Current and Recent Papers

[1] Baillie, Diebold, Kapetanios, Kim, and Mora, "On Robust Inference in Time Series Regression", Econometrics Journal,  28, 131-173, 2025,  

[2] Baillie, Kapetanios and Kim,  "Amazingly Versatile Durbin Regressions with Persistent and Non-linear Errors: HAC Comparisons",  revised working paper, August 2025. 

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

[5] Baillie, Cho and Rho, "Approximating Long Memory Processes with Low Order Autoregressions with Implications for Modeling Realized Volatility",  Empirical Economics, 64, 2911-2937, 2023.