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The behaviour of asset return and volatility spillovers in Turkey : a tale of two crises
Bajo Rubio, Oscar; Berke, Burcu; McMillan, David G. - In: Research in international business and finance 41 (2017), pp. 577-589
Persistent link: https://www.econbiz.de/10011914596
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Equity/bond yield correlation and the FED model : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: The journal of asset management 19 (2018) 6, pp. 413-428
Persistent link: https://www.econbiz.de/10011958115
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Does money supply growth contain predictive power for stock returns? : evidence and explanation
McMillan, David G. - In: International journal of banking, accounting and finance 8 (2017) 2, pp. 119-145
Persistent link: https://www.econbiz.de/10011846574
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Time-varying predictability for stock returns, dividend growth and consumption growth
McMillan, David G. - In: International journal of finance & economics : IJFE 20 (2015) 4, pp. 362-373
Persistent link: https://www.econbiz.de/10011495564
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Nonlinear predictability of stock market returns : evidence from nonparametric and threshold models
McMillan, David G. - In: International review of economics & finance : IREF 10 (2001) 4, pp. 353-368
Persistent link: https://www.econbiz.de/10001651410
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The intraday relationship between volume and volatility in LIFFE futures markets
Ap Gwilym, Owain; McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 9 (1999) 6, pp. 593-604
Persistent link: https://www.econbiz.de/10001525288
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On moment condition failure in German stock returns : an application of recent advances in extreme value statistics
Lux, Thomas - In: Empirical economics : a journal of the Institute for … 25 (2000) 4, pp. 641-652
Persistent link: https://www.econbiz.de/10001542138
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Non-linear predictability of UK stock market returns
McMillan, David G. - In: Oxford bulletin of economics and statistics 65 (2003) 5, pp. 557-573
Persistent link: https://www.econbiz.de/10001839532
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The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781206
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Expected returns, yield spreads, and asset pricing tests
Campbello, Murillo; Chen, Long; Zhang, Lu - 2005
Persistent link: https://www.econbiz.de/10002823463