Professor in Finance
Accounting & Finance University of Stirling, Stirling, FK9 4LA
I obtained a PhD from the University of Swansea in 1998. I have held positions in the Universities of Aberdeen, Durham and St Andrews.
Over-Arching Theme of Empirical Finance: Especially time-series modelling and the investigation of non-linear dynamics within data. Work includes the use of data on stock markets, futures and forward markets, interest rates and exchange rates (nominal and real). Do non-linear models provide better forecasts, and the implication for efficiency, both in terms of profit making, and whether prices reflect their fair value, for example, the relationship between prices and dividends, and arbitrage relationship in spot and future and interest rate dynamics.Modelling and Forecasting Volatility and Realised Volatility: especially the use of intra-day data and the implications for risk management and whether academic models provide superior performance in the areas of hedging and VaR calculation.Predicting Stock Returns and the Relationship between Macroeconomic and Financial Data: examining the nature of the predictive equation and its implications for asset pricing. What economic variables help explain predictability.
Expected Stock Returns and Asset Pricing
PI: Professor David McMillan
Funded by: Qatar National Research Fund
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Liquidity, Microstructure and Regulation.
PI: Professor David McMillan
Funded by: The Carnegie Trust
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Article
The diminishing lustre: Gold's market volatility and the fading safe haven effect
Faraj H, McMillan D & Al-Sabah M (2025) The diminishing lustre: Gold's market volatility and the fading safe haven effect. Global Finance Journal, 67, Art. No.: 101145. https://doi.org/10.1016/j.gfj.2025.101145
Article
Forecasting realised volatility using regime-switching models
Ding Y, Kambouroudis D & McMillan DG (2025) Forecasting realised volatility using regime-switching models. International Review of Economics and Finance, 101, Art. No.: 104171. https://doi.org/10.1016/j.iref.2025.104171
Article
The Predictive Power of the Oil Variance Risk Premium
McMillan D & Ziadat S (2025) The Predictive Power of the Oil Variance Risk Premium. Resources Policy, 103, Art. No.: 105550. https://doi.org/10.1016/j.resourpol.2025.105550
Article
Macroeconomic determinants of the stock market: A comparative study of Anglosphere and BRICS
Humpe A, McMillan DG & Schöttl A (2025) Macroeconomic determinants of the stock market: A comparative study of Anglosphere and BRICS. Finance Research Letters, 75, Art. No.: 106869. https://doi.org/10.1016/j.frl.2025.106869
Article
The FED Model: Is it Still With Us?
McMillan D (2025) The FED Model: Is it Still With Us?. North American Journal of Economics and Finance.
Article
McMillan D, Kambouroudis D & Huang R (2025) Is Portfolio Diversification Still Effective: Evidence Spanning Three Crises from the Perspective of U.S. Investors. Journal of Asset Management.
Article
Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers
McMillan D (2024) Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers. Journal of Forecasting. https://doi.org/10.1002/for.3219
Article
Khasawneh M, McMillan D & Kambouroudis D (2024) Left-Tail Risk and UK Stock Return Predictability: Underreaction, Overreaction, and Arbitrage Difficulties. International Review of Financial Analysis, 95 (A), Art. No.: 103333. https://doi.org/10.1016/j.irfa.2024.103333
Article
Oil price shocks and stock-bond correlation
Ziadat SA, Al Rababa'a ARA, Rehman M & McMillan D (2023) Oil price shocks and stock-bond correlation. North American Journal of Economics and Finance, 68, Art. No.: 101989. https://doi.org/10.1016/j.najef.2023.101989
Article
Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?
McMillan D (2023) Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?. International Journal of Finance and Economics.
Article
Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets
Korkusuz B, Kambouroudis D & McMillan DG (2023) Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. Finance Research Letters. https://doi.org/10.1016/j.frl.2023.103992
Article
Do Financial Markets Predict Macroeconomic Performance? Evidence from Risk-Based Measures
McMillan D (2023) Do Financial Markets Predict Macroeconomic Performance? Evidence from Risk-Based Measures. Manchester School.
Article
Do Artificial Neural Networks Provide Improved Volatility Forecasts: Evidence from Asian Markets
McMillan D, Kambouroudis D & Sahiner M (2023) Do Artificial Neural Networks Provide Improved Volatility Forecasts: Evidence from Asian Markets. Journal of Economics and Finance.
