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Nonlinear predictability of stock market returns : evidence from nonparametric and threshold models

McMillan, David G. - In: International review of economics & finance : IREF 10 (2001) 4, pp. 353-368

Persistent link: https://www.econbiz.de/10001651410

Time varying stock return predictability : evidence from US sectors

Guidolin, Massimo; McMillan, David G.; Wohar, Mark E. - In: Finance research letters 10 (2013) 1, pp. 34-40

Persistent link: https://www.econbiz.de/10009728606

Forecasting U.S. stock returns

McMillan, David G. - In: The European journal of finance 27 (2021) 1/2, pp. 86-109

Persistent link: https://www.econbiz.de/10012424930

Forecasting US Stock Returns

McMillan, David G. - 2018

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We...

Persistent link: https://www.econbiz.de/10012909692

The existence and source of stock return predictability : evidence from dividend, output and consumption ratios

McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208

Persistent link: https://www.econbiz.de/10011413295

Stock return predictability : using the cyclical component of the price ratio

McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242

Persistent link: https://www.econbiz.de/10012135904

Modelling time-variation in the stock return-dividend yield predictive equation

McMillan, David G. - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 273-302

Persistent link: https://www.econbiz.de/10010516099

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

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Forecasting stock returns : do commodity prices help?

Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639

Persistent link: https://www.econbiz.de/10011282841

Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement

McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101

Persistent link: https://www.econbiz.de/10010529621