Richard Baillie is a Professor of Banking & Finance at King's Business School. Professor Richard Baillie Academics Supervisors Professor of Banking & Finance Research subject areas Banking & Finance Contact details richard.baillie@kcl.ac.uk +44 (0)20 7836 5454 8729
A new test for market efficiency and uncovered interest parity Baillie, R. T., Diebold, F. X., Kapetanios, G. & Kim, K. H., Feb 2023, In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 130, 102765. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.jimonfin.2022.102765 Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs Baillie, R. T., Cho, D. & Rho, S., 30 Jun 2022, (E-pub ahead of print) In: Econometrics and Statistics. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.ecosta.2022.06.001 Hierarchical Time-Varying Estimation of Asset Pricing Models Baillie, R. T., Calonaci, F. & Kapetanios, G., Jan 2022, In: Journal of Risk and Financial Management. 15, 1, 14. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.3390/jrfm15010014 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 › peer-review. 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 › peer-review PREDICTIONS FROM ARMAX MODELS Baillie, R. T., 1980, In: JOURNAL OF ECONOMETRICS. 12, 3, p. 365-374 Research output: Contribution to journal › Article › peer-review 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 › peer-review. 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 › peer-review. 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., 1 Dec 2015, In: Journal of Empirical Finance. 34, 0, p. 99-111 Research output: Contribution to journal › Article › peer-review. 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 › peer-review. DOIs: https://doi.org/10.1080/07474938.2015.1114253 View all publications