Outputs – Professor David McMillan | University of Stirling

Article

Left-Tail Risk and UK Stock Return Predictability: Underreaction, Overreaction, and Arbitrage Difficulties

Khasawneh M, McMillan D & Kambouroudis D (2024) Left-Tail Risk and UK Stock Return Predictability: Underreaction, Overreaction, and Arbitrage Difficulties. International Review of Financial Analysis, 95 (A), Art. No.: 103333. https://doi.org/10.1016/j.irfa.2024.103333

Article

Oil price shocks and stock-bond correlation

Ziadat SA, Al Rababa'a ARA, Rehman M & McMillan D (2023) Oil price shocks and stock-bond correlation. North American Journal of Economics and Finance, 68, Art. No.: 101989. https://doi.org/10.1016/j.najef.2023.101989

Article

Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?

McMillan D (2023) Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?. International Journal of Finance and Economics.

Article

Do Financial Markets Predict Macroeconomic Performance? Evidence from Risk-Based Measures

McMillan D (2023) Do Financial Markets Predict Macroeconomic Performance? Evidence from Risk-Based Measures. Manchester School.

Article

Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets

Korkusuz B, Kambouroudis D & McMillan DG (2023) Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. Finance Research Letters. https://doi.org/10.1016/j.frl.2023.103992

Article

Do Artificial Neural Networks Provide Improved Volatility Forecasts: Evidence from Asian Markets

McMillan D, Kambouroudis D & Sahiner M (2023) Do Artificial Neural Networks Provide Improved Volatility Forecasts: Evidence from Asian Markets. Journal of Economics and Finance.

Article

Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle

McMillan D, Kambouroudis D & Khasawneh M (2022) Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle. European Journal of Finance. https://doi.org/10.1080/1351847X.2022.2144401

Article

Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management

Rababa’a ARA, Alomari M, Rehman MU, McMillan D & Hendawi R (2022) Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management. Research in International Business and Finance, 61, Art. No.: 101664. https://doi.org/10.1016/j.ribaf.2022.101664

Article

Lottery Stocks in the UK: Evidence, Characteristics and Cause

McMillan D, Kambouroudis D & Khasawneh M (2022) Lottery Stocks in the UK: Evidence, Characteristics and Cause. International Journal of Banking, Accounting and Finance.

Article

Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets

Korkusuz B, McMillan D & Kambouroudis D (2022) Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets. Empirical Economics. https://doi.org/10.1007/s00181-022-02290-w

Newspaper / Magazine

Inflation: there's a vital way to reduce it that everyone overlooks - raise productivity

McMillan D (2022) Inflation: there's a vital way to reduce it that everyone overlooks - raise productivity. The Conversation. 27.05.2022.

Article

Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets

Ziadat SA & McMillan D (2022) Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets. Studies in Economics and Finance. https://doi.org/10.1108/SEF-12-2021-0529

Article

Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations

Ziadat SA, McMillan D & Herbst P (2022) Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. Resources Policy, 75, Art. No.: 102461. https://doi.org/10.1016/j.resourpol.2021.102461

Article

The Time-Varying Relation between Stock Returns and Monetary Variables

McMillan DG (2022) The Time-Varying Relation between Stock Returns and Monetary Variables. Journal of Risk and Financial Management, 15 (1), Art. No.: 9. https://doi.org/10.3390/jrfm15010009

Article

The Predictive Ability Of Stock Market Factors

Elgammal M, Ahmed F & McMillan D (2022) The Predictive Ability Of Stock Market Factors. Studies in Economics and Finance, 39 (1), pp. 111-124. https://doi.org/10.1108/SEF-01-2021-0010

Article

Multiscale Stock-Bond Correlation: Implications for Risk Management

Alrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435

Article

Forecasting U.S. Stock Returns

McMillan D (2021) Forecasting U.S. Stock Returns. European Journal of Finance, 27 (1-2), pp. 86-109. https://doi.org/10.1080/1351847X.2020.1719175

Article

Significance, relevance and explainability in the machine learning age: an econometrics and financial data science perspective

Hoepner AGF, McMillan D, Vivian A & Wese Simen C (2021) Significance, relevance and explainability in the machine learning age: an econometrics and financial data science perspective. European Journal of Finance, 27 (1-2), pp. 1-7. https://doi.org/10.1080/1351847X.2020.1847725

Article

Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility

Kambouroudis D, McMillan D & Tsakou K (2021) Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, 41 (10), pp. 1618-1639. https://doi.org/10.1002/fut.22241

Article

Forecasting Realised Volatility: Does the LASSO approach outperform HAR?

