David G. McMillan

11 published titles

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

1 edition

Intra-day volatility components in FTSE-100 stock index futures

1 edition

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

1 edition

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

1 edition

Return-volume dynamics in UK futures

1 edition

Long run trends, business cycle components and volatility spillovers in daily exchange rates : evidence for G7 exchange rates

(Contributor)

1 edition

On the persistence of output fluctuations in high technology sectors

(Contributor)

1 edition

Non-ferrous metals price volatility : a component analysis of daily LME settlement price data

1 edition

Cointegrating relationships between stock market indices and economic activity : evidence from U.S. data

1 edition

Non-linear error correction in spot and forward exchange rates

1 edition

Non-linear predictability of stock market returns : evidence from non-parametric and threshold models

1 edition