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Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality

McMillan, David G.; Ruiz, Isabel - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 64-74

Persistent link: https://www.econbiz.de/10003984988

Bubbles in UK house prices : evidence from ESTR models

McMillan, David G.; Speight, Alan E. H. - In: International review of applied economics 24 (2010) 4, pp. 437-452

Persistent link: https://www.econbiz.de/10008653280

Are share prices still too high?

McMillan, David G. - In: Research in international business and finance 23 (2009) 3, pp. 223-232

Persistent link: https://www.econbiz.de/10003876717

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

Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?

McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343

Persistent link: https://www.econbiz.de/10009576375

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