Search Results for author: Richard T. Baillie

Found 2 papers, 0 papers with code

A New Test for Market Efficiency and Uncovered Interest Parity

no code implementations • 2 Nov 2022 • Richard T. Baillie, Francis X. Diebold, George Kapetanios, Kun Ho Kim

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach.

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On Robust Inference in Time Series Regression

no code implementations • 8 Mar 2022 • Richard T. Baillie, Francis X. Diebold, George Kapetanios, Kun Ho Kim, Aaron Mora

Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments.

regression Time Series +1

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