Ding Y, Kambouroudis D & McMillan D (2021) Forecasting Realised Volatility: Does the LASSO approach outperform HAR?. Journal of International Financial Markets, Institutions and Money, 74, Art. No.: 101386. https://doi.org/10.1016/j.intfin.2021.101386

Article

Capital Structure and Political Connections: Evidence from GCC Banks and the Financial Crisis

McMillan D & Ahmed F (2021) Capital Structure and Political Connections: Evidence from GCC Banks and the Financial Crisis. International Journal of Emerging Markets. https://doi.org/10.1108/IJOEM-03-2020-0261

Article

Forecasting Sector Stock Market Returns

McMillan D (2021) Forecasting Sector Stock Market Returns. Journal of Asset Management, 22 (5), pp. 291-300. https://doi.org/10.1057/s41260-021-00220-6

Article

Predicting GDP Growth with Stock and Bond Markets: Do They Contain Different Information?

McMillan D (2021) Predicting GDP Growth with Stock and Bond Markets: Do They Contain Different Information?. International Journal of Finance and Economics, 26 (3), pp. 3651-3675. https://doi.org/10.1002/ijfe.1980

Article

When and Why Do Stock and Bond Markets Predict US Economic Growth?

McMillan D (2021) When and Why Do Stock and Bond Markets Predict US Economic Growth?. Quarterly Review of Economics and Finance, 80, pp. 331-343. https://doi.org/10.1016/j.qref.2021.03.004

Article

The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC

McMillan D, Ziadat S & Herbst P (2021) The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC. Energy Economics, 95, Art. No.: 105102. https://doi.org/10.1016/j.eneco.2021.105102

Article

The Covid-19 Stock Market Puzzle and Money Supply in the US

Humpe A & McMillan D (2020) The Covid-19 Stock Market Puzzle and Money Supply in the US. Economics Bulletin, 40 (4), pp. 3104-3110. http://www.accessecon.com/pubs/eb/default.aspx?topic=Abstract&PaperID=EB-20-00803

Article

Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries

Humpe A & McMillan DG (2020) Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries. Cogent Economics and Finance, 8, Art. No.: 1816257. https://doi.org/10.1080/23322039.2020.1816257

Article

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

McMillan DG (2020) Explaining the stock-stock, bond-bond and stock-bond correlation across countries. International Journal of Monetary Economics and Finance, 13 (5), pp. 429-445. https://doi.org/10.1504/IJMEF.2020.110553

Article

Inter- and Intra-Regional Stock Market Relations for the GCC Bloc

Ziadat S, Herbst P & McMillan D (2020) Inter- and Intra-Regional Stock Market Relations for the GCC Bloc. Research in International Business and Finance, 54, Art. No.: 101292. https://doi.org/10.1016/j.ribaf.2020.101292

Article

The Information Content of US Stock Market Factors

McMillan D, Elgammal M & Ahmed F (2020) The Information Content of US Stock Market Factors. Studies in Economics and Finance, 37 (2), pp. 323-346. https://doi.org/10.1108/SEF-10-2019-0385

Article

Is There a Risk and Return Relation?

