All Stories

  1. Financial data science: the birth of a new financial research paradigm complementing econometrics?

    Article • European Journal of Finance, September 2019, Taylor & Francis

    Professor David G McMillan

  2. Rational functions: an alternative approach to asset pricing

    Article • Applied Economics, November 2018, Taylor & Francis

    Professor David G McMillan, Mohammed Elgammal

  3. INFORMATION TRANSMISSION ACROSS EUROPEAN EQUITY MARKETS DURING CRISIS PERIODS

    Article • Manchester School, August 2018, Wiley

    Professor David G McMillan

  4. Insider trading and future stock returns in firms with concentrated ownership levels

    Article • European Journal of Finance, June 2018, Taylor & Francis

    Professor David G McMillan

  5. Conditional volatility nexus between stock markets and macroeconomic variables

    Article • International Journal of Operations & Production Management, January 2018, Emerald

    Professor David G McMillan, Ghulam Abbas

  6. Stock return predictability: the role of inflation and threshold dynamics

    Article • International Review of Applied Economics, November 2016, Taylor & Francis

    Professor David G McMillan

  7. Spillovers between output and stock prices: a wavelet approach

    Article • Studies in Economics and Finance, October 2016, Emerald

    Dr Aviral Kumar Tiwari, Professor David G McMillan

  8. Stock returns and volatility dynamics in China

    Article • China Finance Review International, May 2015, Emerald

    Professor David G McMillan

  9. Portfolio constituency rules and the value premium in the small-cap space

    Article • Managerial Finance, May 2015, Emerald

    Professor David G McMillan

  10. Cointegration between stock prices, dividends, output and consumption

    Article • Review of Accounting and Finance, February 2015, Emerald

    Professor David G McMillan

  11. Non-parametric estimation of copula parameters: testing for time-varying correlation

    Article • Studies in Nonlinear Dynamics & Econometrics, January 2015, De Gruyter

    Professor David G McMillan

  12. U.S. Bank Market Structure: Evolving Nature and Implications

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor David G McMillan

  13. Forecasting Stock Returns: Do Commodity Prices Help?

    Article • Journal of Forecasting, October 2014, Wiley

    Professor David G McMillan

  14. The dependence structure in credit risk between money and derivatives markets

    Article • Managerial Finance, July 2014, Emerald

    Professor David G McMillan

  15. Forecasting Stock Returns: Do Commodity Prices Help?

    Article • SSRN Electronic Journal, January 2014, Elsevier

    Professor David G McMillan

  16. What drives the premium labour model, beta instability risk or human capital?

    Article • Managerial Finance, October 2013, Emerald

    Professor David G McMillan

  17. The relationship between temperature and CO2emissions: evidence from a short and very long dataset

    Article • Applied Economics, September 2013, Taylor & Francis

    Professor David G McMillan

  18. Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

    Article • Oxford Bulletin of Economics and Statistics, June 2013, Wiley

    Professor Stuart James Hyde, Professor David G McMillan

  19. Consumption and stock prices: Evidence from a small international panel

    Article • Journal of Macroeconomics, June 2013, Elsevier

    Professor David G McMillan

  20. UK stock market predictability: evidence of time variation

    Article • Applied Financial Economics, June 2013, Taylor & Francis

    Professor David G McMillan

  21. Time varying stock return predictability: Evidence from US sectors

    Article • Finance Research Letters, March 2013, Elsevier

    Professor David G McMillan

  22. Dynamic capital structure adjustment: US MNCs & DCs

    Article • Journal of Multinational Financial Management, December 2012, Elsevier

    Professor David G McMillan

  23. Output and stock prices: an examination of the relationship over 200 years

    Article • Applied Financial Economics, October 2012, Taylor & Francis

    Professor David G McMillan

  24. Short-sale constraints and efficiency of the spot–futures dynamics

    Article • International Review of Financial Analysis, September 2012, Elsevier

    Professor David G McMillan

  25. Insider employee stock option trading and stock prices

    Article • European Journal of Finance, June 2012, Taylor & Francis

    Professor David G McMillan

  26. A PANEL ANALYSIS OF THE STOCK RETURN-DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH*

    Article • Manchester School, April 2012, Wiley

    Professor David G McMillan

  27. Insider trading and stock prices

    Article • International Review of Economics & Finance, April 2012, Elsevier

    Professor David G McMillan

  28. The search for an exploitable value premium in market indexes

    Article • Journal of Asset Management, March 2012, Nature

    Professor David G McMillan

  29. Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR

    Article • International Review of Applied Economics, January 2012, Taylor & Francis

