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Browsing Duke Faculty Scholarship by Author "Baillie, Richard T."

DukeSpace

Browsing Duke Faculty Scholarship by Author "Baillie, Richard T."

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  • The Long-Memory of the Forward Premium
    Bollerslev, Tim; Baillie, Richard T. (Journal of International Money and Finance, 1994)
    The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally ...
  • A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets
    Bollerslev, Tim; Baillie, Richard T. (Journal of International Money and Finance, 1990)
    This study examines spot and forward exchange rates at a weekly level for four different currencies. It is shown that the vector of forward market forecast errors can be parameterized as a vector moving average (MA) process ...
  • Prediction in Dynamic Models with Time Dependent Conditional Variances
    Bollerslev, Tim; Baillie, Richard T. (Journal of Econometrics, 1992)
    This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional ...