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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
Persistent link: https://www.econbiz.de/10003789977
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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. 115-121
Persistent link: https://www.econbiz.de/10003322575
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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
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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
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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/10009576375
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Correlations and spillovers among three euro rates : evidence using realised variance
McMillan, David G.; Ruiz, Isabel; Speight, Alan E. H. - In: The European journal of finance 16 (2010) 8, pp. 753-767
Persistent link: https://www.econbiz.de/10008759337
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Recent developments in the modelling of financial market volatility
Speight, Alan E. H.; Gower, Craig P. - In: Future of economic science, (pp. 497-512). 2009
Persistent link: https://www.econbiz.de/10009613558
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Value-at-risk in emerging equity markets : comparative evidence for symmetric, asymmetric, and long-memory GARCH models
McMillan, David G.; Speight, Alan E. H. - In: International review of finance 7 (2007) 1/2, pp. 1-19
Persistent link: https://www.econbiz.de/10003626702
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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/10002233160
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Temporal aggregation, volatility components and volume in high frequency UK bond futures
McMillan, David G.; Speight, Alan E. H. - In: The European journal of finance 8 (2002) 1, pp. 70-92
Persistent link: https://www.econbiz.de/10001636185