McMillan D, Fifield S & McMillan F (2020) Is There a Risk and Return Relation?. European Journal of Finance, 26 (11), pp. 1075-1101. https://doi.org/10.1080/1351847X.2020.1724551

Article

Exchange rate volatility in the eurozone

Bajo-Rubio O, Berke B & McMillan D (2020) Exchange rate volatility in the eurozone. Economics, 14 (2020-5), pp. 1-23. https://doi.org/10.5018/economics-ejournal.ja.2020-5

Article

Stock returns, illiquidity and feedback trading

Chen J & McMillan DG (2020) Stock returns, illiquidity and feedback trading. Review of Accounting and Finance, 19 (2), pp. 135-145. https://doi.org/10.1108/RAF-02-2017-0024

Article

Interrelation and Spillover Effects between Stocks and Bonds: Cross-Market and Cross-Asset Evidence

McMillan D (2020) Interrelation and Spillover Effects between Stocks and Bonds: Cross-Market and Cross-Asset Evidence. Studies in Economics and Finance, 37 (3), pp. 561-582. https://doi.org/10.1108/SEF-08-2019-0330

Newspaper / Magazine

Five graphs that show how uncertain markets are about the coronavirus recovery

McMillan D (2020) Five graphs that show how uncertain markets are about the coronavirus recovery. The Conversation. 28.07.2020.

Article

Financial data science: the birth of a new financial research paradigm complementing econometrics?

Brooks C, Hoepner AGF, McMillan D, Vivian A & Wese Simen C (2019) Financial data science: the birth of a new financial research paradigm complementing econometrics?. European Journal of Finance, 25 (17), pp. 1627-1636. https://doi.org/10.1080/1351847x.2019.1662822

Article

Insider trading and future stock returns in firms with concentrated ownership levels

Chronopoulos DK, McMillan DG, Papadimitriou FI & Tavakoli M (2019) Insider trading and future stock returns in firms with concentrated ownership levels. European Journal of Finance, 25 (2), pp. 139-154. https://doi.org/10.1080/1351847X.2018.1487312

Article

Cross-Asset Relations, Correlations and Economic Implications

McMillan DG (2019) Cross-Asset Relations, Correlations and Economic Implications. Global Finance Journal, 41, pp. 60-78. https://doi.org/10.1016/j.gfj.2019.02.003

Article

Predicting Firm Level Stock Returns: Implications for Asset Pricing and Economic Links

McMillan D (2019) Predicting Firm Level Stock Returns: Implications for Asset Pricing and Economic Links. British Accounting Review, 51 (4), pp. 333-351. https://doi.org/10.1016/j.bar.2019.04.001

Article

Stock Return Predictability: Using the Cyclical Component of the Price Ratio

McMillan D (2019) Stock Return Predictability: Using the Cyclical Component of the Price Ratio. Research in International Business and Finance, 48, pp. 228-242. https://doi.org/10.1016/j.ribaf.2018.12.014

Article

Rational functions: an alternative approach to asset pricing

Chakraborty N, Elgammal MM & McMillan D (2019) Rational functions: an alternative approach to asset pricing. Applied Economics, 51 (20), pp. 2091-2119. https://doi.org/10.1080/00036846.2018.1540848

Article

The information content of the stock and bond return correlation

McMillan DG (2018) The information content of the stock and bond return correlation. Quantitative Finance and Economics, 2 (3), pp. 757-775. https://doi.org/10.3934/qfe.2018.3.757

Article

Information Transmission across European Equity Markets During Crisis Periods

Chen J, McMillan D & Buckle M (2018) Information Transmission across European Equity Markets During Crisis Periods. Manchester School, 86 (6), pp. 770-788. https://doi.org/10.1111/manc.12226

Article

Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'

Chen M, Hawkes A, Khashanah K, McMillan D, Rosenbaum M, Scalas E & Yang S (2018) Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'. Quantitative Finance, 18 (2), pp. 191-192. https://doi.org/10.1080/14697688.2018.1404804

Article

Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries

Abbas G, McMillan D & Wang S (2018) Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries. Journal of Economic Studies, 45 (1), pp. 77-99. https://doi.org/10.1108/JES-03-2017-0062

Article

The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation

McMillan D (2018) The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation. International Journal of Financial Studies, 6 (4), Art. No.: 99. https://doi.org/10.3390/ijfs6040099

