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~person:"McMillan, David G."
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Volatility
68
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McMillan, David G.
McAleer, Michael
376
Caporale, Guglielmo Maria
304
Gupta, Rangan
302
Bollerslev, Tim
155
Chang, Chia-Lin
142
Diebold, Francis X.
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Pierdzioch, Christian
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133
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112
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111
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111
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105
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105
Ma, Feng
100
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98
Zaremba, Adam
97
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94
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91
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89
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84
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83
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82
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81
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81
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78
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77
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76
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76
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75
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75
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74
Todorov, Viktor
70
Caballero, Ricardo J.
69
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69
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68
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Applied financial economics
11
Journal of international financial markets, institutions & money
4
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3
Research in international business and finance
3
The European journal of finance
3
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3
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ECONIS (ZBW)
98
EconStor
2
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1
Asymmetric risk premium in value and growth stocks
Black, Angela J.
;
McMillan, David G.
- In:
International review of financial analysis
15
(
2006
)
3
,
pp. 237-246
Persistent link: https://www.econbiz.de/10003348583
Saved in:
2
Financial co-movement and correlation : evidence from 33 international stock market indices
Evans, Twm
;
McMillan, David G.
- In:
International journal of banking, accounting and finance
1
(
2008
)
3
,
pp. 215-241
Persistent link: https://www.econbiz.de/10003838060
Saved in:
3
Asymmetric return patterns : evidence from 33 international stock market indices
Evans, Twm
;
McMillan, David G.
- In:
Applied economics letters
16
(
2009
)
7/9
,
pp. 775-779
Persistent link: https://www.econbiz.de/10003854963
Saved in:
4
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
Saved in:
5
Volatility
forecasts : the role of asymmetric and long-memory dynamics and regional evidence
Evans, Twm
;
McMillan, David G.
- In:
Applied financial economics
17
(
2007
)
16/18
,
pp. 1421-1430
Persistent link: https://www.econbiz.de/10003605849
Saved in:
6
Volatility
persistence, long memory and structural breaks in an emerging equity market : the case of South Africa
McMillan, David G.
;
Thupayagale, Pako
- In:
Asian African journal of economics and econometrics
10
(
2010
)
2
,
pp. 297-310
Persistent link: https://www.econbiz.de/10009007476
Saved in:
7
Is there an ideal in-sample length for forecasting
volatility
?
Kambouroudis, Dimos S.
;
McMillan, David G.
- In:
Journal of international financial markets, …
37
(
2015
),
pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
Saved in:
8
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
Saved in:
9
Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq
-
2018
model specifications,
volatility
effects and other robustness considerations continue to support our results. These results …
Persistent link: https://www.econbiz.de/10012919223
Saved in:
10
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
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