Professor Richard Baillie Academics Professor of Banking & Finance Research subject areas Banking & Finance Contact details richard.baillie@kcl.ac.uk +44 (0)20 7836 5454 8729
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models Baillie, R. T., Calonaci, F., Cho, D. & Rho, S., 1 Jul 2019, In : JOURNAL OF TIME SERIES ANALYSIS. 40, 4, p. 609-628 20 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1111/jtsa.12470 TESTING RATIONAL-EXPECTATIONS AND EFFICIENCY IN THE FOREIGN-EXCHANGE MARKET BAILLIE, RT., LIPPENS, RE. & MCMAHON, PC., 1983, In : Econometrica. 51, 3, p. 553-563 Research output: Contribution to journal - Article PREDICTIONS FROM ARMAX MODELS Baillie, R. T., 1980, In : JOURNAL OF ECONOMETRICS. 12, 3, p. 365-374 Research output: Contribution to journal - Article Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach Baillie, R. T. & Morana, C., Aug 2009, In : Journal Of Economic Dynamics & Control. 33, 8, p. 1577-1592 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.jedc.2009.02.009 Assessing Euro crises from a time varying international CAPM approach Baillie, R. T. & Cho, D., Dec 2016, In : Journal of Empirical Finance. 39, B, p. 197-208 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.jempfin.2016.03.005 Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions Baillie, R. T. & Kim, K. H., Dec 2015, In : Journal of Empirical Finance. 34, p. 99-111 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.jempfin.2015.08.007 Inference for impulse response coefficients from multivariate fractionally integrated processes Baillie, R. T., Kapetanios, G. & Papailias, F., 16 Mar 2017, In : ECONOMETRIC REVIEWS. 36, 1-3, p. 60-84 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1080/07474938.2015.1114253 Bandwidth selection by cross-validation for forecasting long memory financial time series Baillie, R. T., Kapetanios, G. & Papailias, F., Dec 2014, In : Journal of Empirical Finance. 29, p. 129-143 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.jempfin.2014.04.002 Modified information criteria and selection of long memory time series models Baillie, R. T., Kapetanios, G. & Papailias, F., 1 Aug 2014, In : COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 76, p. 116-131 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.csda.2013.04.012 View all publications