Similar Search Results

Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

Baillie, Richard; Bollerslev, Tim; Redfearn, Michael R. - 1991

Persistent link: https://www.econbiz.de/10000823527

Long memory and FIGARCH models for daily and high frequency commodity prices

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - 2007

Persistent link: https://www.econbiz.de/10003740333

Long memory models for daily and high frequency commodity futures returns

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - In: The journal of futures markets 27 (2007) 7, pp. 643-668

Persistent link: https://www.econbiz.de/10003493148

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

Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard; Cecen, A. A.; Erkal, Cahit; Han, … - In: Journal of international financial markets, … 14 (2004) 5, pp. 401-418

Persistent link: https://www.econbiz.de/10002186598

High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities

Baillie, Richard; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10001636386

Special issue on high frequency data in finance ; Pt. 2

Baillie, Richard (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001558702

Central bank intervention and risk in the forward premium

Baillie, Richard; Osterberg, William P. - 1996

Persistent link: https://www.econbiz.de/10000941570

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 have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

Persistent link: https://www.econbiz.de/10011964976

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