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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

Non-linear time series models in economics : a selective survey

Speight, Alan E. H. - In: Future of economic science, (pp. 615-632). 2009

Persistent link: https://www.econbiz.de/10009613553

Threshold nonlinearities in unemployment rates : further evidence for the UK and G3 economies

Peel, David; Speight, Alan E. H. - In: Applied economics 32 (2000) 6, pp. 705-715

Persistent link: https://www.econbiz.de/10001521059

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

Non-linear predictability of UK stock market returns

McMillan, David G. - In: Oxford bulletin of economics and statistics 65 (2003) 5, pp. 557-573

Persistent link: https://www.econbiz.de/10001839532

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

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

Persistent link: https://www.econbiz.de/10008668600

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: Oxford bulletin of economics and statistics 76 (2014) 4, pp. 510-535

Persistent link: https://www.econbiz.de/10010474888