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Central bank intervention and risk in the forward premium

Baillie, Richard; Osterberg, William P. - 1996

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

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

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

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

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