Richard Baillie

Research subject areas

Banking & Finance

Biography

Richard Baillie is Professor of Banking & Finance at King's Business School.

Publications

• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models 01 July 2019
• TESTING RATIONAL-EXPECTATIONS AND EFFICIENCY IN THE FOREIGN-EXCHANGE MARKET 01 January 1983
• PREDICTIONS FROM ARMAX MODELS 01 January 1980
• Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach 01 August 2009
• Assessing Euro crises from a time varying international CAPM approach 01 December 2016
• Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions 01 December 2015
• Inference for impulse response coefficients from multivariate fractionally integrated processes 16 March 2017
• Bandwidth selection by cross-validation for forecasting long memory financial time series 01 December 2014
• Modified information criteria and selection of long memory time series models 01 August 2014