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Carry trades, momentum trading and the forward premium anomaly

Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10009261760

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

Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

Baillie, Richard; Kiliç, Rehim - In: Journal of international money and finance 25 (2006) 1, pp. 22-47

Persistent link: https://www.econbiz.de/10003274895

Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

Baillie, Richard (contributor); Kiliç, Rehim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003001886

The forward premium anomaly is not as bad as you think

Baillie, Richard; Bollerslev, Tim - In: Journal of international money and finance 19 (2000) 4, pp. 471-488

Persistent link: https://www.econbiz.de/10001496571

Deviations from daily uncovered interest rate parity and the role of intervention

Baillie, Richard; Osterberg, William P. - In: Journal of international financial markets, … 10 (2000) 3/4, pp. 363-379

Persistent link: https://www.econbiz.de/10001532763

Long memory volatility, central bank intervention and uncovered interest rate parity in the 1920s exchange markets

Baillie, Richard; Han, Young Wook - In: The Korean economic review 35 (2019) 1, pp. 183-203

Persistent link: https://www.econbiz.de/10012217148

A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248790

A New Test for Market Efficiency and Uncovered Interest Parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2022

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more...

Persistent link: https://www.econbiz.de/10013462687

A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022 - This draft: November 3, 2022

Persistent link: https://www.econbiz.de/10013502181