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Long memory, realized volatility and HAR models
Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
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Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version
Persistent link: https://www.econbiz.de/10000891757
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Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard; Morana, Claudio - In: Journal of economic dynamics & control 33 (2009) 8, pp. 1577-1592
Persistent link: https://www.econbiz.de/10003861075
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Modeling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard (contributor); Morana, Claudio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428583
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Testing for neglected nonlinearity in long memory models
Baillie, Richard (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808664