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Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

Volatility spillovers in east European black-market exchange rates

Speight, Alan E. H.; McMillan, David G. - In: Journal of international money and finance 20 (2001) 3, pp. 367-378

Persistent link: https://www.econbiz.de/10001580072

Nonlinearities in the black market zloty-dollar exchange rate : some further evidence

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 11 (2001) 2, pp. 209-220

Persistent link: https://www.econbiz.de/10001563379

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

Long run trends and volatility spillovers in daily exchange rates

Black, Angela J.; McMillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895-907

Persistent link: https://www.econbiz.de/10002150770

Forward Premium Anomaly Resolved

Chakraborty, Nilanjana; Elgammal, Mohammed; McMillan, … - 2022

This paper propounds that the Forward Premium Anomaly (FPA) arises due to misspecification in the extant empirical models, where ratios of the concerned variables are studied instead of their levels themselves. We study these variables directly instead of their ratios for 22 currency pairs from...

Persistent link: https://www.econbiz.de/10013492365

Nonlinear error correction in spot and forward exchange rates

McMillan, David G.; Black, Angela J. - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 4, pp. 738-750

Persistent link: https://www.econbiz.de/10001634496

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

Forecasting exchange rates : non-linear adjustment and time-varying equilibrium

Grossmann, Axel; McMillan, David G. - In: Journal of international financial markets, … 20 (2010) 4, pp. 436-450

Persistent link: https://www.econbiz.de/10009260246

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