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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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The existence and source of stock return predictability : evidence from dividend, output and consumption ratios
McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208
Persistent link: https://www.econbiz.de/10011413295
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Insider employee stock option trading and stock prices
McMillan, David G.; Tavakoli, Manouchehr; McKnight, … - In: The European journal of finance 20 (2014) 1/3, pp. 59-79
Persistent link: https://www.econbiz.de/10010462205
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The dependence structure in credit risk between money and derivatives markets : a time-varying conditional copula approch
Wu, Weiou; McMillan, David G. - In: Managerial finance 40 (2014) 8, pp. 758-769
Persistent link: https://www.econbiz.de/10010393653
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Daily volatility forecasts : reassessing the performance of GARCH models
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460
Persistent link: https://www.econbiz.de/10002233160
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Non-linear error correction : evidence for UK interest rates
McMillan, David G. - In: The Manchester School 72 (2004) 5, pp. 626-640
Persistent link: https://www.econbiz.de/10002156757
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Do firm sizes and profit rates converge? : Evidence on Gibrat's Law and the persistence of profits in the long run
Goddard, John A.; McMillan, David G.; Wilson, John O. S. - In: Applied economics 38 (2006) 3, pp. 267-278
Persistent link: https://www.econbiz.de/10003294001
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Time-varying hedge ratios for non-ferrous metals prices
McMillan, David G. - In: Resources policy 30 (2005) 3, pp. 186-193
Persistent link: https://www.econbiz.de/10003228356
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Long run trends and volatility spillovers in daily exchange rates
Black, Angela J.; McMillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895-907
Persistent link: https://www.econbiz.de/10002150770
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Intra-day volatility components in FTSE-100 stock index futures
Speight, Alan E. H.; McMillan, David G.; Ap Gwilym, Owain - In: The journal of futures markets 20 (2000) 5, pp. 425-444
Persistent link: https://www.econbiz.de/10001500111