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King's College London: London, GB

Employment
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King's College London

Works (12)

A new test for market efficiency and uncovered interest parity

JOURNAL OF INTERNATIONAL MONEY AND FINANCE
2023-02 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85142890727

Contributors: Richard Thomas Baillie; Francis X. Diebold; George Kapetanios; Kun Ho Kim
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King's College London

Combining Long and Short Memory in Time Series Models

Econometrics and Statistics
2022-06-30 | Journal article | Author
SOURCE-WORK-ID:

dc963467-62f2-4287-9b2c-4c91c024e28c

EID:

2-s2.0-85134786098

Contributors: Richard Thomas Baillie; Dooyeon Cho; Seunghwa Rho
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King's College London

Hierarchical Time-Varying Estimation of Asset Pricing Models

Journal of Risk and Financial Management
2022-01 | Journal article | Author
SOURCE-WORK-ID:

3b69e25a-01f4-4058-85bd-384fd7d5992d

EID:

2-s2.0-85130473395

Contributors: Richard Thomas Baillie; Fabio Calonaci; George Kapetanios
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King's College London

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

JOURNAL OF TIME SERIES ANALYSIS
2019-07-01 | Journal article | Author
SOURCE-WORK-ID:

91c8b7b8-8b08-4dc7-a18e-ab744522854b

EID:

2-s2.0-85064913074

Contributors: Richard Thomas Baillie; Fabio Calonaci; Dooyeon Cho; Seunghwa Rho
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King's College London

Inference for impulse response coefficients from multivariate fractionally integrated processes

ECONOMETRIC REVIEWS
2017-03-16 | Journal article | Author
SOURCE-WORK-ID:

f593c192-5e46-4821-ad61-9bfa2b489dd4

EID:

2-s2.0-84961199298

Contributors: Richard Thomas Baillie; George Kapetanios; Fotis Papailias
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King's College London

Assessing Euro crises from a time varying international CAPM approach

Journal of Empirical Finance
2016-12 | Journal article | Author
SOURCE-WORK-ID:

16e06178-ee49-45b4-97dd-10df5ead5e4e

WOSUID:

000391080600007

EID:

2-s2.0-84963565335

Contributors: Richard Thomas Baillie; Dooyeon Cho
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King's College London

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Journal of Empirical Finance
2015-12-01 | Journal article | Author
SOURCE-WORK-ID:

0bf0742f-8408-437e-afc4-a7bafb5e7f68

WOSUID:

000366231500007

EID:

2-s2.0-84943604621

Contributors: Richard Thomas Baillie; Kun Ho Kim
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King's College London

Bandwidth selection by cross-validation for forecasting long memory financial time series

Journal of Empirical Finance
2014-12 | Journal article | Author
SOURCE-WORK-ID:

9d195e7b-8cdb-497d-9d08-b4f533135c99

EID:

2-s2.0-84921372347

Contributors: Richard Thomas Baillie; George Kapetanios; Fotis Papailias
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King's College London

Modified information criteria and selection of long memory time series models

COMPUTATIONAL STATISTICS AND DATA ANALYSIS
2014-08-01 | Journal article | Author
SOURCE-WORK-ID:

07a8d872-335b-4aea-8b7e-4ef68651755f

EID:

2-s2.0-84901612339

Contributors: Richard Thomas Baillie; George Kapetanios; Fotis Papailias
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King's College London

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

Journal Of Economic Dynamics & Control
2009-08 | Journal article | Author
SOURCE-WORK-ID:

b2517519-3447-4886-a212-06171f0d5ca0

WOSUID:

000267269500004

EID:

2-s2.0-67349112865

Contributors: Richard Thomas Baillie; Claudio Morana
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King's College London

TESTING RATIONAL-EXPECTATIONS AND EFFICIENCY IN THE FOREIGN-EXCHANGE MARKET

Econometrica
1983 | Journal article | Author
SOURCE-WORK-ID:

b6be4eb6-e2f3-40d6-9a44-a7b75e4a3043

WOSUID:

A1983SQ14600002

Contributors: Richard Thomas Baillie; RE LIPPENS; PC MCMAHON
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King's College London

PREDICTIONS FROM ARMAX MODELS

JOURNAL OF ECONOMETRICS
1980 | Journal article | Author
SOURCE-WORK-ID:

8019d377-5d16-4c38-85d3-230f8a3bdf73

WOSUID:

A1980JP21500007

EID:

2-s2.0-0040136481

Contributors: Richard Thomas Baillie
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King's College London