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Do artificial neural networks provide improved volatility forecasts : evidence from Asian markets

Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 723-762

Persistent link: https://www.econbiz.de/10014380680

Expected profitability, the 52-week high and the idiosyncratic volatility puzzle

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648

Persistent link: https://www.econbiz.de/10014387954

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

Lottery stocks in the UK : evidence, characteristics and cause

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: International journal of banking, accounting and … 14 (2024) 1, pp. 58-96

Persistent link: https://www.econbiz.de/10015057209

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

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

The behaviour of the equity yield and its relation with the bond yield : the role of inflation

McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Persistent link: https://www.econbiz.de/10011963922