Narrow search
Showing 1 - 10 of 87
Cover Image
Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model
McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883
Persistent link: https://www.econbiz.de/10003873643
Cover Image
Volatility persistence, long memory and time-varying unconditional mean : evidence from 10 equity indices
McMillan, David G.; Ruiz, Isabel - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 578-595
Persistent link: https://www.econbiz.de/10003852502
Cover Image
Financial co-movement and correlation : evidence from 33 international stock market indices
Evans, Twm; McMillan, David G. - In: International journal of banking, accounting and finance 1 (2008) 3, pp. 215-241
Persistent link: https://www.econbiz.de/10003838060
Cover Image
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
Cover Image
Dynamic linkages in credit risk : modeling the time-varying correlation between the money and derivatives markets over the crisis period
Wu, Weiou; McMillan, David G. - In: Journal of risk 16 (2013) 2, pp. 51-59
Persistent link: https://www.econbiz.de/10010237929
Cover Image
Value premium and default risk
Elgammal, Mohammed Mohammed; McMillan, David G. - In: The journal of asset management 15 (2014) 1, pp. 48-61
Persistent link: https://www.econbiz.de/10010370070
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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