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Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
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Daily volatility forecasts : reassessing the performance of GARCH models
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460
Persistent link: https://www.econbiz.de/10002233160
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Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
Mcmillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-344
Persistent link: https://www.econbiz.de/10009971921
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Forecasting stock returns : do commodity prices help?
Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639
Persistent link: https://www.econbiz.de/10011282841
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Does information help intra-day volatility forecasts?
McMillan, David G.; Quiroga García, Raquel - In: Journal of forecasting 32 (2013) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10009758739
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Daily volatility forecasts: reassessing the performance of GARCH models
Mcmillan, David G.; Speight, Alan E.H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460
Persistent link: https://www.econbiz.de/10006880037
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Does Information Help Intra‐Day Volatility Forecasts?
McMillan, David G.; García, Raquel Quiroga - In: Journal of forecasting 32 (2013) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10010061470