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Richard Baillie

A.J. Pasant Professor of Economics
Ph.D., London School of Economics

Address: 220E Marshall-Adams Hall
Tel: 517.355.1864
Fax: 517.432.1068
E-mail: baillie@msu.edu
Web: https://www.msu.edu/~baillie/

Curriculum Vitae

  • Time series analysis
  • Econometrics
  • Modeling volatility
  • International finance
  • Currency crises, risk and central bank intervention
  • Baillie, R T, Lippens, R E and P C McMahon (1983), Testing Rational Expectations and Efficiency in the Foreign Exchange Market, Econometrica, vol 51, pages 553-563.
  • Baillie, R T (1996), Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, vol 73, pages 5-59.
  • Baillie, R T and W P Osterberg (1997), Central Bank Intervention and Risk in the Forward Premium, Journal of International Economics, 43, 483-497, 1997.
  • Baillie, R T and G Kapetanios (2008), Nonlinear Models for Strongly Dependent Processes with Financial Applications, Journal of Econometrics, vol 147, pages 60-71.
  • Baillie and Kapetanios (2013), Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes, Econometrics Journal, vol 16.

Please see the faculty member's web site for a copy of the paper in pdf format.

  • Baillie, R T and Kim, K-H (2013), Local Deviations from Uncovered Interest Parity: Kernel Smoothing Functions and the Role of Fundamentals.
  • Baillie, R T, Kapetanios, G and Papailias (2013), Filtering and Extraction of Long Memory Components from Financial Time Series: a Cross Validation Approach.
  • Baillie, R T, Kapetanios, G and Papailias (2013), Inference for Impulse Response Functions From Multivariate Strongly Persistent Processes.

Please see the faculty member's web site for a copy of the paper in pdf format.

Michigan State University Department of Economics