Similar Search Results

Time-varying correlations and interrelations : firm-level-based sector evidence

Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10011704219

A truly market-value weighted commodity index

Ludwig, Michael; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 222-242

Persistent link: https://www.econbiz.de/10011704229

Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets

Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444

Persistent link: https://www.econbiz.de/10011555125

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

The information content of the stock and bond return correlation

McMillan, David G. - In: Quantitative finance and economics 2 (2018) 3, pp. 757-775

Persistent link: https://www.econbiz.de/10012156853

Equity/bond yield correlation and the FED model : evidence of switching behaviour from the G7 markets

Humpe, Andreas; McMillan, David G. - In: The journal of asset management 19 (2018) 6, pp. 413-428

Persistent link: https://www.econbiz.de/10011958115

Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality

McMillan, David G.; Ruiz, Isabel - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 64-74

Persistent link: https://www.econbiz.de/10003984988

Inter- and intra-regional stock market relations for the GCC bloc

Ziadat, Salem Adel; Herbst, Patrick; McMillan, David G. - In: Research in international business and finance 54 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012581439

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

Cross-asset relations, correlations and economic implications

McMillan, David G. - In: Global finance journal 41 (2019), pp. 60-78

Persistent link: https://www.econbiz.de/10012257060