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Fractionally integrated generalized autoregressive conditional heteroskedasticity

Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 74 (1996) 1, pp. 3-30

Persistent link: https://www.econbiz.de/10001755335

Common stochastic trends in a system of exchange rates

Baillie, Richard - In: The journal of finance : the journal of the American … 44 (1989) 1, pp. 167-181

Persistent link: https://www.econbiz.de/10001063241

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version

Persistent link: https://www.econbiz.de/10000891757

Asymptotic tests on moving average representation coeficients with an application to innovations on spot and forward exchange rates

Baillie, Richard T. - In: Economics letters 13 (1983) 2/3, pp. 201-206

Persistent link: https://www.econbiz.de/10001855574

Predictions from ARMAX models

Baillie, Richard T. - In: Journal of econometrics 12 (1980) 3, pp. 365-374

Persistent link: https://www.econbiz.de/10001855799

Generalized autoregressive condtional heteroscedasticity

Bollerslev, Tim - 1985

Persistent link: https://www.econbiz.de/10001933645

Modeling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

Baillie, Richard T.; Morana, Claudio - 2007

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Persistent link: https://www.econbiz.de/10010284151

On robust inference in time series regression

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022

Persistent link: https://www.econbiz.de/10013384711

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

Nonlinear models for strongly dependent processes with financial applications

Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71

Persistent link: https://www.econbiz.de/10003783785