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1
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/10003304077
Saved in:
2
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
Persistent link: https://www.econbiz.de/10003789977
Saved in:
3
Volatility dynamics and heterogeneous markets
McMillan, David G.
;
Speight, Alan E. H.
- In:
International journal of finance & economics : IJFE
11
(
2006
)
2
,
pp. 115-121
Persistent link: https://www.econbiz.de/10003322575
Saved in:
4
Long-memory and heterogeneous in high frequency pacific-basin exchange rate volatility
McMillan, David G.
;
Speight, Alan E. H.
- In:
Asia-Pacific financial markets
12
(
2005
)
3
,
pp. 199-226
Persistent link: https://www.econbiz.de/10003407435
Saved in:
5
Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics
16
(
2006
)
13
,
pp. 959-972
Persistent link: https://www.econbiz.de/10003377850
Saved in:
6
Return and volatility spillovers in three euro exchange rates
McMillan, David G.
;
Speight, Alan E. H.
- In:
Journal of economics & business
62
(
2010
)
2
,
pp. 79-93
Persistent link: https://www.econbiz.de/10003949050
Saved in:
7
Non-linear long horizon returns predictability : evidence from six South-East Asian markets
McMillan, David G.
;
Speight, Alan E. H.
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 95-111
Persistent link: https://www.econbiz.de/10003496767
Saved in:
8
Market trader heterogeneity and high frequency volatility dynamics : further evidence from intra-day FTSE-100 futures data
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics letters
2
(
2006
)
2
,
pp. 99-103
Persistent link: https://www.econbiz.de/10003302494
Saved in:
9
Bubbles in UK house prices : evidence from ESTR models
McMillan, David G.
;
Speight, Alan E. H.
- In:
International review of applied economics
24
(
2010
)
4
,
pp. 437-452
Persistent link: https://www.econbiz.de/10008653280
Saved in:
10
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/10009576375
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