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~person:"McMillan, David G."
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Volatility
67
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67
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McMillan, David G.
McAleer, Michael
499
Gupta, Rangan
252
Caporale, Guglielmo Maria
220
Chang, Chia-Lin
179
Bollerslev, Tim
158
Diebold, Francis X.
137
Fabozzi, Frank J.
135
Engle, Robert F.
119
Härdle, Wolfgang
119
Pierdzioch, Christian
119
Bouri, Elie
118
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112
Spagnolo, Nicola
105
Caporin, Massimiliano
104
Hammoudeh, Shawkat
104
Andersen, Torben
102
Hafner, Christian M.
95
Koopman, Siem Jan
94
Hautsch, Nikolaus
92
Ma, Feng
92
Lien, Da-hsiang Donald
88
Asai, Manabu
87
Prokopczuk, Marcel
86
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83
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83
Bekaert, Geert
81
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79
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79
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78
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76
Karanasos, Menelaos
76
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75
Lux, Thomas
75
Chevallier, Julien
74
Conrad, Christian
73
Teräsvirta, Timo
73
Allen, David E.
72
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72
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70
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Applied financial economics
10
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4
Journal of international financial markets, institutions & money
4
The European journal of finance
4
The journal of futures markets
4
Applied financial economics letters
2
International review of financial analysis
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1
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ECONIS (ZBW)
81
EconStor
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Time-varying hedge ratios for non-ferrous metals prices
McMillan, David G.
- In:
Resources policy
30
(
2005
)
3
,
pp. 186-193
Persistent link: https://www.econbiz.de/10003228356
Saved in:
5
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:
6
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:
7
Forecasting stock return
volatility
: a comparison of GARCH, implied
volatility
, and realized
volatility
models
Kambouroudis, Dimos S.
;
McMillan, David G.
;
Tsakou, Katerina
- In:
The journal of futures markets
36
(
2016
)
12
,
pp. 1127-1163
Persistent link: https://www.econbiz.de/10011665507
Saved in:
8
Asymmetric
volatility
dynamics in high frequency FTSE-100 stock index futures
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics
13
(
2003
)
8
,
pp. 599-607
Persistent link: https://www.econbiz.de/10001770840
Saved in:
9
Temporal aggregation,
volatility
components and volume in high frequency UK bond futures
McMillan, David G.
;
Speight, Alan E. H.
- In:
The European journal of finance
8
(
2002
)
1
,
pp. 70-92
Persistent link: https://www.econbiz.de/10001636185
Saved in:
10
Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures
volatility
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics
14
(
2004
)
4
,
pp. 253-263
Persistent link: https://www.econbiz.de/10001939280
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