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The behaviour of the equity yield and its relation with the bond yield : the role of inflation

McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Persistent link: https://www.econbiz.de/10011963922

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

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

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

Evaluating stock index return value-at-risk estimates in South Africa : comparative evidence for symmetric, asymmetric and long memory GARCH models

McMillan, David G.; Thupayagale, Pako - In: Journal of emerging market finance 9 (2010) 3, pp. 325-345

Persistent link: https://www.econbiz.de/10009156610

Does VIX or volume improve GARCH volatility forecasts?

Kambouroudis, Dimos S.; McMillan, David G. - In: Applied economics 48 (2016) 13/15, pp. 1210-1228

Persistent link: https://www.econbiz.de/10011433080

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

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

Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR

McMillan, David G. - In: International review of applied economics 26 (2012) 1, pp. 125-143

Persistent link: https://www.econbiz.de/10009419538

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