Narrow search
Showing 1 - 10 of 111
Cover Image
Short-Sale Constraints and Efficiency of the Spot-Futures Dynamics
Philip, Dennis - 2013
This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008-2009 financial crisis. We find the equilibrium position for the basis during the ban is below that normally seen, with the spot price higher relative...
Persistent link: https://www.econbiz.de/10013092219
Cover Image
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
Cover Image
Financial co-movement and correlation : evidence from 33 international stock market indices
Evans, Twm; McMillan, David G. - In: International journal of banking, accounting and finance 1 (2008) 3, pp. 215-241
Persistent link: https://www.econbiz.de/10003838060
Cover Image
Measuring volatility persistence and long memory in the presence of structural breaks : evidence from African stock markets
McMillan, David G.; Thupayagale, Pako - In: Managerial finance 37 (2011) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10009124175
Cover Image
Asymmetric risk premium in value and growth stocks
Black, Angela J.; McMillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246
Persistent link: https://www.econbiz.de/10003348583
Cover Image
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Cover Image
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
Cover Image
Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
model specifications, volatility effects and other robustness considerations continue to support our results. These results …
Persistent link: https://www.econbiz.de/10012919223
Cover Image
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1517-1537
Persistent link: https://www.econbiz.de/10014253685
Cover Image
Do Extreme Range Estimators Improve Realized Volatility Forecasts? Evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos S; McMillan, David G. - 2023
We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR … findings suggest that while no single model dominates, overnight return volatility achieves the most consistency. For example …, forecasts for CAC and DAX indices are improved only by overnight volatility, with some evidence also for SPX. For other indices …
Persistent link: https://www.econbiz.de/10014257261