Current and Recent Papers

[1] Baillie, Diebold, Kapetanios, Kim, and Mora, "On Robust Inference in Time Series Regression", Econometrics Journal,  forthcoming, 2025,  

[2] Baillie, Diebold, Kapetanios, and Kim, "A new test for market efficiency and uncovered interest parity", Journal of International Money and Finance, 130, 1-14, 2023.

[3] Baillie, Cho, and Rho, "Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs", Econometrics and Statistics, 29, 88-112, 2024.

[4] Baillie, Diebold, Kapetanios, and Kim, "Robust Estimation and Inference for Time Series Regression with Highly Persistent Components," July, 2024.