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Volatility forecasts : the role of asymmetric and long-memory dynamics and regional evidence

Evans, Twm; McMillan, David G. - In: Applied financial economics 17 (2007) 16/18, pp. 1421-1430

Persistent link: https://www.econbiz.de/10003605849

Sum of the parts stock return forecasting : international evidence

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 21 (2011) 10/12, pp. 837-845

Persistent link: https://www.econbiz.de/10009232515

UK stock market predictability : evidence of time variation

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 23 (2013) 10/12, pp. 1043-1055

Persistent link: https://www.econbiz.de/10009772196

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

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

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

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 volatility forecats

McMillan, David G.; Garcia, Raquel Quiroga - In: Applied financial economics 19 (2009) 7/9, pp. 611-623

This article seeks to examine the forecasting performance of competing models for intra-day volatility for the IBEX-35 index futures market. Whilst the use of intra-day is becoming common in examining daily forecasts through realized volatility, relatively little research examines the...

Persistent link: https://www.econbiz.de/10003842667

Output and stock prices : an examination of the relationship over 200 years

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 22 (2012) 19/21, pp. 1615-1629

Persistent link: https://www.econbiz.de/10009715952

Long run trends and volatility spillovers in daily exchange rates

Black, Angela J.; McMillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895-907

Persistent link: https://www.econbiz.de/10002150770