David G. McMillan

Available identifiers

Publication	Date of Publication	Type
Non-parametric estimation of copula parameters: testing for time-varying correlation	2023-03-07	Paper
Forecasting Stock Returns: Does Switching Between Models Help?	2018-12-13	Paper
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?	2018-10-11	Paper
Does Information Help Intra‐Day Volatility Forecasts?	2018-10-11	Paper
Predicting Stock Returns	2018-04-24	Paper
ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA	2009-08-28	Paper
Long-memory in high-frequency exchange rate volatility under temporal aggregation	2008-05-22	Paper
Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility	2007-02-16	Paper

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