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Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing …

Persistent link: https://www.econbiz.de/10011487829

Is there an ideal in-sample length for forecasting volatility?

Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137

Persistent link: https://www.econbiz.de/10011475043

Stock return predictability and dividend-price ratio : a nonlinear approach

McMillan, David G.; Wohar, Mark E. - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 351-365

Persistent link: https://www.econbiz.de/10008811291

Do artificial neural networks provide improved volatility forecasts : evidence from Asian markets

Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 723-762

Persistent link: https://www.econbiz.de/10014380680

Stock return predictability and market integration: The role of global and local information

McMillan, David G. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18

is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing …

Persistent link: https://www.econbiz.de/10011559218

Weekly volatility forecasts with applications to risk management

McMillan, David G.; Speight, Alan E.H. - In: Journal of Risk Finance 8 (2007) May, pp. 214-229

Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...

Persistent link: https://www.econbiz.de/10004966330

Stock return predictability : using the cyclical component of the price ratio

McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242

Persistent link: https://www.econbiz.de/10012135904

Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

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

Stock return predictability : the role of inflation and threshold dynamics

McMillan, David G. - In: International review of applied economics 31 (2017) 3, pp. 357-375

Persistent link: https://www.econbiz.de/10011762050