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Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

Forecasting realised volatility : does the LASSO approach outperform HAR?

Ding, Yi; Kambouroudis, Dimos; McMillan, David G. - In: Journal of international financial markets, … 74 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012803163

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

Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473523

Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1517-1537

Persistent link: https://www.econbiz.de/10014253685

Cross-border exchanges and volatility forecasting

Goyal, Abhinav; Kallinterakis, Vasileios; Kambouroudis, … - In: Quantitative finance 18 (2018) 5, pp. 789-799

Persistent link: https://www.econbiz.de/10011907940

Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 13 (2003) 8, pp. 599-607

Persistent link: https://www.econbiz.de/10001770840

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

Daily volatility forecasts : reassessing the performance of GARCH models

McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460

Persistent link: https://www.econbiz.de/10002233160

Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 14 (2004) 4, pp. 253-263

Persistent link: https://www.econbiz.de/10001939280

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

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223