| Year |
Citation |
Score |
| 2019 |
Baillie RT, Calonaci F, Cho D, Rho S. Long Memory, Realized Volatility and Heterogeneous Autoregressive Models Journal of Time Series Analysis. 40: 609-628. DOI: 10.1111/Jtsa.12470 |
0.389 |
|
| 2018 |
Baillie RT, Kim KH. Choices between OLS with robust inference and feasible GLS in time series regressions Economics Letters. 171: 218-221. DOI: 10.1016/J.Econlet.2018.07.036 |
0.305 |
|
| 2016 |
Baillie RT, Kapetanios G. On the estimation of short memory components in long memory time series models Studies in Nonlinear Dynamics and Econometrics. 20: 365-375. DOI: 10.1515/Snde-2015-0120 |
0.486 |
|
| 2016 |
Baillie RT, Kapetanios G, Papailias F. Inference for impulse response coefficients from multivariate fractionally integrated processes Econometric Reviews. 1-25. DOI: 10.1080/07474938.2015.1114253 |
0.42 |
|
| 2015 |
Baillie RT, Cho D. Assessing Euro crises from a time varying international CAPM approach Journal of Empirical Finance. DOI: 10.1016/J.Jempfin.2016.03.005 |
0.393 |
|
| 2015 |
Baillie RT, Kim KH. Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions Journal of Empirical Finance. 34: 99-111. DOI: 10.1016/J.Jempfin.2015.08.007 |
0.432 |
|
| 2014 |
Baillie RT, Cho D. When Carry Trades in Currency Markets are not Profitable Review of Development Economics. 18: 794-803. DOI: 10.1111/Rode.12119 |
0.425 |
|
| 2014 |
Baillie RT, Kapetanios G, Papailias F. Bandwidth selection by cross-validation for forecasting long memory financial time series Journal of Empirical Finance. 29: 129-143. DOI: 10.1016/J.Jempfin.2014.04.002 |
0.449 |
|
| 2014 |
Baillie RT, Cho D. Time variation in the standard forward premium regression: Some new models and tests Journal of Empirical Finance. 29: 52-63. DOI: 10.1016/J.Jempfin.2014.03.005 |
0.511 |
|
| 2014 |
Baillie RT, Kapetanios G, Papailias F. Modified information criteria and selection of long memory time series models Computational Statistics and Data Analysis. 76: 116-131. DOI: 10.1016/J.Csda.2013.04.012 |
0.423 |
|
| 2013 |
Baillie RT, Kapetanios G. Estimation and inference for impulse response functions from univariate strongly persistent processes Econometrics Journal. 16: 373-399. DOI: 10.1111/J.1368-423X.2012.00395.X |
0.523 |
|
| 2012 |
Baillie RT, Kongcharoen C, Kapetanios G. Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures International Journal of Forecasting. 28: 46-53. DOI: 10.1016/J.Ijforecast.2011.02.012 |
0.643 |
|
| 2012 |
Baillie RT, Morana C. Adaptive ARFIMA models with applications to inflation Economic Modelling. 29: 2451-2459. DOI: 10.1016/J.Econmod.2012.07.011 |
0.475 |
|
| 2011 |
Baillie RT. Possible solutions to the forward bias paradox Journal of International Financial Markets, Institutions and Money. 21: 617-622. DOI: 10.1016/J.Intfin.2011.05.004 |
0.397 |
|
| 2011 |
Baillie RT, Chang SS. Carry trades, momentum trading and the forward premium anomaly Journal of Financial Markets. 14: 441-464. DOI: 10.1016/J.Finmar.2011.01.001 |
0.465 |
|
| 2009 |
Baillie RT, Cecen AA, Erkal C. Normal heartbeat series are nonchaotic, nonlinear, and multifractal: new evidence from semiparametric and parametric tests. Chaos (Woodbury, N.Y.). 19: 028503. PMID 19566278 DOI: 10.1063/1.3152006 |
0.376 |
|
| 2009 |
Baillie RT, Morana C. Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach Journal of Economic Dynamics and Control. 33: 1577-1592. DOI: 10.1016/J.Jedc.2009.02.009 |
0.398 |
|
| 2008 |
Baillie RT, Kapetanios G. Nonlinear models for strongly dependent processes with financial applications Journal of Econometrics. 147: 60-71. DOI: 10.1016/J.Jeconom.2008.09.034 |
0.478 |
|
| 2007 |
Baillie RT, Kapetanios G. Testing for neglected nonlinearity in long-memory models Journal of Business and Economic Statistics. 25: 447-461. DOI: 10.1198/073500106000000305 |
0.358 |
|
| 2007 |
Baillie RT, Han YW, Myers RJ, Song J. Long memory models for daily and high frequency commodity futures returns Journal of Futures Markets. 27: 643-668. DOI: 10.1002/Fut.20267 |
0.45 |
|
| 2006 |
Baillie RT, Kiliç R. Do asymmetric and nonlinear adjustments explain the forward premium anomaly? Journal of International Money and Finance. 25: 22-47. DOI: 10.1016/J.Jimonfin.2005.10.002 |
