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How useful is intraday data for evaluating daily Value-at-Risk?: Evidence from three Euro rates

McMillan, David G.; Speight, Alan E.H.; Evans, Kevin P. - In: Journal of Multinational Financial Management 18 (2008) 5, pp. 488-503

Previous research concerned with the investigation of intraday data has typically sought to model that data using techniques to control for intraday periodicity, has applied models of short-horizon and long-horizon dependencies, or has utilised intraday data in the construction of realised...

Persistent link: https://www.econbiz.de/10005300161

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

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

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

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

Intra-Day Volatility Components in FTSE-100 Stock Index Futures

Speight, Alan E.H.; McMillan, David G.; Gwilym, Owain Ap - In: The journal of futures markets 20 (2000) 5, pp. 425-444

Persistent link: https://www.econbiz.de/10006838402

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

The "stylised facts" of the UK business cycle: A reappraisal

McMillan, David G.; Speight, Alan E.H. - In: Journal of economic studies 25 (1998) 4-5, pp. 370-391

Persistent link: https://www.econbiz.de/10007692688

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

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