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Non-linear long horizon returns predictability : evidence from six South-East Asian markets
McMillan, David G.; Speight, Alan E. H. - In: Asia-Pacific financial markets 13 (2006) 2, pp. 95-111
Persistent link: https://www.econbiz.de/10003496767
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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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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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Forecasting UK stock market volatility
McMillan, David G.; Speight, Alan E. H.; Ap Gwilym, Owain - In: Applied financial economics 10 (2000) 4, pp. 435-448
Persistent link: https://www.econbiz.de/10001526630
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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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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
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Non-linear forecasting of stock returns : does volume help?
McMillan, David G. - In: International journal of forecasting 23 (2007) 1, pp. 115-126
Persistent link: https://www.econbiz.de/10003438396
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Level-shifts and non-linearity in US financial ratios : implications for returns predictability and the present value model
McMillan, David G. - In: Review of accounting & finance 9 (2010) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10003991054
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Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model
McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883
Persistent link: https://www.econbiz.de/10003873643
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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