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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

Temporal aggregation, volatility components and volume in high frequency UK bond futures

McMillan, David G.; Speight, Alan E. H. - In: The European journal of finance 8 (2002) 1, pp. 70-92

Persistent link: https://www.econbiz.de/10001636185

Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality

McMillan, David G.; Ruiz, Isabel - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 64-74

Persistent link: https://www.econbiz.de/10003984988

Dynamic linkages in credit risk : modeling the time-varying correlation between the money and derivatives markets over the crisis period

Wu, Weiou; McMillan, David G. - In: Journal of risk 16 (2013) 2, pp. 51-59

Persistent link: https://www.econbiz.de/10010237929

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

McMillan, David G.; Ruiz, Isabel; Speight, Alan E. H. - In: The European journal of finance 16 (2010) 8, pp. 753-767

Persistent link: https://www.econbiz.de/10008759337

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