Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, Richard T., Calonaci, Fabio, Cho, Dooyeon, Rho, Seunghwa
Published in Journal of time series analysis (01.07.2019)
Published in Journal of time series analysis (01.07.2019)
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Journal Article
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard T., Bollerslev, Tim, Mikkelsen, Hans Ole
Published in Journal of econometrics (01.09.1996)
Published in Journal of econometrics (01.09.1996)
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Journal Article
Possible solutions to the forward bias paradox
Baillie, Richard T.
Published in Journal of international financial markets, institutions & money (01.10.2011)
Published in Journal of international financial markets, institutions & money (01.10.2011)
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Journal Article
A new test for market efficiency and uncovered interest parity
Baillie, Richard T., Diebold, Francis X., Kapetanios, George, Kim, Kun Ho
Published in Journal of international money and finance (01.02.2023)
Published in Journal of international money and finance (01.02.2023)
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Journal Article
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
Baillie, Richard T., Morana, Claudio
Published in Journal of economic dynamics & control (01.08.2009)
Published in Journal of economic dynamics & control (01.08.2009)
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Journal Article
Modified information criteria and selection of long memory time series models
Baillie, Richard T., Kapetanios, George, Papailias, Fotis
Published in Computational statistics & data analysis (01.08.2014)
Published in Computational statistics & data analysis (01.08.2014)
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Journal Article
Hierarchical time-varying estimation of asset pricing models
Baillie, Richard, Calonaci, Fabio, Kapetanios, George
Published in Journal of risk and financial management (01.01.2022)
Published in Journal of risk and financial management (01.01.2022)
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Journal Article
Carry trades, momentum trading and the forward premium anomaly
Baillie, Richard T., Chang, Sanders S.
Published in Journal of financial markets (Amsterdam, Netherlands) (01.08.2011)
Published in Journal of financial markets (Amsterdam, Netherlands) (01.08.2011)
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Journal Article
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard T., Kapetanios, George, Papailias, Fotis
Published in Journal of empirical finance (01.12.2014)
Published in Journal of empirical finance (01.12.2014)
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Journal Article
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard T., Kapetanios, George, Papailias, Fotis
Published in Econometric reviews (16.03.2017)
Published in Econometric reviews (16.03.2017)
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Journal Article