Richard Baillie

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• Time series analysis
• Econometrics
• Modeling volatility
• International finance
• Currency crises, risk and central bank intervention

• Baillie, R T, Lippens, R E and P C McMahon (1983), Testing Rational Expectations and Efficiency in the Foreign Exchange Market, Econometrica, vol 51, pages 553-563.

• Baillie, R T (1996), Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, vol 73, pages 5-59.

• Baillie, R T and W P Osterberg (1997), Central Bank Intervention and Risk in the Forward Premium, Journal of International Economics, 43, 483-497, 1997.

• Baillie, R T and G Kapetanios (2008), Nonlinear Models for Strongly Dependent Processes with Financial Applications, Journal of Econometrics, vol 147, pages 60-71.

• Baillie and Kapetanios (2013), Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes, Econometrics Journal, vol 16.

Please see the faculty member's web site for a copy of the paper in pdf format.

• "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model", with F Calonaci and G Kapetanios.

• "How Important is Modeling Long Memory in Realized Volatility?", with F. Calonaci, D. Cho and S. Rho.

• "Choices Between OLS with Robust Inference and Feasible GLS in Time Series Regressions", with K.-H. Kim.

Please see the faculty member's web site for a copy of the paper in pdf format.