David G. McMillan

University of Stirling

Professor of Finance

Stirling, Scotland FK9 4LA

United Kingdom

  • University of Stirling

SCHOLARLY PAPERS

68

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42

CROSSREF CITATIONS

22

Scholarly Papers (68)

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1.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
David G. McMillan
University of Stirling
Downloads 3,446 (5,732)

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Stock Returns, Predictability, Forecasting, Combinations

2.

Research on 'Responsible Investment': An Influential Literature Analysis Comprising a Rating, Characterisation, Categorisation and Investigation

Number of pages: 84 Posted: 14 Aug 2009 Last Revised: 19 Aug 2009
Andreas G. F. Hoepner and David G. McMillan
Smurfit Graduate Business School, University College Dublin and University of Stirling
Downloads 2,094 (12,674)
Citation 28

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citation analysis, diversification, ethical investment, literature review, socially responsible investment, research methods, research synthesis

3.

Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable?

Federal Reserve Bank of St. Louis Working Paper No. 2008-010A
Number of pages: 74 Posted: 30 Apr 2008 Last Revised: 15 Jan 2009
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University, Dept. of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 620 (72,945)
Citation 3

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Non-linearities, regime switching, threshold predictive regressions, forecasting, predictability in financial returns

4.

Forecasting Stock Returns: Do Commodity Prices Help?

Number of pages: 34 Posted: 18 Jul 2014
Angela J. Black, Olga Klinkowska, David G. McMillan and Fiona Jayne McMillan
University of Aberdeen - Business School, Kozminski University, University of Stirling and University of St. Andrews
Downloads 613 (74,001)
Citation 4

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Stock Prices, Commodity Prices, Forecasting, Rolling

5.

How Many Factors? Does Adding Momentum and Volatility Improve Performance

Number of pages: 27 Posted: 14 Aug 2017
Mohammed Elgammal, Fatma Ehab Ahmed, David G. McMillan and Ali Masaad Al-Amari
Qatar University - College of Business and Economics, Qatar University - College of Business and Economics, University of Stirling and Qatar University - College of Business and Economics
Downloads 509 (93,260)

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Five-Factor Model, Momentum, Volatility, Time-Variation, Expected Returns

6.

Are International Value Premiums Driven by the Same Set of Fundamentals?

Univ. of Aberdeen Acct. & Fin. Working Paper No. 02-04
Number of pages: 22 Posted: 18 Mar 2002
Angela J. Black, Patricia Fraser and David G. McMillan
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and University of Stirling
Downloads 375 (133,376)
Citation 1

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Long-Run Value Premium, Cointegration, Interest Rates, Variance Decomposition

7.

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

Number of pages: 64 Posted: 20 Mar 2019
David G. McMillan
University of Stirling
Downloads 373 (134,161)

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Stocks, Bonds, GDP Growth, Predictability, Forecasting, Variation

8.

The Long Run Value Premium and Economic Activity

Univ. of Aberdeen Acct. & Fin. Working Paper No. 02-05
Number of pages: 22 Posted: 01 Apr 2002
Angela J. Black and David G. McMillan
University of Aberdeen - Business School and University of Stirling
Downloads 343 (147,532)
Citation 2

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Long-Run Value Premium, Cointegration, Interest Rates, Variance Decomposition

9.

Long-Run Stock Price-House Price Relation: Evidence from an ESTR Model

Number of pages: 10 Posted: 22 Aug 2011
David G. McMillan
University of Stirling
Downloads 340 (148,435)
Citation 2

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House Prices, Stock Prices, ESTR Model, Credit Effect

10.

Forecasting US Stock Returns

Number of pages: 42 Posted: 01 Nov 2018
David G. McMillan
University of Stirling
Downloads 331 (152,673)
Citation 2

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Stock Returns, Forecasting, Time-Variation, Rolling, Recursive, Term Structure

11.