Article
Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Khasawneh M, McMillan D & Kambouroudis D (2022) Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle. European Journal of Finance. https://doi.org/10.1080/1351847X.2022.2144401
Article
Rababa’a ARA, Alomari M, Rehman MU, McMillan D & Hendawi R (2022) Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management. Research in International Business and Finance, 61, Art. No.: 101664. https://doi.org/10.1016/j.ribaf.2022.101664
Article
Korkusuz B, McMillan D & Kambouroudis D (2022) Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets. Empirical Economics. https://doi.org/10.1007/s00181-022-02290-w
Article
Lottery Stocks in the UK: Evidence, Characteristics and Cause
McMillan D, Kambouroudis D & Khasawneh M (2022) Lottery Stocks in the UK: Evidence, Characteristics and Cause. International Journal of Banking, Accounting and Finance.
Article
Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets
Ziadat SA & McMillan D (2022) Oil-Stock Nexus: The Role of Oil Shocks for GCC Markets. Studies in Economics and Finance. https://doi.org/10.1108/SEF-12-2021-0529
Newspaper Article
Inflation: there's a vital way to reduce it that everyone overlooks - raise productivity
McMillan D (2022) Inflation: there's a vital way to reduce it that everyone overlooks - raise productivity. The Conversation. 27.05.2022.
Article
Ziadat SA, McMillan D & Herbst P (2022) Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. Resources Policy, 75, Art. No.: 102461. https://doi.org/10.1016/j.resourpol.2021.102461
Article
The Time-Varying Relation between Stock Returns and Monetary Variables
McMillan DG (2022) The Time-Varying Relation between Stock Returns and Monetary Variables. Journal of Risk and Financial Management, 15 (1), Art. No.: 9. https://doi.org/10.3390/jrfm15010009
Article
The Predictive Ability Of Stock Market Factors
Elgammal M, Ahmed F & McMillan D (2022) The Predictive Ability Of Stock Market Factors. Studies in Economics and Finance, 39 (1), pp. 111-124. https://doi.org/10.1108/SEF-01-2021-0010
Article
Forecasting U.S. Stock Returns
McMillan D (2021) Forecasting U.S. Stock Returns. European Journal of Finance, 27 (1-2), pp. 86-109. https://doi.org/10.1080/1351847X.2020.1719175
Article
Hoepner AGF, McMillan D, Vivian A & Wese Simen C (2021) Significance, relevance and explainability in the machine learning age: an econometrics and financial data science perspective. European Journal of Finance, 27 (1-2), pp. 1-7. https://doi.org/10.1080/1351847X.2020.1847725
Article
Multiscale Stock-Bond Correlation: Implications for Risk Management
Alrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435
Article
Kambouroudis D, McMillan D & Tsakou K (2021) Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, 41 (10), pp. 1618-1639. https://doi.org/10.1002/fut.22241
Article
Capital Structure and Political Connections: Evidence from GCC Banks and the Financial Crisis
McMillan D & Ahmed F (2021) Capital Structure and Political Connections: Evidence from GCC Banks and the Financial Crisis. International Journal of Emerging Markets. https://doi.org/10.1108/IJOEM-03-2020-0261
Article
Forecasting Realised Volatility: Does the LASSO approach outperform HAR?
Ding Y, Kambouroudis D & McMillan D (2021) Forecasting Realised Volatility: Does the LASSO approach outperform HAR?. Journal of International Financial Markets, Institutions and Money, 74, Art. No.: 101386. https://doi.org/10.1016/j.intfin.2021.101386
Article
Predicting GDP Growth with Stock and Bond Markets: Do They Contain Different Information?
McMillan D (2021) Predicting GDP Growth with Stock and Bond Markets: Do They Contain Different Information?. International Journal of Finance and Economics, 26 (3), pp. 3651-3675. https://doi.org/10.1002/ijfe.1980
Article
Forecasting Sector Stock Market Returns
McMillan D (2021) Forecasting Sector Stock Market Returns. Journal of Asset Management, 22 (5), pp. 291-300. https://doi.org/10.1057/s41260-021-00220-6
Article
When and Why Do Stock and Bond Markets Predict US Economic Growth?
