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Nonlinearities in the black market zloty-dollar exchange rate: some further evidence

Mcmillan, David G.; Speight, Alan E.H. - In: Applied financial economics 11 (2001) 2, pp. 209-220

Persistent link: https://www.econbiz.de/10007672033

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. 253-264

Persistent link: https://www.econbiz.de/10007650954

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

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

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

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

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

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

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