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Are international value premiums driven by the same set of fundamentals?

Black, Angela J.; Fraser, Patricia; McMillan, David G. - In: International review of economics & finance : IREF 16 (2007) 1, pp. 113-129

Persistent link: https://www.econbiz.de/10003461536

Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

Nonlinear error correction in spot and forward exchange rates

McMillan, David G.; Black, Angela J. - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 4, pp. 738-750

Persistent link: https://www.econbiz.de/10001634496

Cointegration between stock prices, dividends, output and consumption

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of Accounting and Finance 14 (2015) 1, pp. 81-103

Purpose – This paper aims to empirically test for multiple cointegrating vectors in a holistic manner. Theoretical developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify key theoretical cointegration vectors....

Persistent link: https://www.econbiz.de/10014989914

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

Nonlinear predictability of short-run deviations in UK stock market return

McMillan, David G. - In: Economics letters 84 (2004) 2, pp. 149-154

Persistent link: https://www.econbiz.de/10002116187

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

Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

Time variation in the cointegrating relationship between stock prices and economic activity

McMillan, David G. - In: International review of applied economics 19 (2005) 3, pp. 359-368

Persistent link: https://www.econbiz.de/10002894355

Non-linear interest rate dynamics and forecasting : evidence for US and Australian interest rates

McMillan, David G. - In: International journal of finance & economics : IJFE 14 (2009) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10003824095