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Richard T. Baillie

Global rank #2405 97%

Institution: Michigan State University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.msu.edu/user/baillie

First Publication: 1980

Most Recent: 2006

RePEc ID: pba423 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 11.39 12.57 0.00 37.03

Publication Statistics

Raw Publications 25
Coauthorship-Adjusted Count 27.43

Publications (25)

Year Article Journal Tier Authors
2006 Do asymmetric and nonlinear adjustments explain the forward premium anomaly? Journal of International Money and Finance B 2
2002 Introduction International Journal of Forecasting B 3
2002 Modeling and forecasting from trend-stationary long memory models with applications to climatology International Journal of Forecasting B 2
2000 The forward premium anomaly is not as bad as you think Journal of International Money and Finance B 2
1997 Central bank intervention and risk in the forward market Journal of International Economics A 2
1997 Papers in honor of Patrick C. McMahon Journal of International Money and Finance B 4
1997 Why do central banks intervene? Journal of International Money and Finance B 2
1996 A minimum distance estimator for long-memory processes Journal of Econometrics A 3
1996 Editors' introduction: Fractional differencing and long memory processes Journal of Econometrics A 2
1996 Long memory processes and fractional integration in econometrics Journal of Econometrics A 1
1996 Fractionally integrated generalized autoregressive conditional heteroskedasticity Journal of Econometrics A 3
1994 Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. Journal of Finance A 2
1994 The long memory of the forward premium Journal of International Money and Finance B 2
1993 Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange Journal of International Money and Finance B 3
1992 Prediction in dynamic models with time-dependent conditional variances Journal of Econometrics A 2
1991 The search for equilibrium relationships in international finance: the case of the monetary model Journal of International Money and Finance B 2
1990 A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets Journal of International Money and Finance B 2
1987 Inference in dynamic models containing 'surprise' variables Journal of Econometrics A 1
1987 Introduction International Journal of Forecasting B 3
1987 Cointegration and models of exchange rate determination International Journal of Forecasting B 2
1986 Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771 International Journal of Forecasting B 1
1984 Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market. Oxford Economic Papers C 3
1983 Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates Economics Letters C 1
1980 Testing the permanent income hypothesis using a general rational lag formulation Economics Letters C 3
1980 Predictions from ARMAX models Journal of Econometrics A 1