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David McMillan
David McMillan
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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
2062000
Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models
DG McMillan
International Review of Economics & Finance 10 (4), 353-368, 2001
1502001
Non‐linear predictability of UK stock market returns
DG McMillan
Oxford Bulletin of Economics and Statistics 65 (5), 557-573, 2003
1482003
Return and volatility spillovers in three euro exchange rates
DG McMillan, AEH Speight
Journal of Economics and Business 62 (2), 79-93, 2010
1352010
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
1082016
Pecking order and market timing theory in emerging markets: The case of Egyptian firms
A Allini, S Rakha, DG McMillan, A Caldarelli
Research in international business and finance 44, 297-308, 2018
1062018
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
982009
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
982009
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
902006
Daily volatility forecasts: Reassessing the performance of GARCH models
DG McMillan, AEH Speight
Journal of Forecasting 23 (6), 449-460, 2004
802004
Long run trends and volatility spillovers in daily exchange rates
AJ Black*, DG McMillan
Applied Financial Economics 14 (12), 895-907, 2004
802004
Non-linear forecasting of stock returns: Does volume help?
DG McMillan
International Journal of forecasting 23 (1), 115-126, 2007
792007
Dynamic capital structure adjustment: US MNCs & DCs
DG McMillan, O Camara
Journal of Multinational Financial Management 22 (5), 278-301, 2012
782012
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
721999
Non-linear dynamics in international stock market returns
DG McMillan
Review of financial economics 14 (1), 81-91, 2005
712005
Insider trading and stock prices
M Tavakoli, D McMillan, PJ McKnight
International Review of Economics & Finance 22 (1), 254-266, 2012
682012
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
652007
Are RiskMetrics forecasts good enough? Evidence from 31 stock markets
DG McMillan, D Kambouroudis
International Review of Financial Analysis 18 (3), 117-124, 2009
642009
Dividend smoothing vs dividend signalling: evidence from UK firms
J Goddard, DG McMillan, JOS Wilson
Managerial Finance 32 (6), 493-504, 2006
642006
Does VIX or volume improve GARCH volatility forecasts?
DS Kambouroudis, DG McMillan
Applied Economics 48 (13), 1210-1228, 2016
602016
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