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High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities

Baillie, Richard; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10001636386

High Frequency Deutsche Mark-US Dollar Returns : FIGARCH Representations and Non Linearities

Baillie, Richard - 2016

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark-US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns...

Persistent link: https://www.econbiz.de/10013004295

Long memory models for daily and high frequency commodity futures returns

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - In: The journal of futures markets 27 (2007) 7, pp. 643-668

Persistent link: https://www.econbiz.de/10003493148

Long memory and FIGARCH models for daily and high frequency commodity prices

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - 2007

Persistent link: https://www.econbiz.de/10003740333

Long memory volatility, central bank intervention and uncovered interest rate parity in the 1920s exchange markets

Baillie, Richard; Han, Young Wook - In: The Korean economic review 35 (2019) 1, pp. 183-203

Persistent link: https://www.econbiz.de/10012217148

Special issue on high frequency data in finance

Baillie, Richard (contributor); … - 1997

Persistent link: https://www.econbiz.de/10001505850

Deviations from daily uncovered interest rate parity and the role of intervention

Baillie, Richard; Osterberg, William P. - In: Journal of international financial markets, … 10 (2000) 3/4, pp. 363-379

Persistent link: https://www.econbiz.de/10001532763

Special issue on high frequency data in finance ; Pt. 2

Baillie, Richard (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001558702

Modeling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach

Baillie, Richard (contributor); Morana, Claudio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003428583

Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach

Baillie, Richard; Morana, Claudio - In: Journal of economic dynamics & control 33 (2009) 8, pp. 1577-1592

Persistent link: https://www.econbiz.de/10003861075

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