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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
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Spillovers between output and stock prices : a wavelet approach
McMillan, David G.; Tiwari, Aviral Kumar - In: Studies in economics and finance 33 (2016) 4, pp. 625-637
Persistent link: https://www.econbiz.de/10011722563
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …
Persistent link: https://www.econbiz.de/10012813273
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Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant …
Persistent link: https://www.econbiz.de/10012919223
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Equity/bond yield correlation and the FED model : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: The journal of asset management 19 (2018) 6, pp. 413-428
Persistent link: https://www.econbiz.de/10011958115
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Time-varying correlations and interrelations : firm-level-based sector evidence
Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10011704219
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Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries
Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...
Persistent link: https://www.econbiz.de/10013179569
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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