Richard Baillie

Richard is a part time professor at QMUL and is the A J Pasant Professor of Economics and Finance at the Michigan State University, USA. He works in the area of dynamic econometric methods, international finance, asset pricing and time series analysis. His current main research interests are the theory of long memory processes, modelling volatility, general issues in prediction, international finance parity conditions, modelling risk premium, and the effects of central bank intervention. He has published over seventy articles in the main professional journals and is a Fellow of the Journal of Econometrics and an elected Fellow of the American Statistical Association. According to Repec, he is in the top 3% of all economists for citations and has an "h" statistic of 19. He is Co-Editor of the Journal of Empirical Finance and also serves as Associate Editor of a number of other journals and is visiting Scholar at the Federal Reserve Bank of Atlanta.

Selected publications

• "Predictions from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, 49, 1331-1337, 1981.
• "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," (with R.E. Lippens and P.C. McMahon), Econometrica, 51, 553-563, 1983.
• "Inference in Dynamic Models Containing 'Surprise' Variables," Journal of Econometrics, 35, 101-117, 1987.
• "Common Stochastic Trends in a System of Exchange Rates," (with T. Bollerslev), Journal of Finance, 44, 167-181, 1989.
• “Stock Returns and Volatility," (with R.P. DeGennaro), Journal of Financial and Quantitative Analysis, 25, 203-214, 1990.
• "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," (with R.J. Myers), Journal of Applied Econometrics, 6, 109-124, 1991.
• "Intra Day and Inter Market Volatility in Foreign Exchange Rates," (with T. Bollerslev), Review of Economic Studies, 58, 565-585, 1991.
• "Prediction in Dynamic Models with Time Dependent Conditional Variances," (with T. Bollerslev), Journal of Econometrics, 52, 91-113, 1992.   
• "Cointegration, Fractional Cointegration and Exchange Rate Dynamics," (with T. Bollerslev), Journal of Finance, 49, 737-745, 1994.
• "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.
• "Long Memory Processes and Fractional Integration in Econometrics," Journal of Econometrics, 73, 5-59, 1996.   
• "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity," (with T. Bollerslev and H.-O. Mikkelsen), Journal of Econometrics, 74, 3-30, 1996.
• "Central Bank Intervention and Risk in the Forward Premium," (with W.P. Osterberg), Journal of International Economics, 43, 483-497, 1997.
• "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.
• "Price Discovery and Common Factor Models", (with G.G. Booth, Y.T. Tse and T. Zabotina), Journal of Financial Markets, 5, 309-321, 2002.
• "Regression Model Fitting with a Long Memory Covariate Process”, (with H.L. Koul and D. Surgailis), Econometric Theory, 20, 485-512, 2004. 
• "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?”, (with R. Kilic), Journal of International Money and Finance, 25, 22-47, 2006.
• "Testing for Neglected Nonlinearity in Long-Memory Models", (with G. Kapetanios), Journal of Business and Economic Statistics, 25, 447-461, 2007.
• “Nonlinear Models for Strongly Dependent Processes with Financial Applications”, (with G. Kapetanios), Journal of Econometrics, 147, 60-71, 2008.
• “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.
• “Carry Trades, Momentum Trading and the Forward Premium Anomaly”, (with S. S. Chang), Journal of Financial Markets, forthcoming, 2010.