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Forecasting stock returns : do commodity prices help?

Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639

Persistent link: https://www.econbiz.de/10011282841

Forecasting Stock Returns : Do Commodity Prices Help?

Black, Angela J. - 2014

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

Persistent link: https://www.econbiz.de/10013050821

The confusing time-series behaviour of real exchange rates : are asymmetries important?

McMillan, David G. - In: Journal of international financial markets, … 19 (2009) 4, pp. 692-711

Persistent link: https://www.econbiz.de/10003879522

Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model

McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804

Persistent link: https://www.econbiz.de/10003429782

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

Forward interest rate premium and asymmetric adjustment : evidence from 16 countries

McMillan, David G. - In: Journal of international financial markets, … 19 (2009) 2, pp. 258-273

Persistent link: https://www.econbiz.de/10003799788

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

Threshold adjustment in spot-futures metals prices

McMillan, David G. - In: Applied financial economics letters 1 (2005) 1, pp. 5-8

Persistent link: https://www.econbiz.de/10002550001

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

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