Richard T. Baillie
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
1996/09/01 by Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen · 5 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact
- Long memory processes and fractional integration in econometrics
1996/07/01 by Richard T. Baillie · 6 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility
- Bivariate garch estimation of the optimal commodity futures Hedge
1991/04/01 by Richard T. Baillie, Robert J. Myers · 4 citations
Economics, Econometrics and Finance · #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Financial Risk and Volatility Modeling
- Common Stochastic Trends in a System of Exchange Rates
1989/03/01 by Richard T. Baillie, Tim Bollerslev · 2 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Market Dynamics and Volatility #Economic theories and models
- Testing for Neglected Nonlinearity in Long-Memory Models
2007/09/27 by Richard T. Baillie, George Kapetanios · 2 citations
Economics, Econometrics and Finance · Decision Sciences · #Complex Systems and Time Series Analysis #Market Dynamics and Volatility #Stock Market Forecasting Methods
- Estimation and inference for impulse response functions from univariate strongly persistent processes
2012/10/19 by Richard T. Baillie, George Kapetanios · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact