Concepedia

Richard T. Baillie

RT

Statistics

Publications

81

Citations

15.5K

H-Index

45

Active since

1979

Affiliations

Michigan State University(Current)

Queen Mary University of London

Northwestern University

Federal Reserve Bank of Cleveland

Richard T. Baillie is an author at Michigan State University specializing in business, finance, and economics.

Top concepts

BusinessFinanceEconomicsStatisticsEconometricsEngineeringMacroeconomicsForecastingGlobal FinanceAsset Pricing

Publications per year

1979–2019

81

Publications

81

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 2.3K citations

Volatility Modeling, Asset Pricing, Business +5

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

Econometric Model, Economics, Macroeconomics +7

The Message in Daily Exchange Rates

Richard T. Baillie, Tim Bollerslev · Journal of Business and Economic Statistics · 2002 · 799 citations

Economics, Engineering, Macroeconomics +13

Stock Returns and Volatility

Richard T. Baillie, Ramon P. DeGennaro · Journal of Financial and Quantitative Analysis · 1990 · 737 citations

Empirical Finance, Volatility Modeling, Financial Economics +13

Bivariate garch estimation of the optimal commodity futures Hedge

Richard T. Baillie, Robert J. Myers · Journal of Applied Econometrics · 1991 · 731 citations

Economics, Volatility Modeling, Financial Economics +13

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