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Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...

Persistent link: https://www.econbiz.de/10003732461

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

Persistent link: https://www.econbiz.de/10003741408

Dividends, prices and the present value model : firm-level evidence

Goddard, John A.; McMillan, David G.; Wilson, John O. S. - In: The European journal of finance 14 (2008) 3/4, pp. 195-210

Persistent link: https://www.econbiz.de/10003744772

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

Efficiency of the South African equity market

McMillan, David G.; Thupayagale, Pako - In: Applied financial economics letters 4 (2008) 4/6, pp. 327-330

Persistent link: https://www.econbiz.de/10003807719

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

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