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Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

Is non-linearity a permanent feature? : Evidence from recursive and rolling estimation

McMillan, David G. - In: Applied financial economics letters 1 (2005) 4, pp. 229-232

Persistent link: https://www.econbiz.de/10003016827

Non-linear dynamics in international stock market returns

McMillan, David G. - In: Review of financial economics : RFE 14 (2005) 1, pp. 81-91

Persistent link: https://www.econbiz.de/10002524259

Threshold adjustment in spot-futures metals prices

McMillan, David G. - In: Applied financial economics letters 1 (2005) 1, pp. 5-8

Persistent link: https://www.econbiz.de/10002550001

Time variation in the cointegrating relationship between stock prices and economic activity

McMillan, David G. - In: International review of applied economics 19 (2005) 3, pp. 359-368

Persistent link: https://www.econbiz.de/10002894355

Non-linear predictability of UK stock market returns

McMillan, David G. - In: Oxford bulletin of economics and statistics 65 (2003) 5, pp. 557-573

Persistent link: https://www.econbiz.de/10001839532

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

When and why do stock and bond markets predict US economic growth?

McMillan, David G. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 331-343

Persistent link: https://www.econbiz.de/10012655482

Forecasting sector stock market returns

McMillan, David G. - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 291-300

Persistent link: https://www.econbiz.de/10012581629

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Persistent link: https://www.econbiz.de/10012813273