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Market trader heterogeneity and high frequency volatility dynamics : further evidence from intra-day FTSE-100 futures data
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics letters 2 (2006) 2, pp. 99-103
Persistent link: https://www.econbiz.de/10003302494
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Threshold adjustment in spot-futures metals prices
McMillan, David G. - In: Applied financial economics letters 1 (2005) 1, pp. 5-8
Persistent link: https://www.econbiz.de/10002550001
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Structural breaks in financial ratios : evidence for nine international markets
McMillan, David G. - In: Applied financial economics letters 3 (2007) 4/6, pp. 381-384
Persistent link: https://www.econbiz.de/10003605339
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Is non-linearity a permanent feature? : Evidence from recursive and rolling estimation
McMillan, David G. - In: Applied financial economics letters 1 (2005) 4, pp. 229-232
Persistent link: https://www.econbiz.de/10003016827
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Efficiency of the South African equity market
McMillan, David G.; Thupayagale, Pako - In: Applied financial economics letters 4 (2008) 4/6, pp. 327-330
Persistent link: https://www.econbiz.de/10003807719