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Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data
Mcmillan, David G.; Speight, Alan E.H. - In: The journal of futures markets 26 (2006) 4, pp. 343-368
Persistent link: https://www.econbiz.de/10006808950
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How useful is intraday data for evaluating daily Value-at-Risk?
Mcmillan, David G.; Speight, Alan E.H.; Evans, Kevin P. - In: Journal of multinational financial management 18 (2008) 5, pp. 488
Persistent link: https://www.econbiz.de/10008096950
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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. 599-608
Persistent link: https://www.econbiz.de/10007655548
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Non-ferrous metals price volatility: a component analysis
Mcmillan, David G.; Speight, Alan E.H. - In: Resources policy 27 (2001) 3, pp. 199-208
Persistent link: https://www.econbiz.de/10007666128
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Nonlinearities in the black market zloty-dollar exchange rate: some further evidence
Mcmillan, David G.; Speight, Alan E.H. - In: Applied financial economics 11 (2001) 2, pp. 209-220
Persistent link: https://www.econbiz.de/10007672033
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Volatility spillovers in East European black-market exchange rates
Speight, Alan E.H.; Mcmillan, David G. - In: Journal of international money and finance 20 (2001) 3, pp. 367-378
Persistent link: https://www.econbiz.de/10006902366
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Volatility dynamics and heterogeneous markets
Mcmillan, David G.; Speight, Alan E.H. - In: International journal of finance & economics : IJFE 11 (2006) 2, pp. 115-122
Persistent link: https://www.econbiz.de/10007422093
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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. 253-264
Persistent link: https://www.econbiz.de/10007650954
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Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
Mcmillan, David G.; Speight, Alan E. H. - In: Journal of Forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10011006255
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Non-Linear Error Correction: Evidence for UK Interest Rates
Mcmillan, David G. - In: The Manchester School 72 (2004) 5, pp. 626-640
Persistent link: https://www.econbiz.de/10007805727