Downloadable Working Papers

 

 

 

Downloadable Past Publications

 

Baillie, R T (1979), “The Asymptotic Mean Square Error of Multistep Prediction from the Regression Model with Autoregressive Errors”, Journal of the American Statistical Association, 74, 175-184

 

Baillie, R T (1979), "Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models," Biometrika, 66, 675-678

 

Baillie, R T (1980), “Predictions from ARMAX Models”, Journal of Econometrics, 12, 365-374

 

Baillie, R T (1981), “Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors”, Econometrica, 49, 1331-1337

 

Spitzer, J J and R T Baillie (1983), “Small Sample Properties of Prediction in the Regression Model with Autoregressive Errors”, Journal of the American Statistical Association, 78, 258-263

 

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

 

Baillie, R T (1987), "Inference in Dynamic Models Containing 'Surprise' Variables," Journal of Econometrics, 35, 101-117.

 

Baillie, R T (1989), "Econometric Tests of Rationality and Market Efficiency," Econometric Reviews, 8, 151-186.

 

Baillie, R T and T Bollerslev (1989), "Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, 44, 167-181

 

Baillie, R T and T Bollerslev (1989), "The Message in Daily Exchange Rates: a Conditional Variance Tale," Journal of Business and Economic Statistics, 7, 297-305

 

Baillie, R T and T Bollerslev (1990), "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets," Journal of International Money and Finance, 9, 309-324, 1990

               

Baillie, R T and R P DeGennaro (1990), “Stock Returns and Volatility”, Journal of Financial and Quantitative Analysis, 25, 203-214

 

Baillie, R T and T Bollerslev (1990), "Intra-day and Inter Market Volatility in Foreign Exchange Rates,” Review of  Economic Studies, 55, 565-585

 

Baillie, R T and T Bollerslev (1992), "Prediction in Dynamic Models with Time Dependent Conditional Variances," Journal of Econometrics, 52, 91-113.

 

Baillie, R T and T Bollerslev (1994), “Cointegration, Fractional Cointegration and Exchange Rate Dynamics”, Journal of Finance, 44, 737-745

 

Tieslau, M A,  Schmidt, P and R T Baillie (1996), "A Minimum Distance Estimator For Long Memory Processes," Journal of Econometrics, 71, 249-264.

 

Baillie, R T,  Chung, C-F and M A Tieslau (1996), "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, 11, 23-40.

 

Baillie, R T, Bollerslev, T and H.-O. Mikkelsen (1996), "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 74, 3-30.

 

Baillie, R T (1996), "Long Memory Processes and Fractional Integration in Econometrics," Journal of Econometrics, 73, 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.

 

Baillie, R T and T Bollerslev (2000), "The Forward Premium Anomaly is Not as Bad as You Think," Journal of International Money and Finance, 19, 471-488.

 

Baillie, R T and H Chung (2001), "Estimation of GARCH Models from the Autocorrelations of the Squares of a Process", Journal of Time Series Analysis, 22, 631-650.

 

Baillie, R T and Chung, S-K (2002), “Modeling and Forecasting from Trend Stationary Long Memory Models with Applications to Climatology",  International Journal of Forecasting, 18, 215-226.

 

Baillie, R T,  Han, Y-W and T Kwon (2002), "Further Long Memory Properties of Inflationary Shocks", Southern Economic Journal, 68, 496-510.

 

Baillie, R T and R Kilic (2006), "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?”, Journal of International Money and Finance, 25, 22-47.

 

Baillie, R T and G Kapetanios (2007), "Testing for Neglected Nonlinearity in Long-Memory Models", (with G. Kapetanios), Journal of Business and Economic Statistics, 25, 447-461.

 

Baillie, R T and G Kapetanios (2009), Nonlinear Models for Strongly Dependent Processes with Financial Applications,  Journal of Econometrics, forthcoming.