anomaly, Estimator and Series.
His Econometrics research is multidisciplinary, relying on both Statistics and Cross-validation.
His work on Autoregressive fractionally integrated moving average as part of general Long memory study is frequently connected to Square root, therefore bridging the gap between diverse disciplines of science and establishing a new relationship between them.
Richard T. Baillie has included themes like Financial economics and Carry in his Forward premium anomaly study.
Richard T. Baillie works mostly in the field of Series, limiting it down to topics relating to Univariate and, in certain cases, Model selection.
His studies in Risk premium integrate themes in fields like Exchange rate and Capital asset pricing model.
Between 2010 and 2019, his most popular works were:
- Carry trades, momentum trading and the forward premium anomaly (70 citations)
- Adaptive ARFIMA Models with Applications to Inflation (19 citations)
- Adaptive ARFIMA Models with Applications to Inflation (19 citations)
In his most recent research, the most cited papers focused on:
- Statistics
- Finance
- Econometrics
Richard T. Baillie mostly deals with Econometrics, Long memory, Autoregressive fractionally integrated moving average, Forward premium anomaly and Interest rate parity.
His Econometrics study combines topics from a wide range of disciplines, such as Estimator, Statistics and Series.
His Series research incorporates elements of Variety and Univariate.
Richard T. Baillie has researched Long memory in several fields, including Fourier transform and Inflation.
His work is dedicated to discovering how Forward premium anomaly, Regression are connected with International finance, Financial economics, Standard error and Order of integration and other disciplines.
His Interest rate parity research includes themes of Trading strategy and Exchange rate volatility.
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