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The information content of the stock and bond return correlation
McMillan, David G. - In: Quantitative finance and economics 2 (2018) 3, pp. 757-775
Persistent link: https://www.econbiz.de/10012156853
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Oil price shocks and stock-bond correlation
Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq; Ur … - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014486268
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Oil Price Shocks and Stock-Bond Correlation
Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq; Rehman, … - 2023
This paper investigates the role of oil as a determinant of the US stock-bond correlation. The analysis uses monthly data over the period from February 1990 to July 2021. We examine the impact of oil shocks, using the Ready (2018) method, alongside a range of macroeconomic variables on the...
Persistent link: https://www.econbiz.de/10014257194
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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
Guidolin, Massimo - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10013136656
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The "stylised facts" of the UK business cycle : a reappraisal
McMillan, David G. - In: Journal of economic studies 25 (1998) 4, pp. 370-391
Persistent link: https://www.econbiz.de/10001248494
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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
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Volatility persistence, long memory and structural breaks in an emerging equity market : the case of South Africa
McMillan, David G.; Thupayagale, Pako - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 297-310
Persistent link: https://www.econbiz.de/10009007476
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Efficiency of the South African equity market
McMillan, David G.; Thupayagale, Pako - In: Applied financial economics letters 4 (2008) 4/6, pp. 327-330
Persistent link: https://www.econbiz.de/10003807719
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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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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
local and global predictive factors. Recent research has argued that US returns have predictive power for international … of the global factor, based on principal components analysis. Results identify three global expected returns factors, one … the principal components based factors to a US return factor and local market only factors, as well as the historical mean …
Persistent link: https://www.econbiz.de/10011487829