0.482 |
|
| 2004 |
Koul HL, Baillie RT, Surgailis D. Regression model fitting with a long memory covariate process Econometric Theory. 20: 485-512. DOI: 10.1017/S0266466604203036 |
0.425 |
|
| 2004 |
Baillie RT, Cecen AA, Erkal C, Han YW. Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates Journal of International Financial Markets, Institutions and Money. 14: 401-418. DOI: 10.1016/J.Intfin.2003.12.002 |
0.424 |
|
| 2003 |
Koul HL, Baillie RT. Asymptotics of M-estimators in non-linear regression with long memory designs Statistics and Probability Letters. 61: 237-252. DOI: 10.1016/S0167-7152(02)00354-1 |
0.477 |
|
| 2002 |
Baillie RT, Han YW, Kwon TG. Further long memory properties of inflationary shocks Southern Economic Journal. 68: 496-510. DOI: 10.2307/1061714 |
0.465 |
|
| 2002 |
Baillie RT, Bollerslev T. The message in daily exchange rates: A conditional-variance tale Journal of Business and Economic Statistics. 20: 60-68. DOI: 10.1198/073500102753410390 |
0.418 |
|
| 2002 |
Baillie RT, Geoffrey Booth G, Tse Y, Zabotina T. Price discovery and common factor models Journal of Financial Markets. 5: 309-321. DOI: 10.1016/S1386-4181(02)00027-7 |
0.359 |
|
| 2002 |
Baillie RT, Chung SK. Modeling and forecasting from trend-stationary long memory models with applications to climatology International Journal of Forecasting. 18: 215-226. DOI: 10.1016/S0169-2070(01)00154-6 |
0.428 |
|
| 2001 |
Baillie RT, Chung H. Estimation of GARCH models from the autocorrelations of the squares of a process Journal of Time Series Analysis. 22: 631-650. DOI: 10.1111/1467-9892.00245 |
0.479 |
|
| 2000 |
Baillie RT, Osterberg WP. Deviations from daily uncovered interest rate parity and the role of intervention Journal of International Financial Markets, Institutions and Money. 10: 363-379. DOI: 10.1016/S1042-4431(00)00029-9 |
0.339 |
|
| 2000 |
Baillie RT, Bollerslev T. The forward premium anomaly is not as bad as you think Journal of International Money and Finance. 19: 471-488. DOI: 10.1016/S0261-5606(00)00018-8 |
0.429 |
|
| 1998 |
Baillie RT. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment Journal of Business & Economic Statistics. 16: 273-276. DOI: 10.2307/1392501 |
0.359 |
|
| 1997 |
Baillie RT, Osterberg WP. Why do central banks intervene? Journal of International Money and Finance. 16: 909-919. DOI: 10.1016/S0261-5606(97)00012-0 |
0.301 |
|
| 1997 |
Baillie RT, Osterberg WP. Central bank intervention and risk in the forward market Journal of International Economics. 43: 483-497. DOI: 10.1016/S0022-1996(97)00015-9 |
0.351 |
|
| 1996 |
Baillie RT, Bollerslev T, Mikkelsen HO. Fractionally integrated generalized autoregressive conditional heteroskedasticity Journal of Econometrics. 74: 3-30. DOI: 10.1016/S0304-4076(95)01749-6 |
0.451 |
|
| 1996 |
Baillie RT. Long memory processes and fractional integration in econometrics Journal of Econometrics. 73: 5-59. DOI: 10.1016/0304-4076(95)01732-1 |
0.384 |
|
| 1996 |
Baillie RT, King ML. Editors' introduction: Fractional differencing and long memory processes Journal of Econometrics. 73: 1-3. DOI: 10.1016/0304-4076(95)01731-3 |
0.325 |
|
| 1996 |
Tieslau MA, Schmidt P, Baillie RT. A minimum distance estimator for long-memory processes Journal of Econometrics. 71: 249-264. DOI: 10.1016/0304-4076(94)01703-4 |
0.438 |
|
| 1996 |
Baillie RT, Chung CF, Tieslau MA. Analysing inflation by the fractionally integrated Arfima-Garch model Journal of Applied Econometrics. 11: 23-40. DOI: 10.1002/(Sici)1099-1255(199601)11:1<23::Aid-Jae374>3.0.Co;2-M |
0.435 |
|
| 1996 |
Tieslau MA, Schmidt P, Baillie RT. A minimum distance estimator for long-memory processes Journal of Econometrics. 71: 249-264. |
0.343 |
|
| 1994 |
Baillie RT, Bollerslev T. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics Journal of Finance. 49: 737-745. DOI: 10.1111/J.1540-6261.1994.Tb05161.X |
0.35 |
|
| 1994 |
Baillie RT, Bollerslev T. The long memory of the forward premium Journal of International Money and Finance. 13: 565-571. DOI: 10.1016/0261-5606(94)90005-1 |
0.497 |
|
| 1993 |
