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Asymmetric risk premium in value and growth stocks
Black, Angela J.; Mcmillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246
Persistent link: https://www.econbiz.de/10007272588
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Are international value premiums driven by the same set of fundamentals?
Black, Angela J.; Fraser, Patricia; Mcmillan, David G. - In: International review of economics & finance : IREF 16 (2007) 1, pp. 113-129
Persistent link: https://www.econbiz.de/10007617327
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Long run trends and volatility spillovers in daily exchange rates
Black, Angela J.; Mcmillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895
Persistent link: https://www.econbiz.de/10007647914
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Non-linear Predictability of Value and Growth Stocks and Economic Activity
Black, Angela J.; Mcmillan, David G. - In: Journal of business finance & accounting : JBFA 31 (2004) 3, pp. 439-474
Persistent link: https://www.econbiz.de/10006963797
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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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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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Daily volatility forecasts: reassessing the performance of GARCH models
Mcmillan, David G.; Speight, Alan E.H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460
Persistent link: https://www.econbiz.de/10006880037
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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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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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Nonlinear predictability of short-run deviations in UK stock market returns
Mcmillan, David G. - In: Economics letters 84 (2004) 2, pp. 149-154
Persistent link: https://www.econbiz.de/10006756363