Article

Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets

Humpe A & McMillan DG (2018) Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets. Journal of Asset Management, 19 (6), pp. 413-428. https://doi.org/10.1057/s41260-018-0091-x

Article

Pecking order and market timing theory in emerging markets: The case of Egyptian firms

Allini A, Rakha S, McMillan D & Caldarelli A (2018) Pecking order and market timing theory in emerging markets: The case of Egyptian firms. Research in International Business and Finance, 44, pp. 297-308. https://doi.org/10.1016/j.ribaf.2017.07.098

Article

Does feedback trading drive returns of cross-listed shares?

Chen J, Dong Y, Hou W & McMillan D (2018) Does feedback trading drive returns of cross-listed shares?. Journal of International Financial Markets, Institutions and Money, 53, pp. 179-199. https://doi.org/10.1016/j.intfin.2017.09.018

Article

Does money supply growth contain predictive power for stock returns? Evidence and explanation

McMillan D (2017) Does money supply growth contain predictive power for stock returns? Evidence and explanation. International Journal of Banking, Accounting and Finance, 8 (2), pp. 119-145. https://doi.org/10.1504/IJBAAF.2017.087077

Article

Stock return predictability: the role of inflation and threshold dynamics

McMillan D (2017) Stock return predictability: the role of inflation and threshold dynamics. International Review of Applied Economics, 31 (3), pp. 357-375. https://doi.org/10.1080/02692171.2016.1257581

Article

The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises

Bajo-Rubio O, Berke B & McMillan D (2017) The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises. Research in International Business and Finance, 41, pp. 577-589. https://doi.org/10.1016/j.ribaf.2017.04.003

Newspaper / Magazine

Why London still shouldn’t worry about losing business to Frankfurt, Paris, or any other EU city

McMillan D (2017) Why London still shouldn’t worry about losing business to Frankfurt, Paris, or any other EU city. The Conversation. 31.08.2017. https://theconversation.com/why-london-still-shouldnt-worry-about-losing-business-to-frankfurt-paris-or-any-other-eu-city-82944

Article

Time-varying correlations and interrelations: Firm-level-based sector evidence

Evans P, McMillan D & McMillan F (2017) Time-varying correlations and interrelations: Firm-level-based sector evidence. Journal of Asset Management, 18 (3), pp. 209-221. https://doi.org/10.1057/s41260-016-0034-3

Article

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan D & McMillan F (2017) The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies. Journal of International Financial Markets, Institutions and Money, 47, pp. 103-113. https://doi.org/10.1016/j.intfin.2016.11.004

Article

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

Kambouroudis DS, McMillan D & Tsakou K (2016) Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal of Futures Markets, 36 (12), pp. 1127-1163. https://doi.org/10.1002/fut.21783

Article

Does VIX or Volume Improve GARCH Volatility Forecasts?

Kambouroudis DS & McMillan D (2016) Does VIX or Volume Improve GARCH Volatility Forecasts?. Applied Economics, 48 (13), pp. 1210-1228. https://doi.org/10.1080/00036846.2015.1096004

Article

Spillovers between output and stock prices: a wavelet approach

McMillan D & Tiwari AK (2016) Spillovers between output and stock prices: a wavelet approach. Studies in Economics and Finance, 33 (4), pp. 625-637. https://doi.org/10.1108/SEF-07-2014-0125

Article

US Bank Market Structure: Evolving Nature and Implications

McMillan D & McMillan F (2016) US Bank Market Structure: Evolving Nature and Implications. Journal of Financial Services Research, 50 (2), pp. 187-210. https://doi.org/10.1007/s10693-015-0225-y

Article

Stock return predictability and market integration: The role of global and local information

McMillan D (2016) Stock return predictability and market integration: The role of global and local information. Cogent Economics and Finance, 4, Art. No.: 1178363. https://doi.org/10.1080/23322039.2016.1178363

Article

Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth

McMillan D (2015) Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth. International Journal of Finance and Economics, 20 (4), pp. 362-373. https://doi.org/10.1002/ijfe.1522

Article

Is there an ideal in-sample length for forecasting volatility?