McMillan D (2021) When and Why Do Stock and Bond Markets Predict US Economic Growth?. Quarterly Review of Economics and Finance, 80, pp. 331-343. https://doi.org/10.1016/j.qref.2021.03.004
Article
The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC
McMillan D, Ziadat S & Herbst P (2021) The Role of Oil as a Determinant of Stock Market Interdependence: The Case of the USA and GCC. Energy Economics, 95, Art. No.: 105102. https://doi.org/10.1016/j.eneco.2021.105102
Article
Exchange rate volatility in the eurozone
Bajo-Rubio O, Berke B & McMillan D (2020) Exchange rate volatility in the eurozone. Economics, 14 (2020-5), pp. 1-23. https://doi.org/10.5018/economics-ejournal.ja.2020-5
Article
Is There a Risk and Return Relation?
McMillan D, Fifield S & McMillan F (2020) Is There a Risk and Return Relation?. European Journal of Finance, 26 (11), pp. 1075-1101. https://doi.org/10.1080/1351847X.2020.1724551
Article
The Information Content of US Stock Market Factors
McMillan D, Elgammal M & Ahmed F (2020) The Information Content of US Stock Market Factors. Studies in Economics and Finance, 37 (2), pp. 323-346. https://doi.org/10.1108/SEF-10-2019-0385
Article
The Covid-19 Stock Market Puzzle and Money Supply in the US
Humpe A & McMillan D (2020) The Covid-19 Stock Market Puzzle and Money Supply in the US. Economics Bulletin, 40 (4), pp. 3104-3110. http://www.accessecon.com/pubs/eb/default.aspx?topic=Abstract&PaperID=EB-20-00803
Article
Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan DG (2020) Explaining the stock-stock, bond-bond and stock-bond correlation across countries. International Journal of Monetary Economics and Finance, 13 (5), pp. 429-445. https://doi.org/10.1504/IJMEF.2020.110553
Article
Humpe A & McMillan DG (2020) Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries. Cogent Economics and Finance, 8, Art. No.: 1816257. https://doi.org/10.1080/23322039.2020.1816257
Article
Inter- and Intra-Regional Stock Market Relations for the GCC Bloc
Ziadat S, Herbst P & McMillan D (2020) Inter- and Intra-Regional Stock Market Relations for the GCC Bloc. Research in International Business and Finance, 54, Art. No.: 101292. https://doi.org/10.1016/j.ribaf.2020.101292
Article
Stock returns, illiquidity and feedback trading
Chen J & McMillan DG (2020) Stock returns, illiquidity and feedback trading. Review of Accounting and Finance, 19 (2), pp. 135-145. https://doi.org/10.1108/RAF-02-2017-0024
Article
Interrelation and Spillover Effects between Stocks and Bonds: Cross-Market and Cross-Asset Evidence
McMillan D (2020) Interrelation and Spillover Effects between Stocks and Bonds: Cross-Market and Cross-Asset Evidence. Studies in Economics and Finance, 37 (3), pp. 561-582. https://doi.org/10.1108/SEF-08-2019-0330
Newspaper Article
Five graphs that show how uncertain markets are about the coronavirus recovery
McMillan D (2020) Five graphs that show how uncertain markets are about the coronavirus recovery. The Conversation. 28.07.2020.
Article
Financial data science: the birth of a new financial research paradigm complementing econometrics?
Brooks C, Hoepner AGF, McMillan D, Vivian A & Wese Simen C (2019) Financial data science: the birth of a new financial research paradigm complementing econometrics?. European Journal of Finance, 25 (17), pp. 1627-1636. https://doi.org/10.1080/1351847x.2019.1662822
Article
Insider trading and future stock returns in firms with concentrated ownership levels
Chronopoulos DK, McMillan DG, Papadimitriou FI & Tavakoli M (2019) Insider trading and future stock returns in firms with concentrated ownership levels. European Journal of Finance, 25 (2), pp. 139-154. https://doi.org/10.1080/1351847X.2018.1487312
Article
Cross-Asset Relations, Correlations and Economic Implications
McMillan DG (2019) Cross-Asset Relations, Correlations and Economic Implications. Global Finance Journal, 41, pp. 60-78. https://doi.org/10.1016/j.gfj.2019.02.003
Article
Predicting Firm Level Stock Returns: Implications for Asset Pricing and Economic Links
McMillan D (2019) Predicting Firm Level Stock Returns: Implications for Asset Pricing and Economic Links. British Accounting Review, 51 (4), pp. 333-351. https://doi.org/10.1016/j.bar.2019.04.001
Article
Stock Return Predictability: Using the Cyclical Component of the Price Ratio
McMillan D (2019) Stock Return Predictability: Using the Cyclical Component of the Price Ratio. Research in International Business and Finance, 48, pp. 228-242. https://doi.org/10.1016/j.ribaf.2018.12.014
