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Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

Mcmillan, David G.; Speight, Alan E.H. - In: Applied financial economics 14 (2004) 4, pp. 253-264

Persistent link: https://www.econbiz.de/10007650954

Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

Mcmillan, David G.; Speight, Alan E.H. - In: Applied financial economics 13 (2003) 8, pp. 599-608

Persistent link: https://www.econbiz.de/10007655548

Non-ferrous metals price volatility: a component analysis

Mcmillan, David G.; Speight, Alan E.H. - In: Resources policy 27 (2001) 3, pp. 199-208

Persistent link: https://www.econbiz.de/10007666128

Nonlinearities in the black market zloty-dollar exchange rate: some further evidence

Mcmillan, David G.; Speight, Alan E.H. - In: Applied financial economics 11 (2001) 2, pp. 209-220

Persistent link: https://www.econbiz.de/10007672033

How useful is intraday data for evaluating daily Value-at-Risk?

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

Persistent link: https://www.econbiz.de/10008096950

How useful is intraday data for evaluating daily Value-at-Risk?

McMillan, David G.; Speight, Alan E.H.; Evans, Kevin P. - In: Journal of multinational financial management 18 (2008) 5, pp. 488-504

Persistent link: https://www.econbiz.de/10008899745

The "stylised facts" of the UK business cycle: A reappraisal

McMillan, David G.; Speight, Alan E.H. - In: Journal of economic studies 25 (1998) 4-5, pp. 370-391

Persistent link: https://www.econbiz.de/10007692688

Volatility dynamics and heterogeneous markets

Mcmillan, David G.; Speight, Alan E.H. - In: International journal of finance & economics : IJFE 11 (2006) 2, pp. 115-122

Persistent link: https://www.econbiz.de/10007422093

Testing for Non-Linear Dependence in Inter-War Exchange Rates

Peel, David A.; Speight, Alan E.H. - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 130 (1994) 2, pp. 391-417

Persistent link: https://www.econbiz.de/10006597725

Dynamic news effects in high frequency Euro exchange rates

Evans, Kevin P.; Speight, Alan E.H. - In: Journal of International Financial Markets, … 20 (2010) 3, pp. 238-258

This paper investigates the dynamic, short-run response of Euro exchange rate returns to the information surprise of global macroeconomic announcements. In addition, it advocates a new approach to modelling intraday exchange rate volatility to allow accurate characterisation of reactions. US...

Persistent link: https://www.econbiz.de/10008494976