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Measuring volatility persistence and long memory in the presence of structural breaks: Evidence from African stock markets
McMillan, David; Thupayagale, Pako - In: Managerial finance 37 (2011) 3, pp. 219-242
Persistent link: https://www.econbiz.de/10008850792
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Volatility persistence, long memory and structural breaks in an emerging equity market : the case of South Africa
McMillan, David G.; Thupayagale, Pako - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 297-310
Persistent link: https://www.econbiz.de/10009904204
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LONG MEMORY IN THE VOLATILITY OF AN EMERGING FIXED‐INCOME MARKET: EVIDENCE FROM SOUTH AFRICA
THUPAYAGALE, PAKO - In: The South African journal of economics 79 (2011) 3, pp. 290-301
Persistent link: https://www.econbiz.de/10009289196
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Intra-day volatility forecasts
Mcmillan, David; Garcia, Raquel Quiroga - In: Applied financial economics 19 (2009) 7-9, pp. 611-624
Persistent link: https://www.econbiz.de/10008256342
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Correlations and spillovers among three euro rates: evidence using realised variance
McMillan, David; Ruiz, Isabel; Speight, Alan - In: The European journal of finance 16 (2010) 8, pp. 753-768
Persistent link: https://www.econbiz.de/10008714770
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An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear
McMillan, David; Wohar, Mark - In: Applied financial economics 20 (2010) 22, pp. 1697-1708
Persistent link: https://www.econbiz.de/10008732533
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Non-linear predictability in stock and bond returns: When and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; Mcmillan, David; Ono, … - In: International journal of forecasting 25 (2009) 2, pp. 373-399
Persistent link: https://www.econbiz.de/10008231945
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Intra-day volatility forecasts
Mcmillan, David; Garcia, Raquel Quiroga - In: Applied financial economics 19 (2009) 8, pp. 611-624
Persistent link: https://www.econbiz.de/10008235673
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Forecasting UK stock market volatility
Mcmillan, David; Speight, Alan; Apgwilym, Owain - In: Applied financial economics 10 (2000) 4, pp. 435-448
Persistent link: https://www.econbiz.de/10007678578
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Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence
Evans, Twm; Mcmillan, David - In: Applied financial economics 17 (2007) 16-18, pp. 1421-1430
Persistent link: https://www.econbiz.de/10007894354