Research

Working Papers

[1] Baillie, Calonaci, Kapetanios, “Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model”, November, 2018.

[2] Baillie, Cho, Rho, “Correlations of Estimates of Short and Long Memory Parameters in Time Series Modeling: the Long and the Short of it”, February, 2021.

[3] Baillie, Kapetanios, Kim, "Robust Inference in Time Series Regressions", January, 2021

[4] Baillie, Kapetanios, Kim, "A New Test and Historical Perspectives on Tests for Market Efficiency and Rational Expectations in Financial Markets", June, 2021

Refereed Journal Articles

[1] "The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with autoregressive Errors," Journal of the American Statistical Association, 74, 175-184, 1979.

[2] "Asymptotic prediction mean Squared Error for Vector Autoregressive Models," Biometrika, 66, 675-678, 1979.

[3] "Predictions from ARMAX models," Journal of Econometrics, 12, 365-374, 1980.

[4] "Testing the Permanent Income Hypothesis Using a General Rational Lag Formulation," (with P.C. McMahon and D.J. Smyth), Economics Letters, 5, 39-43, 1980.

[5] "Causality and the Free Liquid Reserves in the Federal Republic of Germany," (with P.C. McMahon and H.J. Reigier), Journal of Institutional and Theoretical Economics, (Zeitschrift fur die Gesamte Staatswissenschaft), 136, 642-657, 1980.

[6] "Multivariate Causality and the Relationship between the Free Liquid Reserves and Interest Rates," (with P.C. McMahon), Journal of Institutional and Theoretical Economics, (Zeitschrift fur die Gesamte Staatswissenschaft), 137, 284-288, 1981.

[7] "Interest Rates and Investment in West Germany," (with P.C. McMahon), Empirical Economics, 6, 1-9, 1981.

[8] "Predictions from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, 49, 1331-1337, 1981.

[9] "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," (with R.E. Lippens and P.C. McMahon), Econometrica, 51, 553-563, 1983.

[10] "Asymptotic Tests on Moving Average Representation Coefficients with an Application to Innovations on Spot and Forward Exchange Rates," Economics Letters, 13, 201-206, 1983.

[11] “Small Sample Properties of Predictions from the Regression Model with Autoregressive Errors," (with J.J. Spitzer), Journal of the American Statistical Association, 78, 258-263, 1983.

[12] “International Currency Speculation, Market Stability and Efficiency in the 1920's: a Time Series Approach," (with R.W. Bailey), Journal of Macroeconomics, 6, 127-137, 1984.

[13] “Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," (with R.W. Bailey and P.C. McMahon), Oxford Economic Papers, 36, 67-85, 1984.

[14] "Some Joint Tests of Market Efficiency: the Case of the Forward Premium," (with P.C. McMahon), Journal of Macroeconomics, 7, 137-150, 1985.

[15] “Estimation and Testing of the Term Structure of the Forward Premium Under Rational Expectations," (with P.C. McMahon), Journal of Macroeconomics, 8, 387-391, 1987.

[16] "Cointegration and Models of Exchange Rate Determination," (with D.D. Selover), International Journal of Forecasting, 3, 43-51, 1987.

[17] "Inference in Dynamic Models Containing 'Surprise' Variables," Journal of Econometrics, 35, 101-117, 1987.

[18] "The Message in Daily Exchange Rates: a Conditional Variance Tale," (with T. Bollerslev), Journal of Business and Economic Statistics, 7, 297-305, 1989.

[19] "The Impact of Delivery Terms on Stock Return Volatility," (with R.P. DeGennaro), Journal of Financial Services Research, 3, 53-74, 1989.

[20] "Common Stochastic Trends in a System of Exchange Rates," (with T. Bollerslev), Journal of Finance, 44, 167-181, 1989.

[21] "Econometric Tests of Rationality and Market Efficiency," Econometric Reviews, 8, 151-186, 1989.

[22] Reply to Comments on “Econometric Tests of Rationality and Market Efficiency", Econometric Reviews, 8, 213-216, 1989.

[23] "Commodity Prices and Aggregate Inflation: Would a Commodity Price Rule be Worthwhile?", Carnegie-Rochester Conference Series on Public Policy, 31, 185-240, 1989.

[24] "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets," (with T. Bollerslev), Journal of International Money and Finance, 9, 309-324, 1990.

[25] "Stock Returns and Volatility," (with R.P. DeGennaro), Journal of Financial and Quantitative Analysis, 25, 203-214, 1990.

[26] "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," (with R.J. Myers), Journal of Applied Econometrics, 6, 109-124, 1991.

[27] "The Search for Equilibrium Relationships in International Finance: the Case of the Monetary Model," (with R.A. Pecchenino), Journal of International Money and Finance, 10, 582-593, 1991.

[28] "Intra Day and Inter Market Volatility in Foreign Exchange Rates," (with T. Bollerslev), Review of Economic Studies, 58, 565-585, 1991.

[29] "Nominal Exchange Rates," (with T. Bollerslev), New Palgrave Dictionary of Money and Finance, 37-39, 1992.

