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Economics Department Staff

Economics at Queen Mary University of London

Richard Baillie

Email: r.t.baillie@qmul.ac.uk
Professor
Room number: CB314
Telephone: +44 (0)20 7882 8828
Internal extension: 8828
Website: http://www.msu.edu/user/baillie/

Richard is a part time professor at Queen Mary 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 and fractional integration, modelling volatility, general issues in prediction, international finance parity conditions, modelling risk premium, and the effects of central bank intervention. He has published over fifty articles in the main professional journals and is a Fellow of the Journal of Econometrics and is listed in the "Who's Who of Economists". He is Co-Editor of the Journal of Empirical Finance and also serves as Associate Editor of a number of other journals and is consultant and Visiting Scholar at the Federal Reserve Bank of Cleveland.

  • Baillie R., (1996) "Fractionally Integrated Generalised Autoregressive Conditional Heteroskedasticity" Journal of Econometrics (with T. Bollerslev and H-O. Mikkelsen)
  • Baillie R (2000) "The Forward Premium Anomaly is Not as Bad as You Think" Journal of International Money and Finance (with T. Bollerslev)
  • Baillie R. (2001) "Estimation of GARCH Models From the Autocorrelations of the Squares of a Process" Journal of Time Series Analysis (with H. Chung)
  • Baillie R. and Han Y-W. (2001) "On Testing Target Zone Models Using Efficient Method of Moments" Journal of Business and Economic Statistics (with Y-W Han)
  • Baillie R., (2002) "Further Long Memory Properties of Inflationary Shocks" Southern Economic Journal (with Y-W Han and T. Kwon)
  • Baillie R. (2002) "The Message in Daily Exchange Rates: A Conditional Variance Tale" Journal of Business and Economic Statistics (with T. Bollerslev)
  • Baillie R., (2002) "Price Discovery and Common Factor Models" Journal of Financial Markets (with G.G. Booth, Y.T. Tse and T. Zabotina)
  • Baillie R. (2002) "Modeling and Forecasting from Trend Stationary Long Memory Models with Applications to Climatology" International Journal of Forecasting (with S-K. Chung)
  • Baillie R. (2003) "Asymptotics of M Estimators in Non-Linear Regression with Long Memory Designs" Statistics and Probability Letters (with H.L Koul)
  • Baillie R. (forthcoming) "Regression Model Checking with Long Memory Covariate Processes" Econometric Theory (with H.L Koul and D. Surgailis).
  • Baillie R. (forthcoming) "Non Linearity, Long Memory and Self Similarity in High Frequency European Exchange Rates" Journal of International Financial Markets, Institutions and Money