Richard Baillie

Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

Professor

East Lansing, MI 48824-1121

United States

SCHOLARLY PAPERS

8

DOWNLOADS

93

SSRN CITATIONS

1

CROSSREF CITATIONS

12

Scholarly Papers (8)

1.

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes

quantf research Working Paper Series: WP13/2014
Number of pages: 41 Posted: 02 Jun 2014
Richard Baillie, George Kapetanios and Fotis Papailias
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, King's College, London and Quantf Research
Downloads 49 (473,113)

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ARFIMA Models, Impulse Response, Long Memory

2.

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

Multinational Finance Journal, Vol. 4, No. 3/4, p. 247-267, 2000
Number of pages: 21 Posted: 08 Jul 2015
Richard Baillie, Aydin Cecen and Young Wook Han
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, Central Michigan University and Hallym University
Downloads 43 (498,759)

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BDS test, correlation dimension, FIGARCH, high frequency data, intra day periodicity, volatility

3.

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

Journal of Time Series Analysis, Vol. 40, Issue 4, pp. 609-628, 2019
Number of pages: 20 Posted: 29 May 2020
Richard Baillie, Fabio Calonaci, Seunghwa Rho and Dooyean Cho
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, Queen Mary University of London, Emory University and Sungkyunkwan University
Downloads 1 (777,921)
Citation 1
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Restricted models, realized volatility, models, models

4.

When Carry Trades in Currency Markets are Not Profitable

Review of Development Economics, Vol. 18, Issue 4, pp. 794-803, 2014
Number of pages: 10 Posted: 09 Oct 2014
Richard Baillie and Dooyeon Cho
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and Sungkyunkwan University - Department of Economics
Downloads 0 (794,889)
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5.

Adaptive ARFIMA Models with Applications to Inflation

Economic Modelling, Vol. 29, 2012
Posted: 03 Mar 2009 Last Revised: 09 Jun 2013
Claudio Morana and Richard Baillie
Università di Milano Bicocca and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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ARFIMA, FIGARCH, long memory, structural change, inflation, G7

6.

Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach

Journal of Economic Dynamics and Control, 33, 2009
Posted: 27 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana and Richard Baillie
Università di Milano Bicocca and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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FIGARCH, long memory, structural change, stock market volatility

The Impact of Delivery Terms on Stock Return Volatility

Posted: 08 Apr 2003
Ramon P. DeGennaro and Richard Baillie
University of Tennessee, Knoxville - Department of Finance and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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Stock returns, volatility, market closings, GARCH

The Impact of Delivery Terms on Stock Return Volatility

Posted: 08 Apr 2003
Ramon P. DeGennaro and Richard Baillie
University of Tennessee, Knoxville - Department of Finance and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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Stock returns, volatility, market closings, GARCH

8.
Downloads 0 (794,889)

Stock Returns and Volatility

Journal of Financial & Quantitative Analysis, Vol. 25, No. 2, June 1990
Posted: 26 Feb 2003
Ramon P. DeGennaro and Richard Baillie
University of Tennessee, Knoxville - Department of Finance and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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stock returns, volatility, risk, expected return

Stock Returns and Volatility

Journal of Financial and Quantitative Analysis (JFQA), Vol. 25, No. 2, 1990
Posted: 26 Feb 2003 Last Revised: 31 Mar 2015
Ramon P. DeGennaro and Richard Baillie
University of Tennessee, Knoxville - Department of Finance and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

Abstract:

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stock returns, volatility, risk, expected return