[30] "Prediction in Dynamic Models with Time Dependent Conditional Variances," (with T. Bollerslev), Journal of Econometrics, 52, 91-113, 1992.R

Reprinted in Economic Forecasting, editor T.C. Mills, 1, Edward Elgar, Cheltenham, UK, 1999.

[31] "Comment on Modeling Asset Returns with Alternative Stable Distributions," Econometric Reviews, 12, 343-345, 1993

[32] "Bear Squeezes, Volatility Spillovers and Speculative Attacks in the Hyperinflation 1920's Foreign Exchange," (with T. Bollerslev and M.R. Redfearn), Journal of International Money and Finance, 12, 511-521, 1993.

[33] "Small Sample Bias in Conditional Sum of Squares Estimators of Fractionally Integrated ARMA Models," (with C.-F. Chung), Empirical Economics, 18, 791-806, 1993.

[34] Comment on “Limitations of Comparing Mean Square Forecast Errors," Journal of Forecasting, 12, 639-641, 1993.

[35] "Cointegration, Fractional Cointegration and Exchange Rate Dynamics," (with T. Bollerslev), Journal of Finance, 49, 737-745, 1994.

[36] "Long Memory in the Forward Premium," (with T. Bollerslev), Journal of International Money and Finance, 13, 565-571, 1994.

[37] "A Minimum Distance Estimator for Long Memory Processes," (with M.A. Tieslau and P. Schmidt), Journal of Econometrics, 71, 249-264, 1996.

[38] "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," (with C.-F. Chung and M.A. Tieslau), Journal of Applied Econometrics, 11, 23-40, 1996.

[39] "Long Memory Processes and Fractional Integration in Econometrics," Journal of Econometrics, 73, 5-59, 1996.

Reprinted in Recent Developments in Time Series (edited by P. Newbold and S. J. Leybourne), Edward Elgar Publishing, Cheltenham, UK, 2002; and also reprinted in Financial Econometrics, (edited by A. Lo), Edward Elgar Publishing, Cheltenham, UK, 2006.]

[40] "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity," (with T. Bollerslev and H.-O. Mikkelsen), Journal of Econometrics, 74, 3-30, 1996.

Reprinted in Recent Developments in Time Series (edited by P. Newbold and S. J. Leybourne), Edward Elgar Publishing, Cheltenham, UK, 2002.

Reprinted in Volatility (edited by T.G. Andersen and T. Bollerslev), Edward Elgar Publishing, Cheltenham, UK, 2018.

[41] "Why do Central Banks Intervene?," (with W.P. Osterberg), Journal of International Money and Finance, 16, 909-919, 1997.

Reprinted in Foreign Exchange Markets, (edited by R.J. Sweeney), Edward Elgar Publishing, Cheltenham, UK, 2005.

[42] "Central Bank Intervention and Risk in the Forward Premium," (with W.P. Osterberg), Journal of International Economics, 43, 483-497, 1997.

[43] "Modeling Long Memory Volatility in Asset Returns", Derivatives Use, Trading and Regulation, 4, 233-244, 1998.

[44] Comment on “Real and Spurious Long Memory in Stock Returns", Journal of Business and Economic Statistics, 16, 273-276, 1998.

[45] "Prediction from the Regression Model with One-Way Error Components," (with B.H. Baltagi), in C. Hsiao, K. Lahiri, L.-F. Lee and M.H. Pesaran (editors), Analysis of Panels and Limited Dependent Variable Models, Cambridge University Press, 255-267, 1999.

[46] "Deviations from Daily Uncovered Interest Rate Parity and the Role of Intervention," (with W.P. Osterberg), Journal of International Financial Markets, Institutions and Money, 10, 363- 379, 2000.

[47] "Intervention from an Information Perspective", (with O.F. Humpage and W.P. Osterberg), Journal of International Financial Markets, Institutions and Money, 10, 407-421, 2000.

[48] "The Forward Premium Anomaly is Not as Bad as You Think," (with T. Bollerslev), Journal of International Money and Finance, 19, 471-488, 2000.

[49] "High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and NonLinearities", (with A.A. Cecen and Y.-W. Han), Multinational Finance Journal, 4, 247-267, 2000.

[50] Comment on “Testing Target Zone Models Using Efficient Method of Moments", (with Y.- W. Han), Journal of Business and Economic Statistics, 19, 273-276, 2001.

[51] "Estimation of GARCH Models from the Autocorrelations of the Squares of a Process", (with H. Chung), Journal of Time Series Analysis, 22, 631-650, 2001.

[52] "Further Long Memory Properties of Inflationary Shocks", with Y.-W. Han and T. Kwon), Southern Economic Journal, 68, 496-510, 2002.

[53] "The Message in Daily Exchange Rates: a Conditional Variance Tale," (with T. Bollerslev), Journal of Business and Economic Statistics, 20, 60-68, 2002.

This reprinted article appeared in the twentieth anniversary commemorative issue of the Journal of Business and Economic Statistics and was selected on the basis of being one of the ten most influential articles to have been published in this journal.

