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The forward premium anomaly is not as bad as you think
Baillie, Richard T.; Bollerslev, Tim - In: Journal of International Money and Finance 19 (2000) 4, pp. 471-488
Persistent link: https://www.econbiz.de/10005311620
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A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Baillie, Richard T.; Bollerslev, Tim - In: Journal of International Money and Finance 9 (1990) 3, pp. 309-324
Persistent link: https://www.econbiz.de/10005339458
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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Baillie, Richard T.; Bollerslev, Tim; Redfearn, Michael R. - In: Journal of International Money and Finance 12 (1993) 5, pp. 511-521
Persistent link: https://www.econbiz.de/10005188584
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Prediction in dynamic models with time-dependent conditional variances
Baillie, Richard T.; Bollerslev, Tim - In: Journal of Econometrics 52 (1992) 1-2, pp. 91-113
Persistent link: https://www.econbiz.de/10005122510
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole - In: Journal of Econometrics 74 (1996) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10005122749
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Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim - In: Journal of financial econometrics 20 (2022) 2, pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
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Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, Richard T.; Calonaci, Fabio; Cho, Dooyeon; … - In: Journal of Time Series Analysis 40 (2019) 4, pp. 609-628
Persistent link: https://www.econbiz.de/10012094994
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Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111
Persistent link: https://www.econbiz.de/10011557073
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On the estimation of short memory components in long memory time series models
Baillie, Richard; Kapetanios, George - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 365-375
Persistent link: https://www.econbiz.de/10011649095
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Assessing Euro crises from a time varying international CAPM approach
Baillie, Richard; Cho, Dooyeon - In: Journal of empirical finance 39 (2016), pp. 197-208
Persistent link: https://www.econbiz.de/10011663843