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Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets

Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473523

Nonlinear predictability of stock market returns : evidence from nonparametric and threshold models

McMillan, David G. - In: International review of economics & finance : IREF 10 (2001) 4, pp. 353-368

Persistent link: https://www.econbiz.de/10001651410

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

Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement

McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101

Persistent link: https://www.econbiz.de/10010529621

Consumption and stock prices : evidence from a small international panel

McMillan, David G. - In: Journal of macroeconomics 36 (2013), pp. 76-88

Persistent link: https://www.econbiz.de/10009751139

Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR

McMillan, David G. - In: International review of applied economics 26 (2012) 1, pp. 125-143

Persistent link: https://www.econbiz.de/10009419538

Forecasting stock returns : does switching between models help?

McMillan, David G. - In: Recent advances in estimating nonlinear models : with …, (pp. 229-248). 2014

Persistent link: https://www.econbiz.de/10011406772

When and why do stock and bond markets predict US economic growth?

McMillan, David G. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 331-343

Persistent link: https://www.econbiz.de/10012655482

Forecasting sector stock market returns

McMillan, David G. - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 291-300

Persistent link: https://www.econbiz.de/10012581629

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Persistent link: https://www.econbiz.de/10012813273