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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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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
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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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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
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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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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. 488-504
Persistent link: https://www.econbiz.de/10008899745
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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