Forecast and Market Timing Power of the FED Model and the Role of Inflation

Number of pages: 34 Posted: 06 Jun 2015
David G. McMillan
University of Stirling
Downloads 319 (158,874)

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Stock Returns, FED Model, Rolling Regression, Forecasting, Market Timing, Inflation

12.

Insider Trading and Future Stock Returns in Firms With Concentrated Ownership Levels

Forthcoming in European Journal of Finance
Number of pages: 33 Posted: 25 Jun 2018
Dimitris K. Chronopoulos, David G. McMillan, Fotios I. Papadimitriou and Manouchehr Tavakoli
University of St. Andrews - School of Management, University of Stirling, Business School, University of Aberdeen and University of St. Andrews
Downloads 315 (161,022)
Citation 8

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Insider Trading, Stock Returns, Economic Value, Trading Strategies

13.

The Information Content of Stock Market Factors

Number of pages: 29 Posted: 14 Sep 2017
Mohammed Elgammal, Fatma Ehab Ahmed, David G. McMillan and Ali Masaad Al-Amari
Qatar University - College of Business and Economics, Qatar University - College of Business and Economics, University of Stirling and Qatar University - College of Business and Economics
Downloads 308 (164,849)
Citation 1

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Stock Market Factors, GDP Growth, Predictability, Asset Pricing

14.

Portfolio Constituency Rules and the Value Premium in the Small-Cap Space

Number of pages: 24 Posted: 14 Feb 2014
Kenneth E. Scislaw and David G. McMillan
Drexel University Lebow College of Business and University of Stirling
Downloads 282 (180,843)

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Value premium, value stocks, growth stocks, equity style

15.

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

Number of pages: 34 Posted: 14 Sep 2017
David G. McMillan
University of Stirling
Downloads 253 (201,546)

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Stock Returns, Predictability, Firm-Level, Asset Pricing, Output

16.

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

Number of pages: 46 Posted: 05 Oct 2012
David G. McMillan
University of Stirling
Downloads 252 (202,372)

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Stock Returns, Predictability, Time-Variation, Dividend Growth, Panel

17.

Forecasting Stock Returns: Does Switching Between Models Help?

Number of pages: 31 Posted: 14 Jun 2009
David G. McMillan
University of Stirling
Downloads 250 (203,975)

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stock market returns, STAR, switching models, forecasting

18.

Does Money Supply Growth Contain Predictive Power for Stock Returns? Evidence and Explanation

Number of pages: 48 Posted: 10 Sep 2014 Last Revised: 05 Jun 2015
David G. McMillan
University of Stirling
Downloads 237 (214,752)

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Stock Returns, Money Supply, Predictability, Asset Price Movement, Forecasting

19.

Stock Returns and Volatility Dynamics in China: Does the Control of State-Owned Enterprises (SOEs) Matter?

Number of pages: 36 Posted: 08 Apr 2013
Pornsawan Evans and David G. McMillan
Swansea University - College of Business, Economic and Law and University of Stirling
Downloads 226 (224,967)
Citation 2

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20.

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

Number of pages: 37 Posted: 29 Aug 2022
David G. McMillan
University of Stirling
Downloads 220 (230,738)

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Variance Risk Premium, Default Yield, Prediction, Economic Growth

21.

Predicting Stock Returns: Historical Mean vs. Dividend Yield

Number of pages: 30 Posted: 30 Oct 2015
David G. McMillan
University of Stirling
Downloads 210 (240,819)

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Stock Returns, Dividend Yield, Forecasting, Rolling Regressions

22.

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Downloads 92 (244,088)

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Federal Reserve Bank of St. Louis Working Paper No. 2010-039A
Number of pages: 38 Posted: 25 Oct 2010
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University, Dept. of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 92 (465,322)

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regime switching, threshold, smooth transition, predictive regressions, forecasting

23.

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

Number of pages: 40 Posted: 25 May 2018
David G. McMillan
University of Stirling
Downloads 194 (258,814)

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Stock Returns, Predictability, Dividend-Price Ratio, Price-Earnings Ratio, Forecasting, Cycles

24.

