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~person:"McMillan, David G."
~subject:"Volatility"
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Volatility
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McMillan, David G.
Gupta, Rangan
91
Bollerslev, Tim
70
McAleer, Michael
52
Caporale, Guglielmo Maria
51
Diebold, Francis X.
47
Bekaert, Geert
41
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28
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21
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21
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21
Engle, Robert F.
20
Kumar, Dilip
20
Asai, Manabu
19
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19
Campbell, John Y.
18
Wohar, Mark E.
18
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17
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17
Kočenda, Evžen
17
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17
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17
Aït-Sahalia, Yacine
16
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16
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16
Demirer, Rıza
16
Harvey, Campbell R.
16
Jiang, George J.
16
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16
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16
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15
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Applied financial economics
3
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2
The European journal of finance
2
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1
China finance review international
1
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1
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1
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1
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ECONIS (ZBW)
25
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1
Does feedback trading drive returns of cross-listed shares?
Chen, Jing
;
Dong, Yizhe
;
Hou, Wenxuan
;
McMillan, David G.
- In:
Journal of international financial markets, …
53
(
2018
),
pp. 179-199
Persistent link: https://www.econbiz.de/10011983852
Saved in:
2
Stock returns and volatility dynamics in China : does the control of state-owned enterprises (SOEs) matter?
McMillan, David G.
;
Evans, Pornsawan
- In:
China finance review international
5
(
2015
)
2
,
pp. 103-131
Persistent link: https://www.econbiz.de/10011391707
Saved in:
3
The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies
McMillan, David G.
;
McMillan, Fiona J.
- In:
Journal of international financial markets, …
47
(
2017
),
pp. 103-113
Persistent link: https://www.econbiz.de/10011892256
Saved in:
4
The behaviour of asset return and volatility spillovers in Turkey : a tale of two crises
Bajo Rubio, Oscar
;
Berke, Burcu
;
McMillan, David G.
- In:
Research in international business and finance
41
(
2017
),
pp. 577-589
Persistent link: https://www.econbiz.de/10011914596
Saved in:
5
The behaviour of the equity yield and its relation with the bond yield : the role of inflation
McMillan, David G.
- In:
International Journal of Financial Studies : open …
6
(
2018
)
4
,
pp. 1-18
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio
managers
…
Persistent link: https://www.econbiz.de/10011963922
Saved in:
6
Nonlinear dynamics in high-frequency intraday financial data : evidence for the UK long gilt futures market
McMillan, David G.
;
Speight, Alan E. H.
- In:
The journal of futures markets
22
(
2002
)
11
,
pp. 1037-1057
Persistent link: https://www.econbiz.de/10001713575
Saved in:
7
The intraday relationship between volume and volatility in LIFFE futures markets
Ap Gwilym, Owain
;
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics
9
(
1999
)
6
,
pp. 593-604
Persistent link: https://www.econbiz.de/10001525288
Saved in:
8
Asymmetric return patterns : evidence from 33 international stock market indices
Evans, Twm
;
McMillan, David G.
- In:
Applied economics letters
16
(
2009
)
7/9
,
pp. 775-779
Persistent link: https://www.econbiz.de/10003854963
Saved in:
9
Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR
McMillan, David G.
- In:
International review of applied economics
26
(
2012
)
1
,
pp. 125-143
Persistent link: https://www.econbiz.de/10009419538
Saved in:
10
Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.
;
Speight, Alan E. H.
- In:
Journal of forecasting
31
(
2012
)
4
,
pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
Saved in:
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