Kambouroudis DS & McMillan DG (2015) Is there an ideal in-sample length for forecasting volatility?. Journal of International Financial Markets, Institutions and Money, 37, pp. 114-137. https://doi.org/10.1016/j.intfin.2015.02.006

Article

Non-parametric estimation of copula parameters: testing for time-varying correlation

Gong J, Wu W, McMillan D & Shi D (2015) Non-parametric estimation of copula parameters: testing for time-varying correlation. Studies in Nonlinear Dynamics and Econometrics, 19 (1), pp. 93-106. https://doi.org/10.1515/snde-2012-0089

Article

Insider employee stock option trading and stock prices

McMillan D, Tavakoli M & McKnight PJ (2014) Insider employee stock option trading and stock prices. European Journal of Finance, 20 (1), pp. 59-79. https://doi.org/10.1080/1351847X.2012.670122

Article

Forecasting Stock Returns: Do Commodities Prices Help?

Black A, Klinkowska O, McMillan D & McMillan F (2014) Forecasting Stock Returns: Do Commodities Prices Help?. Journal of Forecasting, 33 (8), pp. 627-639. https://doi.org/10.1002/for.2314

Article

Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation

McMillan D (2014) Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation. Financial Markets, Institutions and Instruments, 23 (5), pp. 273-302. https://doi.org/10.1111/fmii.12021

Article

Stock Return, Dividend Growth and Consumption Growth Predictability Across Markets and Time: Implications for stock price movement

McMillan D (2014) Stock Return, Dividend Growth and Consumption Growth Predictability Across Markets and Time: Implications for stock price movement. International Review of Financial Analysis, 35, pp. 90-101. https://doi.org/10.1016/j.irfa.2014.07.011

Article

Does The Macroeconomy Predict UK Asset Returns In A Nonlinear Fashion? Comprehensive Out-Of-Sample Evidence

Guidolin M, Hyde S, McMillan D & Ono S (2014) Does The Macroeconomy Predict UK Asset Returns In A Nonlinear Fashion? Comprehensive Out-Of-Sample Evidence. Oxford Bulletin of Economics and Statistics, 76 (4), pp. 510-535. https://doi.org/10.1111/obes.12035

Article

The Credit Crunch and Insider Training

Tavakoli M, McMillan D & McKnight PJ (2014) The Credit Crunch and Insider Training. Financial Markets, Institutions and Instruments, 23 (2), pp. 71-100. https://doi.org/10.1111/fmii.12015

Article

The relationship between temperature and CO2 emissions: evidence from a short and very long dataset

McMillan D & Wohar ME (2013) The relationship between temperature and CO2 emissions: evidence from a short and very long dataset. Applied Economics, 45 (26), pp. 3683-3690. https://doi.org/10.1080/00036846.2012.729955

Article

A panel analysis of the stock returndividend yield relation: Predicting returns and dividend growth

McMillan D & Wohar ME (2013) A panel analysis of the stock returndividend yield relation: Predicting returns and dividend growth. Manchester School, 81 (3), pp. 386-400. https://doi.org/10.1111/j.1467-9957.2011.02281.x

Article

Consumption and stock prices: Evidence from a small international panel

McMillan D (2013) Consumption and stock prices: Evidence from a small international panel. Journal of Macroeconomics, 36, pp. 76-88. https://doi.org/10.1016/j.jmacro.2013.01.007

Article

Time varying stock return predictability: Evidence from US sectors

Guidolin M, McMillan D & Wohar ME (2013) Time varying stock return predictability: Evidence from US sectors. Finance Research Letters, 10 (1), pp. 34-40. https://doi.org/10.1016/j.frl.2012.07.002

Article

Does Information Help Intra-Day Volatility Forecasts?