[54] "Modeling and Forecasting from Trend Stationary Long Memory Models with Applications to Climatology", (with S.-K. Chung), International Journal of Forecasting, 18, 215-226, 2002.

[55] "Price Discovery and Common Factor Models", (with G.G. Booth, Y.T. Tse and T. Zabotina), Journal of Financial Markets, 5, 309-321, 2002.

[56] "Asymptotics of M Estimators in Non-linear Regression with Long Memory Designs”, (with H.L. Koul), Statistics and Probability Letters, 61, 237-252, 2003.

[57] "Measuring Non Linearity, Long Memory and Self Similarity in High Frequency European Exchange Rates”, (with A.A. Cecen, C. Erkal and Y.-W. Han), Journal of International Financial Markets, Institutions and Money, 14, 401-418, 2004.

[58] "Regression Model Fitting with a Long Memory Covariate Process”, (with H.L. Koul and D. Surgailis), Econometric Theory, 20, 485-512, 2004.

[59] "Modelling Volatility”, Handbook of Econometrics, (edited by T.C. Mills and K. Patterson), volume 1, Palgrave Macmillan, New York, NY, 737-764, 2006.

[60] "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?”, (with R. Kilic), Journal of International Money and Finance, 25, 22-47, 2006.

[61] "Long Memory Models for Daily and High Frequency Commodity Futures Returns”, (with Y.-W. Han, R.J. Myers and J. Song), Journal of Futures Markets, 27, 643-668, 2007.

[62] "Testing for Neglected Nonlinearity in Long-Memory Models", (with G. Kapetanios), Journal of Business and Economic Statistics, 25, 447-461, 2007.

[63] "Nominal Exchange Rates”, New Palgrave Dictionary of Economics, second edition, (edited by S. Durlauf and L. Blume, Palgrave Macmillan, London, 57-61, 2008.

[64] “An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly”, (with S. S. Chang), Quantitative and Qualitative Analysis in Social Sciences (QASS), 2, 25-44, 2008.

[65] “Nonlinear Models for Strongly Dependent Processes with Financial Applications”, (with G. Kapetanios), Journal of Econometrics, 147, 60-71, 2008.

[66] “Normal heartbeat series are non-chaotic, nonlinear, and multifractal: new evidence from semi-parametric and parametric tests”, (with A. A. Cecen and C. Erkal), Chaos, 19, 028503-1 – 028503-5, 2009.

[67] “Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach”, (with C. Morana), Journal of Economic Dynamics and Control, 33, 1577- 1592, 2009.

[68] “Prediction from ARFIMA Models: Comparisons between MLE and Semiparametric Procedures”, (with C. Kongchareon and G. Kapetanios), International Journal of Forecasting, 28, 46-53, 2011.

[69] "On Possible Solutions to the Forward Bias Paradox”, Journal of International Financial Markets, Institutions and Money, 21, 617-622, 2011.

[70] “Carry Trades, Momentum Trading and the Forward Premium Anomaly”, (with S. S. Chang), Journal of Financial Markets, 14, 441-464, 2011.

[71] “Adaptive ARFIMA Models with Applications to Inflation”, (with C. Morana), Economic Modelling, 29, 2451-2459, 2012.

[72] “When Carry Trades in Currency Markets are not Profitable”, (with D. Cho), Review of Development Economics, 18, 794-803, 2014.

[73] “Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes”, (with G. Kapetanios), Econometrics Journal, 16, 373-399, 2013.

[74] “Time Variation in the Standard Forward Premium Regression: Some New Models and Tests”, (with D. Cho), Journal of Empirical Finance, 29, 52-63, 2014.

[75] “Bandwidth Selection by Cross Validation for Forecasting Long Memory Financial Time Series”, (with G. Kapetanios and F. Papailias), Journal of Empirical Finance, 29, 129-143, 2014.

[76] “Modified Information Criteria and Selection of Long Memory Time Series Models”, (with G. Kapetanios and F. Papailias), Computational Statistics and Data Analysis, 76, 116-131, 2014.

[77] “Was it Risk? Or was it Fundamentals? Explaining Excess Currency Returns with Kernel Smoothed Regressions”, (with K.-H. Kim), Journal of Empirical Finance, 34, 99-111, 2015.

[78] “On the Estimation of Short Memory Components in Long Memory Time Series Models”, (with G. Kapetanios), Studies in Nonlinear Dynamics and Econometrics, 20, 365-375, 2016.

[79] “Assessing Euro Crises from a Time Varying International CAPM Approach”, (with D. Cho), Journal of Empirical Finance, 39, 197-208, 2016.

[80] “Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes”, (with G. Kapetanios and F. Papailias), Econometric Reviews, 36, 60-84, 2017.

[81] “Choices Between OLS with Robust Inference and Feasible GLS in Time Series Regressions”, (with K.-H. Kim), Economics Letters, 171, 218-221, 2018.

[82] “Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets”, (with Y W Han), Korean Economic Review, 35, 183-203, 2019.

[83] “Long Memory, Realized Volatility and Heterogeneous Autoregressive Models”, (with F. Calonaci, D. Cho and S. Rho), Journal of Time Series Analysis, 40, 609-628, 2019.