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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

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

The behaviour of the equity yield and its relation with the bond yield : the role of inflation

McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Persistent link: https://www.econbiz.de/10011963922

How useful is intraday data for evaluating daily value-at-risk? : evidence from three Euro rates

McMillan, David G.; Speight, Alan E. H.; Evans, Kevin P. - In: Journal of multinational financial management 18 (2008) 5, pp. 488-503

Persistent link: https://www.econbiz.de/10003789977

Volatility dynamics and heterogeneous markets

McMillan, David G.; Speight, Alan E. H. - In: International journal of finance & economics : IJFE 11 (2006) 2, pp. 115-121

Persistent link: https://www.econbiz.de/10003322575

Asymmetric risk premium in value and growth stocks

Black, Angela J.; McMillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246

Persistent link: https://www.econbiz.de/10003348583

Financial co-movement and correlation : evidence from 33 international stock market indices

Evans, Twm; McMillan, David G. - In: International journal of banking, accounting and finance 1 (2008) 3, pp. 215-241

Persistent link: https://www.econbiz.de/10003838060

Volatility persistence, long memory and time-varying unconditional mean : evidence from 10 equity indices

McMillan, David G.; Ruiz, Isabel - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 578-595

Persistent link: https://www.econbiz.de/10003852502

Asymmetric return patterns : evidence from 33 international stock market indices

Evans, Twm; McMillan, David G. - In: Applied economics letters 16 (2009) 7/9, pp. 775-779

Persistent link: https://www.econbiz.de/10003854963

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020