Asymmetric Return Patterns: Evidence from 33 International Stock Market Indices

Number of pages: 15 Posted: 15 Aug 2006
Twm Evans and David G. McMillan
University of Wales, Swansea and University of Stirling
Downloads 187 (267,658)

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Asymmetry, Consecutive returns, Holding period

25.

Is Responsible Investment under-proportionally Researched?

Forthcoming in Handbook of Responsible Investment
Number of pages: 95 Posted: 26 May 2009 Last Revised: 08 Feb 2016
Andreas G. F. Hoepner, David G. McMillan and Michael Fraser
Smurfit Graduate Business School, University College Dublin, University of Stirling and New Zealand Institute of Chartered Accountants
Downloads 182 (274,044)
Citation 1

Abstract:

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bibliometrics, citation analysis, ethical investing, research policy, scientometrics

26.

Revisiting Non-Linear Dividend Yield Dynamics and Returns Predictability: Evidence from a Time-Varying ESTR Model

Number of pages: 28 Posted: 30 Apr 2008
David G. McMillan
University of Stirling
Downloads 180 (276,681)
Citation 1

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Dividend Yield, Returns Predictability, Forecasting, Time-Varying ESTR Model

27.

Volatility and Value-at-Risk Forecasting: Does Wavelet De-Noising Help?

Number of pages: 52 Posted: 27 Feb 2017
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 170 (292,269)

Abstract:

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Wavelet; De-noising; Volatility; Forecasting, Value-at-Risk

28.

Stock Market Fundamentals and Bubbles: Implications for Prices, GDP and Consumption

Number of pages: 33 Posted: 22 Oct 2010
David G. McMillan
University of Stirling
Downloads 163 (301,337)

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Stock Prices, Fundamentals, Bubbles, GDP, Cointegration

29.

Lottery Stocks in the UK: Evidence, Characteristics and Cause

Number of pages: 45 Posted: 28 Apr 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
Hashemite university, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 159 (307,664)

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Stock Returns, Lottery Effect, Idiosyncratic Volatility, Max-Effect

30.

Stock Return, Dividend Growth and Consumption Growth Predictability Across Markets and Time: Implications for Stock Price Movement

Number of pages: 48 Posted: 18 Jul 2014
David G. McMillan
University of Stirling
Downloads 152 (319,592)

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31.

The Predictive Power of the Oil Variance Risk Premium

Downloads 150 (323,134)

The Predictive Power of the Oil Variance Risk Premium

Number of pages: 28 Posted: 08 Mar 2022
David G. McMillan and Salem Adel Ziadat
University of Stirling and Al-Ahliyya Amman University
Downloads 100 (439,993)

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Oil, Stocks, Variance Risk Premium, Predictability, Macroeconomic Indicators

The Predictive Power of the Oil Variance Risk Premium

Number of pages: 28 Posted: 27 Mar 2023
David G. McMillan and Salem Adel Ziadat
University of Stirling and Al-Ahliyya Amman University
Downloads 26 (825,270)

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Oil, VRP, Predictability, Output, Stocks

The Predictive Power of the Oil Variance Risk Premium

Number of pages: 28 Posted: 21 Dec 2022
David G. McMillan and Salem Adel Ziadat
University of Stirling and Al-Ahliyya Amman University
Downloads 24 (843,256)

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Oil, VRP, Predictability, Output, Stocks

32.

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

Number of pages: 34 Posted: 20 Dec 2021
Mehmet Sahiner, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 144 (333,828)

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Volatility, Forecasting, Neural Networks, Machine Learning, VaR, ES

33.

Stock Return Predictability: The Role of Inflation and Threshold Dynamics

Number of pages: 35 Posted: 27 Feb 2017
David G. McMillan
University of Stirling
Downloads 143 (335,662)

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Stock Returns, Predictability, Inflation, Threshold, Forecasting

34.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
Chris Brooks, Andreas G. F. Hoepner, David G. McMillan, Andrew Vivian and Chardin Wese Simen
University of Bristol - School of Economics, Finance and Management, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 140 (341,374)
Citation 4

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

35.

