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Prediction from the dynamic simultaneous equation model with vector autoregressive errors

Baillie, Richard T. - In: Econometrica : journal of the Econometric Society, an … 49 (1981) 5, pp. 1331-1337

Persistent link: https://www.econbiz.de/10001855792

Predictions from ARMAX models

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

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

Testing the rational expectations model of the term structure of interest rates

Baillie, Richard T.; McMahon, Patrick C. - 1982

Persistent link: https://www.econbiz.de/10001855819

Commodity prices and aggregate inflation : would a commodity price rule be worthwhile?

Baillie, Richard - In: Carnegie Rochester conference series on public policy : … (1989), pp. 185-240

Persistent link: https://www.econbiz.de/10001109746

Econometric tests of rationality and market efficiency

Baillie, Richard - In: Econometric reviews 8 (1989) 2, pp. 151-186

Persistent link: https://www.econbiz.de/10001080001

The asymptotic mean squared error of multistep prediction from the regression model with autoregressive errors

Baillie, Richard T. - 1978

Persistent link: https://www.econbiz.de/10004775083

The asymptotic prediction mean squared error for vector autoregressive models

Baillie, Richard T. - 1979

Persistent link: https://www.econbiz.de/10004775084

The asymptotic prediction mean square error for dynamic single equation models

Baillie, Richard T. - 1978

Persistent link: https://www.econbiz.de/10004775085

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

Baillie, Richard T.; Calonaci, Fabio; Cho, Dooyeon; … - In: Journal of Time Series Analysis 40 (2019) 4, pp. 609-628

Persistent link: https://www.econbiz.de/10012094994

A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets

Bollerslev, T.; Baillie, Richard T. - 1990

This study examines spot and forward exchange rates at a weekly level for four different currencies. It is shown that the vector of forward market forecast errors can be parameterized as a vector moving average (MA) process where the MAcoefficients can be theoretically determined from knowledge...

Persistent link: https://www.econbiz.de/10009475588