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Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 16 (2006) 13, pp. 959-972

Persistent link: https://www.econbiz.de/10003377850

Return-volume dynamics in UK futures

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 12 (2002) 10, pp. 707-713

Persistent link: https://www.econbiz.de/10001702508

Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 14 (2004) 4, pp. 253-263

Persistent link: https://www.econbiz.de/10001939280

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

Forecasting UK stock market volatility

McMillan, David G.; Speight, Alan E. H.; Ap Gwilym, Owain - In: Applied financial economics 10 (2000) 4, pp. 435-448

Persistent link: https://www.econbiz.de/10001526630

Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 13 (2003) 8, pp. 599-607

Persistent link: https://www.econbiz.de/10001770840

Structural breaks in volatility : the case of UK sector returns

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 21 (2011) 13/15, pp. 1079-1093

Persistent link: https://www.econbiz.de/10009317435

An analysis of the time series properties of the UK ex-post real interest rate : fractional integration, breaks or nonlinear

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 20 (2010) 22/24, pp. 1697-1707

Persistent link: https://www.econbiz.de/10009012376

The stock market and the Fed

Mattesini, Fabrizio; Becchetti, Leonardo - In: Applied financial economics 19 (2009) 1/3, pp. 99-110

This article investigates the reaction of the Federal Reserve to developments in the stock market. The issue is analysed by first constructing an Index of Stock Price Misalignment (ISPM) in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach...

Persistent link: https://www.econbiz.de/10003825824