Forecasting Realised Volatility: Does the LASSO approach outperform HAR?

Number of pages: 39 Posted: 22 Mar 2021
Yi Ding, Dimos S Kambouroudis and David G. McMillan
University of Stirling, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 132 (357,168)

Abstract:

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Volatility Forecasting, HAR, Lasso, VaR

36.

The Relationship between Temperature and CO2 Emissions: Evidence from a Short and Very Long Dataset

Number of pages: 27 Posted: 31 Jan 2012
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 132 (357,168)

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Temperature, CO2, Stationarity, VAR

37.

How Much In-Sample Data to Use in Forecasting? Evidence from a Simple Stock Returns Model

Number of pages: 10 Posted: 14 May 2009
David G. McMillan
University of Stirling
Downloads 129 (363,426)
Citation 1

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Dividend Yield, Returns Predictability, Forecasting, Backward Recursion

38.

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements: Time-Scale Analysis and the Effects of Financial Crises

Number of pages: 66 Posted: 25 May 2018
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 120 (383,620)

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Stock-bond Dynamic Correlation, Macroeconomic Surprises, Financial Crises, Wavelet

39.

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

Number of pages: 50 Posted: 12 Mar 2019
David G. McMillan
University of Stirling
Downloads 118 (388,303)

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Stocks, Bonds, Returns, Volatility, Correlation, Causality, VAR, Spillovers

40.

Short-Sale Constraints and Efficiency of the Spot-Futures Dynamics

International Review of Financial Analysis, Vol. 24, 2012
Number of pages: 33 Posted: 01 Nov 2011 Last Revised: 30 Sep 2013
Dennis Philip and David G. McMillan
Durham University Business School and University of Stirling
Downloads 116 (393,054)
Citation 3

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Short-sale constraints, Short-selling, Arbitrage, Mispricing

41.

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

Number of pages: 26 Posted: 10 Sep 2014
David G. McMillan
University of Stirling
Downloads 106 (419,432)

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Stock Returns, Predictability, Time-Variation, State Space, Dividend Growth, Consumption Growth, Asset Price Movement

42.

Profit Persistence and Stock Returns: Does the Market Care?

Number of pages: 33 Posted: 31 Jul 2018
David G. McMillan
University of Stirling
Downloads 104 (425,141)

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Profit, Persistence, Stock Returns, Industry

43.

Complex Network Analysis of Volatility Spillovers between Global Financial Indictors and G20 Stock Market

Number of pages: 30 Posted: 06 Feb 2022
Burak Korkusuz, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 103 (428,080)
Citation 1

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Volatility spillover, GARCH-BEKK, Complex network theory, Global financial indicators, G20 stock markets

44.

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

Number of pages: 26 Posted: 01 Sep 2016
David G. McMillan, Burcu Berke and Oscar Bajo‐Rubio
University of Stirling, Omer Halisdemir University and University of Castilla-La Mancha
Downloads 101 (434,025)

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Spillovers, Exchange Rates, Stock Returns, Volatility, Commodity Markets, Turkey

45.

Is There a Risk and Return Relation?

Number of pages: 46 Posted: 09 Oct 2017
Suzanne G.M. Fifield, David G. McMillan and Fiona Jayne McMillan
University of Dundee, University of Stirling and University of St. Andrews
Downloads 100 (436,994)
Citation 1

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Stocks, Return, Risk, Volatility, Quantile, Bull v’s Bear, Index, Firm-Level

46.

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

Number of pages: 52 Posted: 02 Nov 2019
David G. McMillan
University of Stirling
Downloads 97 (445,893)

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Stock Returns, Term Structure, Interest Rates, GDP Growth, Consumption, Investment

47.

Does the Stock Market Predict Macro-Variables?

