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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 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

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

Central bank intervention and risk in the forward premium

Baillie, Richard; Osterberg, William P. - 1996

Persistent link: https://www.econbiz.de/10000941570

Central bank intervention and risk in the forward market

Baillie, Richard - In: Journal of international economics 43 (1997) 3, pp. 483-497

Persistent link: https://www.econbiz.de/10001233548

Why do central banks intervene?

Baillie, Richard - In: Journal of international money and finance 16 (1997) 6, pp. 909-919

Persistent link: https://www.econbiz.de/10001337355

Cointegration, fractional cointegration, and exchange rate dynamics

Baillie, Richard - In: The journal of finance : the journal of the American … 49 (1994) 2, pp. 737-745

Persistent link: https://www.econbiz.de/10001169038

Causality and the free liquid reserves in the Federal Republic of Germany

Baillie, Richard; MacMahon, P. C.; Regier, Hans Jürgen - 1979

Persistent link: https://www.econbiz.de/10000066716

Why do central banks intervene?

Baillie, Richard; Osterberg, William P. - In: Foreign exchange markets, (pp. 227-237). 2005

Persistent link: https://www.econbiz.de/10003290908