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Realised hedge ratio properties, performance and implications for risk management: evidence from the spanish ibex 35 spot and futures markets
McMillan, David G.; García, Raquel Quiroga - 2010
Persistent link: https://www.econbiz.de/10010418466
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The dependence structure in credit risk between money and derivatives markets : a time-varying conditional copula approch
Wu, Weiou; McMillan, David G. - In: Managerial finance 40 (2014) 8, pp. 758-769
Persistent link: https://www.econbiz.de/10010393653
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Nonlinear dynamics in high-frequency intraday financial data : evidence for the UK long gilt futures market
McMillan, David G.; Speight, Alan E. H. - In: The journal of futures markets 22 (2002) 11, pp. 1037-1057
Persistent link: https://www.econbiz.de/10001713575
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Return-volume dynamics in UK futures
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 12 (2002) 10, pp. 707-713
Persistent link: https://www.econbiz.de/10001702508
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The intraday relationship between volume and volatility in LIFFE futures markets
Ap Gwilym, Owain; McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 9 (1999) 6, pp. 593-604
Persistent link: https://www.econbiz.de/10001525288
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Efficiency of the IBEX spot-futures basis : the impact of the mini-futures
McMillan, David G.; Quiroga Garcia, Raquel - In: The journal of futures markets 28 (2008) 4, pp. 398-415
Persistent link: https://www.econbiz.de/10003699415
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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
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The existence and source of stock return predictability : evidence from dividend, output and consumption ratios
McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208
Persistent link: https://www.econbiz.de/10011413295
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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
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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