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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
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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
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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
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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
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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
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Intraday euro exchange rates and international macroeconomic announcements
Evans, Kevin P.; Speight, Alan E. H. - In: The European journal of finance 17 (2011) 1/2, pp. 83-110
Persistent link: https://www.econbiz.de/10009155460
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Recent developments in the modelling of financial market volatility
Speight, Alan E. H.; Gower, Craig P. - In: Future of economic science, (pp. 497-512). 2009
Persistent link: https://www.econbiz.de/10009613558
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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
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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
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Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 16 (2006) 13, pp. 959-972
Persistent link: https://www.econbiz.de/10003377850