McMillan D & Garcia RQ (2013) Does Information Help Intra-Day Volatility Forecasts?. Journal of Forecasting, 32 (1), pp. 1-9. https://doi.org/10.1002/for.1243

Article

Dynamic capital structure adjustment: US MNCs & DCs

McMillan D & Camara O (2012) Dynamic capital structure adjustment: US MNCs & DCs. Journal of Multinational Financial Management, 22 (5), pp. 278-301. https://doi.org/10.1016/j.mulfin.2012.10.001

Article

Output and stock prices: An examination of the relationship over 200 years

McMillan D & Wohar ME (2012) Output and stock prices: An examination of the relationship over 200 years. Applied Financial Economics, 22 (19), pp. 1615-1629. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-84860829691&md5=0426960753cf4172bac1d2c3de8e3a02; https://doi.org/10.1080/09603107.2012.669461

Article

Short-sale constraints and efficiency of the spot-futures dynamics

McMillan D & Philip D (2012) Short-sale constraints and efficiency of the spot-futures dynamics. International Review of Financial Analysis, 24, p. 129–136. https://doi.org/10.1016/j.irfa.2012.09.001

Article

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

McMillan D & Speight AEH (2012) Daily FX volatility forecasts: Can the GARCH(1,1) model be beaten using high-frequency data?. Journal of Forecasting, 31 (4), pp. 330-343. https://doi.org/10.1002/for.1222

Article

Insider trading and stock prices

Tavakoli M, McMillan D & McKnight PJ (2012) Insider trading and stock prices. International Review of Economics and Finance, 22 (1), pp. 254-266. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-84855330171&md5=7441d8374fd846f3d42be2c85f90e5e2; https://doi.org/10.1016/j.iref.2011.11.004

Article

Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR

McMillan D (2012) Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR. International Review of Applied Economics, 26 (1), pp. 125-143. https://doi.org/10.1080/02692171.2011.580268

Article

Contemporary issues in financial institutions and markets

Wilson JOS, McMillan D & Casu B (2011) Contemporary issues in financial institutions and markets. European Journal of Finance, 17 (9-10), pp. 765-768. https://doi.org/10.1080/1351847x.2010.546684

Article

Profit persistence revisited: The case of the uk

McMillan D & Wohar ME (2011) Profit persistence revisited: The case of the uk. Manchester School, 79 (3), pp. 510-527. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-79955001698&md5=2f33069a98f8945fc8eafb4bcd4d3962; https://doi.org/10.1111/j.1467-9957.2010.02177.x

Article

Correlations and spillovers among three euro rates: evidence using realised variance

McMillan D, Ruiz I & Speight AEH (2010) Correlations and spillovers among three euro rates: evidence using realised variance. European Journal of Finance, 16 (8), pp. 753-767. https://doi.org/10.1080/13518470903448424

Article

Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium

Grossmann A & McMillan D (2010) Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium. Journal of International Financial Markets, Institutions and Money, 20 (4), pp. 436-450. https://doi.org/10.1016/j.intfin.2010.06.004

Article

Stock return predictability and dividend-price ratio: a nonlinear approach

McMillan D & Wohar ME (2010) Stock return predictability and dividend-price ratio: a nonlinear approach. International Journal of Finance and Economics, 15 (4), pp. 351-365. https://doi.org/10.1002/ijfe.401

Article

Persistence and time-varying coefficients

McMillan D & Wohar ME (2010) Persistence and time-varying coefficients. Economics Letters, 108 (1), pp. 85-88. https://doi.org/10.1016/j.econlet.2010.04.019

Article

Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence

McMillan D (2010) Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence. Journal of Business Finance and Accounting, 37 (5-6), pp. 668-686. https://doi.org/10.1111/j.1468-5957.2009.02176.x

Article

Asymmetric return patterns: evidence from 33 international stock market indices

Evans T & McMillan D (2009) Asymmetric return patterns: evidence from 33 international stock market indices. Applied Economics Letters, 16 (8), pp. 775-779. https://doi.org/10.1080/13504850701222020

Article

The confusing time-series behaviour of real exchange rates: Are asymmetries important?

