E-LIB Suche - Ergebnisse für: Baillie, Richard T.

1

Combining Long and Short Memory in Time Series Models: the ..:

Baillie, Richard T. ; Cho, Dooyeon ; Rho, Seunghwa
Econometrics and Statistics. 29 (2024) - p. 88-112 , 2024

Link: https://doi.org/10.1016/..

2

On Robust Inference in Time Series Regression

NBER working paper series, no. w32554

Baillie, Richard T ; Diebold, Francis X ; Kapetanios, George.. , 2024

Link: https://www.nber.org/pap..

3

Approximating long-memory processes with low-order autoregr..:

Baillie, Richard T. ; Cho, Dooyeon ; Rho, Seunghwa
Empirical Economics. 64 (2023) 6 - p. 2911-2937 , 2023

Link: https://doi.org/10.1007/..

4

A new test for market efficiency and uncovered interest par..:

Baillie, Richard T. ; Diebold, Francis X. ; Kapetanios, George.
Journal of International Money and Finance. 130 (2023) - p. 102765 , 2023

Link: https://doi.org/10.1016/..

5

Hierarchical Time-Varying Estimation of Asset Pricing Model:

Baillie, Richard T. ; Calonaci, Fabio ; Kapetanios, George
Journal of Risk and Financial Management. 15 (2022) 1 - p. 14 , 2022

Link: https://doi.org/10.3390/..

6

A New Test for Market Efficiency and Uncovered Interest Par..

NBER working paper series, no. w30638

Baillie, Richard T ; Diebold, Francis X ; Kapetanios, George. , 2022

Link: https://www.nber.org/pap..

7

Long Memory, Realized Volatility and Heterogeneous Autoregr..:

Baillie, Richard T. ; Calonaci, Fabio ; Cho, Dooyeon.
Journal of Time Series Analysis. 40 (2019) 4 - p. 609-628 , 2019

Link: https://doi.org/10.1111/..

8

Choices between OLS with robust inference and feasible GLS ..:

Baillie, Richard T. ; Kim, Kun Ho
Economics Letters. 171 (2018) - p. 218-221 , 2018

Link: https://doi.org/10.1016/..

9

On the estimation of short memory components in long memory..:

Baillie, Richard T. ; Kapetanios, George
Studies in Nonlinear Dynamics & Econometrics. 20 (2016) 4 - p. , 2016

Link: https://doi.org/10.1515/..

10

Editor's introduction for the special issue of the Journal ..:

Jensen, Mark J. ; Baillie, Richard T.
Journal of Empirical Finance. 39 (2016) - p. 145-146 , 2016

Link: https://doi.org/10.1016/..

11

Assessing Euro crises from a time varying international CAP..:

Baillie, Richard T. ; Cho, Dooyeon
Journal of Empirical Finance. 39 (2016) - p. 197-208 , 2016

Link: https://doi.org/10.1016/..

12

Inference for impulse response coefficients from multivaria..:

Baillie, Richard T. ; Kapetanios, George ; Papailias, Fotis
Econometric Reviews. 36 (2015) 1-3 - p. 60-84 , 2015

Link: https://doi.org/10.1080/..

13

Was it risk? Or was it fundamentals? Explaining excess curr..:

Baillie, Richard T. ; Kim, Kun Ho
Journal of Empirical Finance. 34 (2015) - p. 99-111 , 2015

Link: https://doi.org/10.1016/..

14

When Carry Trades in Currency Markets are not Profitable:

Baillie, Richard T. ; Cho, Dooyeon
Review of Development Economics. 18 (2014) 4 - p. 794-803 , 2014

Link: https://doi.org/10.1111/..

15

Bandwidth selection by cross-validation for forecasting lon..:

Baillie, Richard T. ; Kapetanios, George ; Papailias, Fotis
Journal of Empirical Finance. 29 (2014) - p. 129-143 , 2014

Link: https://doi.org/10.1016/..