Article
Rational functions: an alternative approach to asset pricing
Chakraborty N, Elgammal MM & McMillan D (2019) Rational functions: an alternative approach to asset pricing. Applied Economics, 51 (20), pp. 2091-2119. https://doi.org/10.1080/00036846.2018.1540848
Article
The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation
McMillan D (2018) The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation. International Journal of Financial Studies, 6 (4), Art. No.: 99. https://doi.org/10.3390/ijfs6040099
Article
Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'
Chen M, Hawkes A, Khashanah K, McMillan D, Rosenbaum M, Scalas E & Yang S (2018) Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'. Quantitative Finance, 18 (2), pp. 191-192. https://doi.org/10.1080/14697688.2018.1404804
Article
Abbas G, McMillan D & Wang S (2018) Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries. Journal of Economic Studies, 45 (1), pp. 77-99. https://doi.org/10.1108/JES-03-2017-0062
Article
The information content of the stock and bond return correlation
McMillan DG (2018) The information content of the stock and bond return correlation. Quantitative Finance and Economics, 2 (3), pp. 757-775. https://doi.org/10.3934/qfe.2018.3.757
Article
Information Transmission across European Equity Markets During Crisis Periods
Chen J, McMillan D & Buckle M (2018) Information Transmission across European Equity Markets During Crisis Periods. Manchester School, 86 (6), pp. 770-788. https://doi.org/10.1111/manc.12226
Article
Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets
Humpe A & McMillan DG (2018) Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets. Journal of Asset Management, 19 (6), pp. 413-428. https://doi.org/10.1057/s41260-018-0091-x
Article
Pecking order and market timing theory in emerging markets: The case of Egyptian firms
Allini A, Rakha S, McMillan D & Caldarelli A (2018) Pecking order and market timing theory in emerging markets: The case of Egyptian firms. Research in International Business and Finance, 44, pp. 297-308. https://doi.org/10.1016/j.ribaf.2017.07.098
Article
Does feedback trading drive returns of cross-listed shares?
Chen J, Dong Y, Hou W & McMillan D (2018) Does feedback trading drive returns of cross-listed shares?. Journal of International Financial Markets, Institutions and Money, 53, pp. 179-199. https://doi.org/10.1016/j.intfin.2017.09.018
Article
Stock return predictability: the role of inflation and threshold dynamics
McMillan D (2017) Stock return predictability: the role of inflation and threshold dynamics. International Review of Applied Economics, 31 (3), pp. 357-375. https://doi.org/10.1080/02692171.2016.1257581
Article
Does money supply growth contain predictive power for stock returns? Evidence and explanation
McMillan D (2017) Does money supply growth contain predictive power for stock returns? Evidence and explanation. International Journal of Banking, Accounting and Finance, 8 (2), pp. 119-145. https://doi.org/10.1504/IJBAAF.2017.087077
Article
The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises
Bajo-Rubio O, Berke B & McMillan D (2017) The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises. Research in International Business and Finance, 41, pp. 577-589. https://doi.org/10.1016/j.ribaf.2017.04.003
Newspaper Article
Why London still shouldn’t worry about losing business to Frankfurt, Paris, or any other EU city
McMillan D (2017) Why London still shouldn’t worry about losing business to Frankfurt, Paris, or any other EU city. The Conversation. 31.08.2017. https://theconversation.com/why-london-still-shouldnt-worry-about-losing-business-to-frankfurt-paris-or-any-other-eu-city-82944
Article
Time-varying correlations and interrelations: Firm-level-based sector evidence
Evans P, McMillan D & McMillan F (2017) Time-varying correlations and interrelations: Firm-level-based sector evidence. Journal of Asset Management, 18 (3), pp. 209-221. https://doi.org/10.1057/s41260-016-0034-3
Article
McMillan D & McMillan F (2017) The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies. Journal of International Financial Markets, Institutions and Money, 47, pp. 103-113. https://doi.org/10.1016/j.intfin.2016.11.004
Article
Kambouroudis DS, McMillan D & Tsakou K (2016) Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal of Futures Markets, 36 (12), pp. 1127-1163. https://doi.org/10.1002/fut.21783
Article
Does VIX or Volume Improve GARCH Volatility Forecasts?