Number of pages: 45 Posted: 11 Nov 2018
David G. McMillan
University of Stirling
Downloads 91 (464,652)

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Stock Market, Returns, Expected Returns, VIX, Stock-Bond Correlation, Output Growth, Macroeconomic Variables, Prediction

48.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Andreas G. F. Hoepner, David G. McMillan, Andrew Vivian and Chardin Wese Simen
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 87 (477,680)

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance

49.

Evidence of Hidden Inflation in Zimbabwe

Number of pages: 18 Posted: 02 Oct 2009
David G. McMillan and Bekithemba Mpofu
University of Stirling and College of Estate Management
Downloads 87 (477,680)

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Inflation, Unofficial inflation, hidden inflation, inflation weights, poverty

50.

The Time-Varying Relation between Stock Returns and Monetary Variables

Number of pages: 32 Posted: 18 Nov 2021
David G. McMillan
University of Stirling
Downloads 83 (491,633)
Citation 1

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Stock Returns, Interest Rates, Inflation, Money Supply, Time-Variation, Correlation, Predictability

51.

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

Number of pages: 43 Posted: 03 Nov 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
Hashemite university, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 83 (491,633)

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Stock Returns, Idiosyncratic Volatility, Expected Profitability, 52-Week High

52.

The FED Model: Is it Still With Us?

Downloads 81 (498,802)

The FED Model: Is it Still With Us?

Number of pages: 35 Posted: 22 Feb 2023
David G. McMillan
University of Stirling
Downloads 60 (596,196)

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Stock Returns, Fed Model, Breaks, Markov-Switching, Predictability

The Fed Model: Is it Still with Us?

Number of pages: 36 Posted: 23 Feb 2023
David G. McMillan
University of Stirling
Downloads 21 (871,262)

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Stock Returns, Fed Model, Breaks, Markov-Switching, Predictability

53.

Does Feedback Trading Drive Returns of Cross-Listed Shares?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 43 Posted: 12 Jun 2017
Jing Chen, Yizhe Dong, Wenxuan Hou and David G. McMillan
Cardiff University - School of Mathematics, University of Edinburgh Business School, University of Edinburgh - Business School and University of Stirling
Downloads 81 (498,802)

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Feedback trading, High-frequency trading, Cross-listing, Spillover, Volatility, Liquidity

54.

U.S. Bank Market Structure: Evolving Nature and Implications

Number of pages: 48 Posted: 12 Nov 2015
David G. McMillan and Fiona Jayne McMillan
University of Stirling and University of St. Andrews
Downloads 76 (517,658)
Citation 1

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Banks, Market Structure, Profit Persistence, Risk

55.

Stock Return Predictability and Market Integration: The Role of Global and Local Information

Number of pages: 30 Posted: 19 Nov 2015
David G. McMillan
University of Stirling
Downloads 68 (550,376)

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Stock Returns, Predictability, Global Information, Principal Components, Forecasting

56.

The Interaction between Risk, Return-Risk Trade-Off and Complexity: Evidence and Policy Implications for US Bank Holding Companies

Number of pages: 29 Posted: 25 Nov 2016
David G. McMillan and Fiona Jayne McMillan
University of Stirling and University of St. Andrews
Downloads 67 (554,803)
Citation 1

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Banks, Risk, Earnings, Volatility, Risk-Return, Complex, Prospect Theory, Market Structure, Sharpe Ratio

57.

Explaining Subsequent Trading Activity Using Wavelet Time-Scale Analysis: International Evidence

Number of pages: 39 Posted: 25 May 2018
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 61 (581,646)

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Investor Overconfidence, Subsequent Trading, Recent Return, Subsequent Return, Wavelet

58.

Relevance of Risk Factors

Number of pages: 37 Posted: 06 Jun 2023
Nilanjana Chakraborty, Mohammed Elgammal and David G. McMillan
Independent Researcher, Qatar University - College of Business and Economics and University of Stirling
Downloads 60 (586,423)

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Asset Pricing; Average Returns; Rational Function Model; Fama-French 5 Factor Model; Risk Factors.