McMillan D (2009) The confusing time-series behaviour of real exchange rates: Are asymmetries important?. Journal of International Financial Markets, Institutions and Money, 19 (4), pp. 692-711. https://doi.org/10.1016/j.intfin.2008.12.002

Article

Are RiskMetrics forecasts good enough? Evidence from 31 stock markets

McMillan D & Kambouroudis DS (2009) Are RiskMetrics forecasts good enough? Evidence from 31 stock markets. International Review of Financial Analysis, 18 (3), pp. 117-124. https://doi.org/10.1016/j.irfa.2009.03.006

Article

Non-linear predictability in stock and bond returns: When and where is it exploitable?

Guidolin M, Hyde S, McMillan D & Ono S (2009) Non-linear predictability in stock and bond returns: When and where is it exploitable?. International Journal of Forecasting, 25 (2), pp. 373-399. https://doi.org/10.1016/j.ijforecast.2009.01.002

Article

Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries

McMillan D (2009) Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries. Journal of International Financial Markets, Institutions and Money, 19 (2), pp. 258-273. https://doi.org/10.1016/j.intfin.2007.12.002

Article

Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates

McMillan D (2009) Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates. International Journal of Finance and Economics, 14 (2), pp. 139-155. https://doi.org/10.1002/ijfe.358

Article

Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited

McMillan D & Ulku N (2009) Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited. Journal of Futures Markets, 29 (3), pp. 218-243. https://doi.org/10.1002/fut.20355

Article

Are UK Share Prices Too High? Fundamental Value or New Era

McMillan D (2009) Are UK Share Prices Too High? Fundamental Value or New Era. Bulletin of Economic Research, 61 (1), pp. 1-20. https://doi.org/10.1111/j.1467-8586.2008.00290.x

Article

How Useful is Intraday Data for Evaluating Daily Value-at-Risk? Evidence from Three Euro Rates

McMillan D, Speight AEH & Evans K (2008) How Useful is Intraday Data for Evaluating Daily Value-at-Risk? Evidence from Three Euro Rates. Journal of Multinational Financial Management, 18 (5), pp. 488-503. https://doi.org/10.1016/j.mulfin.2007.12.003

Article

Dividends, prices and the present value model: firm-level evidence

Goddard J, McMillan D & Wilson JOS (2008) Dividends, prices and the present value model: firm-level evidence. European Journal of Finance, 14 (3), pp. 195-210. https://doi.org/10.1080/13518470801890792

Article

Non-linear cointegration and adjustment: An asymmetric exponential smooth-transition model for US interest rates

McMillan D (2008) Non-linear cointegration and adjustment: An asymmetric exponential smooth-transition model for US interest rates. Empirical Economics, 35 (3), pp. 591-606. https://doi.org/10.1007/s00181-007-0180-z

Article

Long-memory in high-frequency exchange rate volatility under temporal aggregation

McMillan D & Speight AEH (2008) Long-memory in high-frequency exchange rate volatility under temporal aggregation. Quantitative Finance, 8 (3), pp. 251-261. https://doi.org/10.1080/14697680601150699

Article

Efficiency of the IBEX spot-futures basis: The impact of the mini-futures

McMillan D & Garcia RQ (2008) Efficiency of the IBEX spot-futures basis: The impact of the mini-futures. Journal of Futures Markets, 28 (4), pp. 398-415. https://doi.org/10.1002/fut.20308

Article

Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model

McMillan D (2007) Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model. Journal of Banking and Finance, 31 (3), pp. 787-804. https://doi.org/10.1016/j.jbankfin.2006.02.006

Article

Non-linear forecasting of stock returns: Does volume help?