Kambouroudis DS & McMillan D (2016) Does VIX or Volume Improve GARCH Volatility Forecasts?. Applied Economics, 48 (13), pp. 1210-1228. https://doi.org/10.1080/00036846.2015.1096004
Article
Spillovers between output and stock prices: a wavelet approach
McMillan D & Tiwari AK (2016) Spillovers between output and stock prices: a wavelet approach. Studies in Economics and Finance, 33 (4), pp. 625-637. https://doi.org/10.1108/SEF-07-2014-0125
Article
US Bank Market Structure: Evolving Nature and Implications
McMillan D & McMillan F (2016) US Bank Market Structure: Evolving Nature and Implications. Journal of Financial Services Research, 50 (2), pp. 187-210. https://doi.org/10.1007/s10693-015-0225-y
Article
Stock return predictability and market integration: The role of global and local information
McMillan D (2016) Stock return predictability and market integration: The role of global and local information. Cogent Economics and Finance, 4, Art. No.: 1178363. https://doi.org/10.1080/23322039.2016.1178363
Article
Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth
McMillan D (2015) Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth. International Journal of Finance and Economics, 20 (4), pp. 362-373. https://doi.org/10.1002/ijfe.1522
Article
Is there an ideal in-sample length for forecasting volatility?
Kambouroudis DS & McMillan DG (2015) Is there an ideal in-sample length for forecasting volatility?. Journal of International Financial Markets, Institutions and Money, 37, pp. 114-137. https://doi.org/10.1016/j.intfin.2015.02.006
Article
Non-parametric estimation of copula parameters: testing for time-varying correlation
Gong J, Wu W, McMillan D & Shi D (2015) Non-parametric estimation of copula parameters: testing for time-varying correlation. Studies in Nonlinear Dynamics and Econometrics, 19 (1), pp. 93-106. https://doi.org/10.1515/snde-2012-0089
Article
Forecasting Stock Returns: Do Commodities Prices Help?
Black A, Klinkowska O, McMillan D & McMillan F (2014) Forecasting Stock Returns: Do Commodities Prices Help?. Journal of Forecasting, 33 (8), pp. 627-639. https://doi.org/10.1002/for.2314
Article
Insider employee stock option trading and stock prices
McMillan D, Tavakoli M & McKnight PJ (2014) Insider employee stock option trading and stock prices. European Journal of Finance, 20 (1), pp. 59-79. https://doi.org/10.1080/1351847X.2012.670122
Article
Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation
McMillan D (2014) Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation. Financial Markets, Institutions and Instruments, 23 (5), pp. 273-302. https://doi.org/10.1111/fmii.12021
Article
McMillan D (2014) Stock Return, Dividend Growth and Consumption Growth Predictability Across Markets and Time: Implications for stock price movement. International Review of Financial Analysis, 35, pp. 90-101. https://doi.org/10.1016/j.irfa.2014.07.011
Article
Guidolin M, Hyde S, McMillan D & Ono S (2014) Does The Macroeconomy Predict UK Asset Returns In A Nonlinear Fashion? Comprehensive Out-Of-Sample Evidence. Oxford Bulletin of Economics and Statistics, 76 (4), pp. 510-535. https://doi.org/10.1111/obes.12035
Article
The Credit Crunch and Insider Training
Tavakoli M, McMillan D & McKnight PJ (2014) The Credit Crunch and Insider Training. Financial Markets, Institutions and Instruments, 23 (2), pp. 71-100. https://doi.org/10.1111/fmii.12015
Article
The relationship between temperature and CO2 emissions: evidence from a short and very long dataset
McMillan D & Wohar ME (2013) The relationship between temperature and CO2 emissions: evidence from a short and very long dataset. Applied Economics, 45 (26), pp. 3683-3690. https://doi.org/10.1080/00036846.2012.729955
Article
Consumption and stock prices: Evidence from a small international panel
McMillan D (2013) Consumption and stock prices: Evidence from a small international panel. Journal of Macroeconomics, 36, pp. 76-88. https://doi.org/10.1016/j.jmacro.2013.01.007
Article
A panel analysis of the stock returndividend yield relation: Predicting returns and dividend growth
McMillan D & Wohar ME (2013) A panel analysis of the stock returndividend yield relation: Predicting returns and dividend growth. Manchester School, 81 (3), pp. 386-400. https://doi.org/10.1111/j.1467-9957.2011.02281.x
Article
Time varying stock return predictability: Evidence from US sectors
Guidolin M, McMillan D & Wohar ME (2013) Time varying stock return predictability: Evidence from US sectors. Finance Research Letters, 10 (1), pp. 34-40. https://doi.org/10.1016/j.frl.2012.07.002
Article
Does Information Help Intra-Day Volatility Forecasts?
