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Richard T. Baillie

Affiliations: 
Economics Michigan State University, East Lansing, MI 
Area:
General Economics
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Parents

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Kenneth F. Wallis grad student 1978 London School of Economics & Political Science
 (Prediction errors in time series models and dynamic econometric models)

Children

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Rehim Kilic grad student 2002 Michigan State
Jongbyung Jun grad student 2004 Michigan State
Pinar Ozbay grad student 2004 Michigan State
Jeongseok Song grad student 2004 Michigan State
Gabriele M. Lepori grad student 2008 Michigan State
Sanders S. Chang grad student 2010 Michigan State
Dooyeon Cho grad student 2011 Michigan State
Chaleampong Kongcharoen grad student 2011 Michigan State

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Publications

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Baillie RT, Calonaci F, Cho D, et al. (2019) Long Memory, Realized Volatility and Heterogeneous Autoregressive Models Journal of Time Series Analysis. 40: 609-628
Baillie RT, Kim KH. (2018) Choices between OLS with robust inference and feasible GLS in time series regressions Economics Letters. 171: 218-221
Baillie RT, Kapetanios G. (2016) On the estimation of short memory components in long memory time series models Studies in Nonlinear Dynamics and Econometrics. 20: 365-375
Baillie RT, Kapetanios G, Papailias F. (2016) Inference for impulse response coefficients from multivariate fractionally integrated processes Econometric Reviews. 1-25
Baillie RT, Cho D. (2015) Assessing Euro crises from a time varying international CAPM approach Journal of Empirical Finance
Baillie RT, Kim KH. (2015) Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions Journal of Empirical Finance. 34: 99-111
Baillie RT, Cho D. (2014) When Carry Trades in Currency Markets are not Profitable Review of Development Economics. 18: 794-803
Baillie RT, Kapetanios G, Papailias F. (2014) Bandwidth selection by cross-validation for forecasting long memory financial time series Journal of Empirical Finance. 29: 129-143
Baillie RT, Cho D. (2014) Time variation in the standard forward premium regression: Some new models and tests Journal of Empirical Finance. 29: 52-63
Baillie RT, Kapetanios G, Papailias F. (2014) Modified information criteria and selection of long memory time series models Computational Statistics and Data Analysis. 76: 116-131
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