McMillan D (2007) Non-linear forecasting of stock returns: Does volume help?. International Journal of Forecasting, 23 (1), pp. 115-126. https://doi.org/10.1016/j.ijforecast.2006.06.002

Article

Do firm sizes and profit rates converge? Evidence on Gibrat's Law and the persistence of profits in the long run

Goddard J, McMillan D & Wilson JOS (2006) Do firm sizes and profit rates converge? Evidence on Gibrat's Law and the persistence of profits in the long run. Applied Economics, 38 (3), pp. 267-278. https://doi.org/10.1080/00036840500367955

Article

The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model

McMillan D (2006) The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model. Economics Letters, 91 (3), pp. 408-412. https://doi.org/10.1016/j.econlet.2005.12.024

Article

Volatility dynamics and heterogeneous markets

McMillan D & Speight AEH (2006) Volatility dynamics and heterogeneous markets. International Journal of Finance and Economics, 11 (2), pp. 115-121. https://doi.org/10.1002/ijfe.281

Article

Non-linear dynamics and competing behavioral interpretations: evidence from intra-day FTSE-100 index and futures data

McMillan D & Speight AEH (2006) Non-linear dynamics and competing behavioral interpretations: evidence from intra-day FTSE-100 index and futures data. Journal of Futures Markets, 26 (4), pp. 343-368. https://doi.org/10.1002/fut.20203

Article

Time-varying hedge ratios for non-ferrous metals prices

McMillan D (2005) Time-varying hedge ratios for non-ferrous metals prices. Resources Policy, 30 (3), pp. 186-193. https://doi.org/10.1016/j.resourpol.2005.08.004

Article

The inflation/output variability trade-off: further evidence

Cobham D, Macmillan P & McMillan D (2004) The inflation/output variability trade-off: further evidence. Applied Economics Letters, 11 (6), pp. 347-350. https://doi.org/10.1080/1350485042000228178

Article

Non-linear error correction: Evidence for UK interest rates

McMillan D (2004) Non-linear error correction: Evidence for UK interest rates. Manchester School, 72 (5), pp. 626-640. https://doi.org/10.1111/j.1467-9957.2004.00413.x

Article

Daily volatility forecasts: Reassessing performance of GARCH models

McMillan D & Speight AEH (2004) Daily volatility forecasts: Reassessing performance of GARCH models. Journal of Forecasting, 23 (6), pp. 449-460. https://doi.org/10.1002/for.926

Article

Nonlinear predictability of short-run deviations in UK stock market returns

McMillan D (2004) Nonlinear predictability of short-run deviations in UK stock market returns. Economics Letters, 84 (2), pp. 149-154. https://doi.org/10.1016/j.econlet.2003.10.014

Article

Non-linear predictability of UK stock market returns

McMillan D (2003) Non-linear predictability of UK stock market returns. Oxford Bulletin of Economics and Statistics, 65 (5), pp. 557-573. https://doi.org/10.1111/j.1468-0084.2003.00061.x

Article

Interest rate spread and real activity: evidence for the UK

McMillan D (2002) Interest rate spread and real activity: evidence for the UK. Applied Economics Letters, 9 (3), pp. 191-194. https://doi.org/10.1080/13504850110054922

Article

Non-linear dependence in inter-war exchange rates: some further evidence

McMillan D & Speight AEH (2002) Non-linear dependence in inter-war exchange rates: some further evidence. Applied Economics Letters, 9 (6), pp. 359-364. https://doi.org/10.1080/13504850110086017

Article

Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market

McMillan D & Speight AEH (2002) Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market. Journal of Futures Markets, 22 (11), pp. 1037-1057. https://doi.org/10.1002/fut.10043

Article

Nonlinear error correction in spot and forward exchange rates

McMillan D & Black A (2001) Nonlinear error correction in spot and forward exchange rates. Weltwirtschaftliches Archiv, 137 (4), pp. 737-750. https://doi.org/10.1007/bf02707431

Article

Common stochastic volatility trend in European exchange rates

McMillan D (2001) Common stochastic volatility trend in European exchange rates. Applied Economics Letters, 8 (9), pp. 605-608. https://doi.org/10.1080/13504850010023099

Article

Are there asymmetries in UK consumption? A closer look

Speight AEH & McMillan D (1997) Are there asymmetries in UK consumption? A closer look. Applied Economics Letters, 4 (4), pp. 241-245. https://doi.org/10.1080/758518503

Outputs related to Professor David McMillan