    Professor David G McMillan

  30. Contemporary issues in financial institutions and markets

    Article • European Journal of Finance, November 2011, Taylor & Francis

    Professor David G McMillan

  31. Does Information Help Intra-Day Volatility Forecasts?

    Article • Journal of Forecasting, August 2011, Wiley

    Professor David G McMillan

  32. Structural breaks in volatility: the case of UK sector returns

    Article • Applied Financial Economics, August 2011, Taylor & Francis

    Professor David G McMillan

  33. Sum of the parts stock return forecasting: international evidence

    Article • Applied Financial Economics, June 2011, Taylor & Francis

    Professor David G McMillan

  34. Does the BEYR help predict UK sector returns?

    Article • Journal of Asset Management, May 2011, Nature

    Professor David G McMillan

  35. PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK*

    Article • Manchester School, April 2011, Wiley

    Professor David G McMillan

  36. Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?

    Article • Journal of Forecasting, March 2011, Wiley

    Professor David G McMillan

  37. Evaluating Stock Index Return Value-at-Risk Estimates in South Africa: Comparative Evidence for Symmetric, Asymmetric and Long Memory GARCH Models

    Article • Journal of Emerging Market Finance, December 2010, SAGE Publications

    Professor David G McMillan

  38. An analysis of the time series properties of the UKex-postreal interest rate: fractional integration, breaks or nonlinear

    Article • Applied Financial Economics, November 2010, Taylor & Francis

    Professor David G McMillan

  39. Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium

    Article • Journal of International Financial Markets Institutions and Money, October 2010, Elsevier

    Professor David G McMillan

  40. Bubbles in UK house prices: evidence from ESTR models

    Article • International Review of Applied Economics, July 2010, Taylor & Francis

    Professor David G McMillan

  41. Persistence and time-varying coefficients

    Article • Economics Letters, July 2010, Elsevier

    Professor David G McMillan

  42. Level‐shifts and non‐linearity in US financial ratios

    Article • Review of Accounting and Finance, May 2010, Emerald

    Professor David G McMillan

  43. Return and volatility spillovers in three euro exchange rates

    Article • Journal of Economics and Business, March 2010, Elsevier

    Professor David G McMillan

  44. Correlations and spillovers among three euro rates: evidence using realised variance

    Article • European Journal of Finance, January 2010, Taylor & Francis

    Professor David G McMillan

  45. The value premium and economic activity: Long-run evidence from the United States

    Article • Journal of Asset Management, December 2009, Nature

    Professor David G McMillan

  46. Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence

    Article • Journal of Business Finance &amp Accounting, November 2009, Wiley

    Professor David G McMillan

  47. The efficiency of African equity markets

    Article • Studies in Economics and Finance, October 2009, Emerald

    Professor David G McMillan

  48. The confusing time-series behaviour of real exchange rates: Are asymmetries important?

    Article • Journal of International Financial Markets Institutions and Money, October 2009, Elsevier

    Professor David G McMillan

  49. Are share prices still too high?

    Article • Research in International Business and Finance, September 2009, Elsevier

    Professor David G McMillan

  50. Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model

    Article • The Quarterly Review of Economics and Finance, August 2009, Elsevier

    Professor David G McMillan

  51. Are RiskMetrics forecasts good enough? Evidence from 31 stock markets

    Article • International Review of Financial Analysis, June 2009, Elsevier

    Professor David G McMillan

  52. Asymmetric return patterns: evidence from 33 international stock market indices

    Article • Applied Economics Letters, May 2009, Taylor & Francis

    Professor David G McMillan

  53. Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices

    Article • The Quarterly Review of Economics and Finance, May 2009, Elsevier

    Professor David G McMillan

  54. Non-linear predictability in stock and bond returns: When and where is it exploitable?

    Article • International Journal of Forecasting, April 2009, Elsevier

    Professor Stuart James Hyde, Professor David G McMillan

  55. Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries

    Article • Journal of International Financial Markets Institutions and Money, April 2009, Elsevier

    Professor David G McMillan

  56. Intra-day volatility forecasts

    Article • Applied Financial Economics, April 2009, Taylor & Francis

    Professor David G McMillan

  57. Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates

    Article • International Journal of Finance & Economics, April 2009, Wiley

    Professor David G McMillan

  58. Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited

    Article • Journal of Futures Markets, March 2009, Wiley

    Dr Numan Ulku, Professor David G McMillan

  59. Stock return predictability and dividend-price ratio: a nonlinear approach

    Article • International Journal of Finance & Economics, January 2009, Wiley

    Professor David G McMillan

  60. ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA

    Article • Bulletin of Economic Research, January 2009, Wiley

    Professor David G McMillan

  61. Financial co-movement and correlation: evidence from 33 international stock market indices

    Article • International Journal of Banking Accounting and Finance, January 2009, Inderscience Publishers

