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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

Volatility persistence, long memory and structural breaks in an emerging equity market : the case of South Africa

McMillan, David G.; Thupayagale, Pako - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 297-310

Persistent link: https://www.econbiz.de/10009007476

Evaluating stock index return value-at-risk estimates in South Africa : comparative evidence for symmetric, asymmetric and long memory GARCH models

McMillan, David G.; Thupayagale, Pako - In: Journal of emerging market finance 9 (2010) 3, pp. 325-345

Persistent link: https://www.econbiz.de/10009156610

Forecasting exchange rates : non-linear adjustment and time-varying equilibrium

Grossmann, Axel; McMillan, David G. - In: Journal of international financial markets, … 20 (2010) 4, pp. 436-450

Persistent link: https://www.econbiz.de/10009260246

Profit persistence revisited : the case of the UK

McMillan, David G.; Wohar, Mark E. - In: The Manchester School 79 (2011) 3, pp. 510-527

Persistent link: https://www.econbiz.de/10009266797

Stock returns and volatility dynamics in China : does the control of state-owned enterprises (SOEs) matter?

McMillan, David G.; Evans, Pornsawan - In: China finance review international 5 (2015) 2, pp. 103-131

Persistent link: https://www.econbiz.de/10011391707

Modelling time-variation in the stock return-dividend yield predictive equation

McMillan, David G. - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 273-302

Persistent link: https://www.econbiz.de/10010516099

Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

Does VIX or volume improve GARCH volatility forecasts?

Kambouroudis, Dimos S.; McMillan, David G. - In: Applied economics 48 (2016) 13/15, pp. 1210-1228

Persistent link: https://www.econbiz.de/10011433080

Interaction among stock prices and monetary variables in Pakistan

Abbas, Ghulam; McMillan, David G. - In: International journal of monetary economics and finance 7 (2014) 1, pp. 13-27

Persistent link: https://www.econbiz.de/10010531297