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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns : can non-linear dynamics help forecasting

Cecen, A. A. - In: International journal of forecasting 12 (1996) 4, pp. 465-473

Persistent link: https://www.econbiz.de/10001214771

Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns : further evidence

Cecen, A. A. - In: Economics letters 51 (1996) 3, pp. 323-329

Persistent link: https://www.econbiz.de/10001200985

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

Papers in honor of Patrick C. McMahon

Baillie, Richard (contributor); McMahon, Patrick C. (honouree) - In: Journal of international money and finance 16 (1997) 6, pp. 879-1000

Persistent link: https://www.econbiz.de/10001235358

The search for equilibrium relationships in international finance : the case of the monetary model

Baillie, Richard - In: Journal of international money and finance 10 (1991) 4, pp. 582-593

Persistent link: https://www.econbiz.de/10001114101

Intra-day and inter-market volatility in foreign exchange rates

Baillie, Richard - In: The review of economic studies 58 (1991) 4, pp. 565-585

Persistent link: https://www.econbiz.de/10001114302

Common stochastic trends in a system of exchange rates

Baillie, Richard - In: The journal of finance : the journal of the American … 44 (1989) 1, pp. 167-181

Persistent link: https://www.econbiz.de/10001063241

The message in daily exchange rates : a conditional-variance tale

Baillie, Richard - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 3, pp. 297-305

Persistent link: https://www.econbiz.de/10001069396