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Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 16 (2006) 13, pp. 959-972
Persistent link: https://www.econbiz.de/10003377850
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The value premium and economic activity : long-run evidence from the United States
Black, Angela J.; Mao, Bin; McMillan, David G. - In: The journal of asset management 10 (2009/10) 5, pp. 305-317
Persistent link: https://www.econbiz.de/10003916941
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Persistence and time-varying coefficients
McMillan, David G.; Wohar, Mark E. - In: Economics letters 108 (2010) 1, pp. 85-88
Persistent link: https://www.econbiz.de/10008662219
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
Persistent link: https://www.econbiz.de/10008668600
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Return and volatility spillovers in three euro exchange rates
McMillan, David G.; Speight, Alan E. H. - In: Journal of economics & business 62 (2010) 2, pp. 79-93
Persistent link: https://www.econbiz.de/10003949050
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Realized hedge ratio properties, performance and implications for risk management : evidence from the Spanish IBEX 35 spot and futures markets
McMillan, David G.; Garcia, Raquel Quiroga - In: Journal of risk 12 (2009/10) 4, pp. 33-48
Persistent link: https://www.econbiz.de/10003995403
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Volatility forecasts : the role of asymmetric and long-memory dynamics and regional evidence
Evans, Twm; McMillan, David G. - In: Applied financial economics 17 (2007) 16/18, pp. 1421-1430
Persistent link: https://www.econbiz.de/10003605849
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Efficiency of the IBEX spot-futures basis : the impact of the mini-futures
McMillan, David G.; Quiroga Garcia, Raquel - In: The journal of futures markets 28 (2008) 4, pp. 398-415
Persistent link: https://www.econbiz.de/10003699415
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Non-linear long horizon returns predictability : evidence from six South-East Asian markets
McMillan, David G.; Speight, Alan E. H. - In: Asia-Pacific financial markets 13 (2006) 2, pp. 95-111
Persistent link: https://www.econbiz.de/10003496767
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Market trader heterogeneity and high frequency volatility dynamics : further evidence from intra-day FTSE-100 futures data
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics letters 2 (2006) 2, pp. 99-103
Persistent link: https://www.econbiz.de/10003302494