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~person:"McMillan, David G."
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McMillan, David G.
McAleer, Michael
405
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369
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264
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1
Is there a risk and return relation?
Fifield, S. G. M.
;
McMillan, David G.
;
McMillan, Fiona J.
- In:
The European journal of finance
26
(
2020
)
11
,
pp. 1075-1101
Persistent link: https://www.econbiz.de/10012264949
Saved in:
2
Market trader heterogeneity and high frequency
volatility
dynamics : further evidence from intra-day FTSE-100 futures data
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics letters
2
(
2006
)
2
,
pp. 99-103
Persistent link: https://www.econbiz.de/10003302494
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Structural breaks in
volatility
: the case of UK sector returns
McMillan, David G.
;
Wohar, Mark E.
- In:
Applied financial economics
21
(
2011
)
13/15
,
pp. 1079-1093
Persistent link: https://www.econbiz.de/10009317435
Saved in:
8
Expected Profitability, the 52-Week High and the Idiosyncratic
Volatility
Puzzle
Khasawneh, Maher
;
McMillan, David G.
;
Kambouroudis, Dimos S
-
2021
of the stocks with high idiosyncratic
volatility
(high IVOL). An out-of-sample prediction of future profitability is …
Persistent link: https://www.econbiz.de/10013322478
Saved in:
9
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
Saved in:
10
The Predictive Power of the Oil Variance Risk Premium
McMillan, David G.
;
Ziadat, Salem Adel
-
2022
variance risk premium, which incorporates both implied and realised
volatility
, has recently come for the fore. It is well …
Persistent link: https://www.econbiz.de/10013297940
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