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Does information help intra-day volatility forecasts?
McMillan, David G.; Quiroga García, Raquel - In: Journal of forecasting 32 (2013) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10009758739
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Dynamic linkages in credit risk : modeling the time-varying correlation between the money and derivatives markets over the crisis period
Wu, Weiou; McMillan, David G. - In: Journal of risk 16 (2013) 2, pp. 51-59
Persistent link: https://www.econbiz.de/10010237929
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What drives the premium labour model, beta instability risk or human capital? : evidence for the UK
Soufian, Mona; McMillan, David G.; Horsburgh, Stuart - In: Managerial finance 39 (2013) 12, pp. 1188-1200
Persistent link: https://www.econbiz.de/10010197615
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Value premium and default risk
Elgammal, Mohammed Mohammed; McMillan, David G. - In: The journal of asset management 15 (2014) 1, pp. 48-61
Persistent link: https://www.econbiz.de/10010370070
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Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10011555125
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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.; … - In: Oxford bulletin of economics and statistics 76 (2014) 4, pp. 510-535
Persistent link: https://www.econbiz.de/10010474888
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Realised hedge ratio properties, performance and implications for risk management: evidence from the spanish ibex 35 spot and futures markets
McMillan, David G.; García, Raquel Quiroga - 2010
Persistent link: https://www.econbiz.de/10010418466
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The credit crunch and insider trading
Tavakoli, Manouchehr; McMillan, David G.; McKnight, … - In: Financial markets, institutions & instruments 23 (2014) 2, pp. 71-100
Persistent link: https://www.econbiz.de/10010411219
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Correlations and spillovers among three euro rates : evidence using realised variance
McMillan, David G.; Ruiz, Isabel; Speight, Alan E. H. - In: The European journal of finance 16 (2010) 8, pp. 753-767
Persistent link: https://www.econbiz.de/10008759337
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Persistent mispricing in a recently opened emerging index futures market : arbitrageurs invited
McMillan, David G.; Ülkü, Numan - In: The journal of futures markets 29 (2009) 3, pp. 218-243
Persistent link: https://www.econbiz.de/10003831097