    Professor David G McMillan

  62. Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality

    Article • International Journal of Financial Markets and Derivatives, January 2009, Inderscience Publishers

    Professor David G McMillan

  63. How useful is intraday data for evaluating daily Value-at-Risk?

    Article • Journal of Multinational Financial Management, December 2008, Elsevier

    Professor David G McMillan

  64. Efficiency of the South African equity market

    Article • Applied Financial Economics Letters, September 2008, Taylor & Francis

    Professor David G McMillan

  65. Dividends, prices and the present value model: firm-level evidence

    Article • European Journal of Finance, April 2008, Taylor & Francis

    Professor David G McMillan

  66. Long-memory in high-frequency exchange rate volatility under temporal aggregation

    Article • Quantitative Finance, April 2008, Taylor & Francis

    Professor David G McMillan

  67. Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates

    Article • Empirical Economics, January 2008, Springer Science + Business Media

    Professor David G McMillan

  68. Efficiency of the IBEX spot–futures basis: The impact of the mini-futures

    Article • Journal of Futures Markets, January 2008, Wiley

    Professor David G McMillan

  69. Structural breaks in financial ratios: evidence for nine international markets

    Article • Applied Financial Economics Letters, November 2007, Taylor & Francis

    Professor David G McMillan

  70. Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence

    Article • Applied Financial Economics, November 2007, Taylor & Francis

    Professor David G McMillan

  71. Weekly volatility forecasts with applications to risk management

    Article • The Journal of Risk Finance, May 2007, Emerald

    Professor David G McMillan

  72. Non-linear long horizon returns predictability: evidence from six south-east Asian markets

    Article • Asia-Pacific Financial Markets, May 2007, Springer Science + Business Media

    Professor David G McMillan

  73. Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model

    Article • Journal of Banking & Finance, March 2007, Elsevier

    Professor David G McMillan

  74. Are international value premiums driven by the same set of fundamentals?

    Article • International Review of Economics & Finance, January 2007, Elsevier

    Professor David G McMillan

  75. Non-linear forecasting of stock returns: Does volume help?

    Article • International Journal of Forecasting, January 2007, Elsevier

    Professor David G McMillan

  76. Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

    Article • Asia-Pacific Financial Markets, December 2006, Springer Science + Business Media

    Professor David G McMillan

  77. “This Is History”: Nation and Experience in Times of Crisis—Argentina 2001

    Article • History and Anthropology, September 2006, Taylor & Francis

    Professor David G McMillan

  78. Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market

    Article • Applied Financial Economics, September 2006, Taylor & Francis

    Professor David G McMillan

  79. Dividend smoothing vs dividend signalling: evidence from UK firms

    Article • Managerial Finance, June 2006, Emerald

    Professor David G McMillan

  80. The price–dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model

    Article • Economics Letters, June 2006, Elsevier

    Professor David G McMillan

  81. Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data

    Article • Applied Financial Economics Letters, March 2006, Taylor & Francis

    Professor David G McMillan

  82. Do firm sizes and profit rates converge? Evidence on Gibrat's Law and the persistence of profits in the long run

    Article • Applied Economics, February 2006, Taylor & Francis

    Professor David G McMillan

  83. Asymmetric risk premium in value and growth stocks

    Article • International Review of Financial Analysis, January 2006, Elsevier

    Professor David G McMillan

  84. Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data

    Article • Journal of Futures Markets, January 2006, Wiley

    Professor David G McMillan

  85. Volatility dynamics and heterogeneous markets

    Article • International Journal of Finance & Economics, January 2006, Wiley

    Professor David G McMillan

  86. Cointegrating behaviour between spot and forward exchange rates

    Article • Applied Financial Economics, November 2005, Taylor & Francis

    Professor David G McMillan

  87. Time-varying hedge ratios for non-ferrous metals prices

    Article • Resources Policy, September 2005, Elsevier

    Professor David G McMillan

  88. Smooth-transition error-correction in exchange rates

    Article • The North American Journal of Economics and Finance, August 2005, Elsevier

