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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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Forecasting UK stock market volatility
McMillan, David G.; Speight, Alan E. H.; Ap Gwilym, Owain - In: Applied financial economics 10 (2000) 4, pp. 435-448
Persistent link: https://www.econbiz.de/10001526630
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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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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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Non-linear long horizon returns predictability : evidence from six South-East Asian markets
McMillan, David G.; Speight, Alan E. H. - In: Asia-Pacific financial markets 13 (2006) 2, pp. 95-111
Persistent link: https://www.econbiz.de/10003496767