Baillie RT, Bollerslev T, Redfearn MR. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange Journal of International Money and Finance. 12: 511-521. DOI: 10.1016/0261-5606(93)90037-C |
0.351 |
|
| 1993 |
Chung CF, Baillie RT. Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models Empirical Economics. 18: 791-806. DOI: 10.1007/Bf01205422 |
0.467 |
|
| 1992 |
Baillie RT, Bollerslev T. Prediction in dynamic models with time-dependent conditional variances Journal of Econometrics. 52: 91-113. DOI: 10.1016/0304-4076(92)90066-Z |
0.399 |
|
| 1991 |
Baillie RT, Bollerslev T. Intra-day and inter-market volatility in foreign exchange rates Review of Economic Studies. 58: 565-585. DOI: 10.2307/2298012 |
0.359 |
|
| 1991 |
Baillie RT, Pecchenino RA. The search for equilibrium relationships in international finance: the case of the monetary model Journal of International Money and Finance. 10: 582-593. DOI: 10.1016/0261-5606(91)90009-9 |
0.378 |
|
| 1991 |
Baillie RT, Myers RJ. Bivariate garch estimation of the optimal commodity futures Hedge Journal of Applied Econometrics. 6: 109-124. DOI: 10.1002/Jae.3950060202 |
0.47 |
|
| 1990 |
Baillie RT, DeGennaro RP. Stock Returns and Volatility Journal of Financial and Quantitative Analysis. 25: 203-214. DOI: 10.2307/2330824 |
0.413 |
|
| 1990 |
Baillie RT, Bollerslev T. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets Journal of International Money and Finance. 9: 309-324. DOI: 10.1016/0261-5606(90)90012-O |
0.421 |
|
| 1989 |
BAILLIE RT, BOLLERSLEV T. Common Stochastic Trends in a System of Exchange Rates The Journal of Finance. 44: 167-181. DOI: 10.1111/J.1540-6261.1989.Tb02410.X |
0.326 |
|
| 1989 |
Baillie RT. Econometric tests of rationality and market efficiency Econometric Reviews. 8: 151-186. DOI: 10.1080/07474938908800165 |
0.339 |
|
| 1989 |
Baillie RT, DeGennaro RP. The impact of delivery terms on stock return volatility Journal of Financial Services Research. 3: 55-76. DOI: 10.1007/Bf00114078 |
0.358 |
|
| 1987 |
Baillie RT. Inference in dynamic models containing 'surprise' variables Journal of Econometrics. 35: 101-117. DOI: 10.1016/0304-4076(87)90083-2 |
0.418 |
|
| 1987 |
Baillie RT, Selover DD. Cointegration and models of exchange rate determination International Journal of Forecasting. 3: 43-51. DOI: 10.1016/0169-2070(87)90077-X |
0.467 |
|
| 1986 |
Baillie RT, McMahon PC. Estimation and testing of the term structure of the forward premium under rational expectations Journal of Macroeconomics. 8: 387-391. DOI: 10.1016/0164-0704(86)90070-4 |
0.413 |
|
| 1985 |
Baillie RT, McMahon PC. Some joint tests of market efficiency: The case of the forward premium Journal of Macroeconomics. 7: 137-150. DOI: 10.1016/S0164-0704(85)80001-X |
0.429 |
|
| 1983 |
Spitzer JJ, Baillie RT. Small-sample properties of predictions from the regression model with autoregressive errors Journal of the American Statistical Association. 78: 258-263. DOI: 10.1080/01621459.1983.10477958 |
0.454 |
|
| 1983 |
Baillie RT. Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates Economics Letters. 13: 201-206. DOI: 10.1016/0165-1765(83)90086-1 |
0.342 |
|
| 1981 |
Baillie RT. Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors Econometrica. 49: 1331-1337. DOI: 10.2307/1912757 |
0.43 |
|
| 1981 |
Baillie RT, McMahon PC. Interest rates and investment in West Germany Empirical Economics. 6: 1-9. DOI: 10.1007/Bf02509779 |
0.324 |
|
| 1980 |
Baillie RT. Predictions from ARMAX models Journal of Econometrics. 12: 365-374. DOI: 10.1016/0304-4076(80)90062-7 |
0.426 |
|
| 1980 |
Baillie RT, McMahon PC, Smyth DJ. Testing the permanent income hypothesis using a general rational lag formulation Economics Letters. 5: 39-43. DOI: 10.1016/0165-1765(80)90107-X |
0.418 |
|
| 1979 |
Baillie RT. Asymptotic prediction mean squared error for vector autoregressive models Biometrika. 66: 675-678. DOI: 10.1093/Biomet/66.3.675 |
0.375 |
|
| 1979 |
Baillie RT. The asymptotic mean squared error of multistep prediction from the regression model with autoregressive errors Journal of the American Statistical Association. 74: 175-184. DOI: 10.1080/01621459.1979.10481635 |
0.395 |
|
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