    Professor David G McMillan

  89. Is non-linearity a permanent feature? Evidence from recursive and rolling estimation

    Article • Applied Financial Economics Letters, July 2005, Taylor & Francis

    Professor David G McMillan

  90. Time variation in the cointegrating relationship between stock prices and economic activity

    Article • International Review of Applied Economics, July 2005, Taylor & Francis

    Professor David G McMillan

  91. Non-linear dynamics in international stock market returns

    Article • Review of Financial Economics, January 2005, Elsevier

    Professor David G McMillan

  92. Threshold adjustment in spot-futures metals prices

    Article • Applied Financial Economics Letters, January 2005, Taylor & Francis

    Professor David G McMillan

  93. Daily volatility forecasts: reassessing the performance of GARCH models

    Article • Journal of Forecasting, September 2004, Wiley

    Professor David G McMillan

  94. Non-Linear Error Correction: Evidence for UK Interest Rates

    Article • Manchester School, September 2004, Wiley

    Professor David G McMillan

  95. Long run trends and volatility spillovers in daily exchange rates

    Article • Applied Financial Economics, August 2004, Taylor & Francis

    Professor David G McMillan

  96. Nonlinear predictability of short-run deviations in UK stock market returns

    Article • Economics Letters, August 2004, Elsevier

    Professor David G McMillan

  97. The inflation/output variability trade-off: further evidence

    Article • Applied Economics Letters, May 2004, Taylor & Francis

    Professor David G McMillan

  98. Non‐linear Predictability of Value and Growth Stocks and Economic Activity

    Article • Journal of Business Finance &amp Accounting, April 2004, Wiley

    Professor David G McMillan

  99. Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

    Article • Applied Financial Economics, February 2004, Taylor & Francis

    Professor David G McMillan

  100. Non-linear Predictability of UK Stock Market Returns*

    Article • Oxford Bulletin of Economics and Statistics, December 2003, Wiley

    Professor David G McMillan

  101. Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

    Article • Applied Financial Economics, January 2003, Taylor & Francis

    Professor David G McMillan

  102. Return-volume dynamics in UK futures

    Article • Applied Financial Economics, October 2002, Taylor & Francis

    Professor David G McMillan

  103. Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market

    Article • Journal of Futures Markets, September 2002, Wiley

    Professor David G McMillan

  104. Non-linear dependence in inter-war exchange rates: some further evidence

    Article • Applied Economics Letters, May 2002, Taylor & Francis

    Professor David G McMillan

  105. Temporal aggregation, volatility components and volume in high frequency UK bond futures

    Article • European Journal of Finance, March 2002, Taylor & Francis

    Professor David G McMillan

  106. Interest rate spread and real activity: evidence for the UK

    Article • Applied Economics Letters, February 2002, Taylor & Francis

    Professor David G McMillan

  107. Cointegration and predictability in prereform east European black-market exchange rates

    Article • Applied Economics Letters, December 2001, Taylor & Francis

    Professor David G McMillan

  108. Nonlinear error correction in spot and forward exchange rates

    Article • Review of World Economics, December 2001, Springer Science + Business Media

    Professor David G McMillan

  109. Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

    Article • International Review of Economics & Finance, December 2001, Elsevier

    Professor David G McMillan

  110. Common stochastic volatility trend in European exchange rates

    Article • Applied Economics Letters, September 2001, Taylor & Francis

    Professor David G McMillan

  111. Non-ferrous metals price volatility: a component analysis

    Article • Resources Policy, September 2001, Elsevier

    Professor David G McMillan

  112. Volatility spillovers in East European black-market exchange rates

    Article • Journal of International Money and Finance, June 2001, Elsevier

    Professor David G McMillan

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

    Article • Applied Financial Economics, April 2001, Taylor & Francis

    Professor David G McMillan

  114. Forecasting UK stock market volatility

    Article • Applied Financial Economics, August 2000, Taylor & Francis

    Professor David G McMillan

  115. The intraday relationship between volume and volatility in LIFFE futures markets

    Article • Applied Financial Economics, December 1999, Taylor & Francis

    Professor David G McMillan

  116. Modelling the risk premium in the black-market zloty-dollar exchange rate

    Article • Applied Economics Letters, April 1999, Taylor & Francis

    Professor David G McMillan

  117. The “stylised facts” of the UK business cycle: a reappraisal

    Article • International Journal of Operations & Production Management, October 1998, Emerald

    Professor David G McMillan

  118. Asymmetric volatility in industrial production: some international evidence

    Article • Applied Economics Letters, June 1998, Taylor & Francis

    Professor David G McMillan

  119. Are there asymmetries in UK consumption? A closer look

    Article • Applied Economics Letters, April 1997, Taylor & Francis

    Professor David G McMillan

  120. Predicting Stock Returns: Historical Mean vs. Dividend Yield

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan

  121. Forecasting Stock Returns: Does Switching Between Models Help?

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan

  122. Evidence of Hidden Inflation in Zimbabwe

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan