David McMillan
David McMillan
Verified email at stir.ac.uk - Homepage
Title
Cited by
Cited by
Year
Forecasting UK stock market volatility
D McMillan, A Speight, O Apgwilym
Applied Financial Economics 10 (4), 435-448, 2000
1672000
Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models
DG McMillan
International Review of Economics & Finance 10 (4), 353-368, 2001
1322001
Non‐linear predictability of UK stock market returns
DG McMillan
Oxford Bulletin of Economics and Statistics 65 (5), 557-573, 2003
1272003
Return and volatility spillovers in three euro exchange rates
DG McMillan, AEH Speight
Journal of Economics and Business 62 (2), 79-93, 2010
1022010
Technical analysis in the foreign exchange market
CJ Neely, PA Weller
Federal Reserve Bank of St. Louis Working Paper No, 2011
802011
Non-linear predictability in stock and bond returns: When and where is it exploitable?
M Guidolin, S Hyde, D McMillan, S Ono
International Journal of Forecasting 25 (2), 373-399, 2009
792009
Daily volatility forecasts: Reassessing the performance of GARCH models
DG McMillan, AEH Speight
Journal of Forecasting 23 (6), 449-460, 2004
742004
Research on'responsible investment': An influential literature analysis comprising a rating, characterisation, categorisation and investigation
AGF Hoepner, DG McMillan
Characterisation, Categorisation and Investigation (August 14, 2009), 2009
712009
Trade-off-theory vs. pecking order theory and the determinants of corporate leverage: Evidence from a panel data analysis upon French SMEs (2002–2010)
P Adair, M Adaskou
Cogent Economics & Finance 3 (1), 1006477, 2015
702015
Do firm sizes and profit rates converge? Evidence on Gibrat's Law and the persistence of profits in the long run
J Goddard, D McMillan, JOS Wilson
Applied economics 38 (3), 267-278, 2006
692006
Non-linear forecasting of stock returns: Does volume help?
DG McMillan
International Journal of forecasting 23 (1), 115-126, 2007
682007
Long run trends and volatility spillovers in daily exchange rates
AJ Black*, DG McMillan
Applied Financial Economics 14 (12), 895-907, 2004
672004
The intraday relationship between volume and volatility in LIFFE futures markets
OAP Gwilym, D McMillan, A Speight
Applied Financial Economics 9 (6), 593-604, 1999
631999
Non-linear dynamics in international stock market returns
DG McMillan
Review of financial economics 14 (1), 81-91, 2005
582005
Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model
DG McMillan
Journal of Banking & Finance 31 (3), 787-804, 2007
572007
Are RiskMetrics forecasts good enough? Evidence from 31 stock markets
DG McMillan, D Kambouroudis
International Review of Financial Analysis 18 (3), 117-124, 2009
552009
Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices
DG McMillan, I Ruiz
The Quarterly Review of Economics and Finance 49 (2), 578-595, 2009
542009
Forecasting stock return volatility: A comparison of GARCH, implied volatility, and realized volatility models
DS Kambouroudis, DG McMillan, K Tsakou
Journal of Futures Markets 36 (12), 1127-1163, 2016
492016
Insider trading and stock prices
M Tavakoli, D McMillan, PJ McKnight
International Review of Economics & Finance 22 (1), 254-266, 2012
492012
Non-ferrous metals price volatility: a component analysis
DG McMILLAN, AEH Speight
Resources Policy 27 (3), 199-207, 2001
492001
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