59.

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

Number of pages: 38 Posted: 11 Jun 2020
David G. McMillan
University of Stirling
Downloads 48 (649,262)

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Term Structure, Default Yield, GDP Growth, Consumption, Investment

60.

Time-Varying Correlations and Interrelations: Firm-Level Based Sector Evidence

Number of pages: 24 Posted: 25 Oct 2016
Pornsawan Evans, David G. McMillan and Fiona Jayne McMillan
Swansea University - College of Business, Economic and Law, University of Stirling and University of St. Andrews
Downloads 43 (678,821)

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Stock Markets, Correlations, Firm-Level, Sectors, Time-Varying

61.

Oil Price Shocks and Stock-Bond Correlation

Number of pages: 49 Posted: 24 Feb 2023
Salem Adel Ziadat, Abdel Razzaq Al Rababa'a, Mobeen Ur Rehman and David G. McMillan
Al-Ahliyya Amman University, Yarmouk University, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and University of Stirling
Downloads 33 (746,244)

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Stocks, Bonds, Correlation, Oil, Shocks

62.

Forward Premium Anomaly Resolved

Number of pages: 24 Posted: 29 Aug 2022
Nilanjana Chakraborty, Mohammed Elgammal and David G. McMillan
Independent Researcher, Qatar University - College of Business and Economics and University of Stirling
Downloads 30 (769,056)

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Foreign Exchange, Spot Rate, Forward Rate, Inter-bank Interest Rate, Forward Premium Anomaly.

63.

Do Extreme Range Estimators Improve Realized Volatility Forecasts? Evidence from G7 Stock Markets

Number of pages: 17 Posted: 23 Feb 2023
Burak Korkusuz, Dimos S Kambouroudis and David G. McMillan
University of Stirling, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 27 (792,484)

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volatility forecasting, realized volatility, G7 stock markets, HAR-RV-X model, rolling methods, MCS

64.

Forecasting Realised Volatility Using Regime-Switching Models

Number of pages: 41 Posted: 11 Apr 2023
Yi Ding, Dimos S Kambouroudis and David G. McMillan
University of Stirling, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 25 (808,919)

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Realised volatility, Non-linearity, Regime switching, Value at risk, Expected shortfall

65.

Expectations Hypothesis Revisited

Number of pages: 29 Posted: 19 Apr 2023
Nilanjana Chakraborty, Mohammed Elgammal and David G. McMillan
Independent Researcher, Qatar University - College of Business and Economics and University of Stirling
Downloads 22 (834,828)

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Zero coupon bonds; Bond yields; Expectation Hypothesis; Estimation; Forecasting.

66.

Dynamic Linkages in Credit Risk: Modeling the Time-Varying Correlation between the Money and Derivatives Markets Over the Crisis Period

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 10 Posted: 07 Jun 2016
Weiou Wu and David G. McMillan
University of St. Andrews and University of Stirling
Downloads 0 (1,030,852)
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dynamic linkages, credit risk, money market, derivatives market

67.

Volatility Dynamics in Three Euro Exchange Rates: Correlations, Spillovers and Commonality

International Journal of Financial Markets and Derivatives, Vol. 1, No. 1, 2009
Posted: 04 Oct 2009
David G. McMillan and Isabel Ruiz
University of Stirling and University of Oxford - Harris Manchester College

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exchange rates, common volatility, co-movement, correlation, multivariate GARCH

68.

Volatility Persistence, Long Memory and Time-Varying Unconditional Mean: Evidence from Ten Equity Indices

Quarterly Review of Economics and Finance, Forthcoming
Posted: 23 May 2008
David G. McMillan and Isabel Ruiz
University of Stirling and University of Oxford - Harris Manchester College

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Volatility, Long Memory, Structural Breaks, Time-Varying Unconditional Variance