McMillan D & Garcia RQ (2013) Does Information Help Intra-Day Volatility Forecasts?. Journal of Forecasting, 32 (1), pp. 1-9. https://doi.org/10.1002/for.1243
Article
Dynamic capital structure adjustment: US MNCs & DCs
McMillan D & Camara O (2012) Dynamic capital structure adjustment: US MNCs & DCs. Journal of Multinational Financial Management, 22 (5), pp. 278-301. https://doi.org/10.1016/j.mulfin.2012.10.001
Article
Output and stock prices: An examination of the relationship over 200 years
McMillan D & Wohar ME (2012) Output and stock prices: An examination of the relationship over 200 years. Applied Financial Economics, 22 (19), pp. 1615-1629. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-84860829691&md5=0426960753cf4172bac1d2c3de8e3a02; https://doi.org/10.1080/09603107.2012.669461
Article
Short-sale constraints and efficiency of the spot-futures dynamics
McMillan D & Philip D (2012) Short-sale constraints and efficiency of the spot-futures dynamics. International Review of Financial Analysis, 24, p. 129–136. https://doi.org/10.1016/j.irfa.2012.09.001
Article
Daily FX volatility forecasts: Can the GARCH(1,1) model be beaten using high-frequency data?
McMillan D & Speight AEH (2012) Daily FX volatility forecasts: Can the GARCH(1,1) model be beaten using high-frequency data?. Journal of Forecasting, 31 (4), pp. 330-343. https://doi.org/10.1002/for.1222
Article
Insider trading and stock prices
Tavakoli M, McMillan D & McKnight PJ (2012) Insider trading and stock prices. International Review of Economics and Finance, 22 (1), pp. 254-266. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-84855330171&md5=7441d8374fd846f3d42be2c85f90e5e2; https://doi.org/10.1016/j.iref.2011.11.004
Article
McMillan D (2012) Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR. International Review of Applied Economics, 26 (1), pp. 125-143. https://doi.org/10.1080/02692171.2011.580268
Article
Contemporary issues in financial institutions and markets
Wilson JOS, McMillan D & Casu B (2011) Contemporary issues in financial institutions and markets. European Journal of Finance, 17 (9-10), pp. 765-768. https://doi.org/10.1080/1351847x.2010.546684
Article
Profit persistence revisited: The case of the uk
McMillan D & Wohar ME (2011) Profit persistence revisited: The case of the uk. Manchester School, 79 (3), pp. 510-527. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-79955001698&md5=2f33069a98f8945fc8eafb4bcd4d3962; https://doi.org/10.1111/j.1467-9957.2010.02177.x
Article
Correlations and spillovers among three euro rates: evidence using realised variance
McMillan D, Ruiz I & Speight AEH (2010) Correlations and spillovers among three euro rates: evidence using realised variance. European Journal of Finance, 16 (8), pp. 753-767. https://doi.org/10.1080/13518470903448424
Article
Stock return predictability and dividend-price ratio: a nonlinear approach
McMillan D & Wohar ME (2010) Stock return predictability and dividend-price ratio: a nonlinear approach. International Journal of Finance and Economics, 15 (4), pp. 351-365. https://doi.org/10.1002/ijfe.401
Article
Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium
Grossmann A & McMillan D (2010) Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium. Journal of International Financial Markets, Institutions and Money, 20 (4), pp. 436-450. https://doi.org/10.1016/j.intfin.2010.06.004
Article
Persistence and time-varying coefficients
McMillan D & Wohar ME (2010) Persistence and time-varying coefficients. Economics Letters, 108 (1), pp. 85-88. https://doi.org/10.1016/j.econlet.2010.04.019
Article
Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence
McMillan D (2010) Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence. Journal of Business Finance and Accounting, 37 (5-6), pp. 668-686. https://doi.org/10.1111/j.1468-5957.2009.02176.x
Article
Asymmetric return patterns: evidence from 33 international stock market indices
Evans T & McMillan D (2009) Asymmetric return patterns: evidence from 33 international stock market indices. Applied Economics Letters, 16 (8), pp. 775-779. https://doi.org/10.1080/13504850701222020
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The confusing time-series behaviour of real exchange rates: Are asymmetries important?
McMillan D (2009) The confusing time-series behaviour of real exchange rates: Are asymmetries important?. Journal of International Financial Markets, Institutions and Money, 19 (4), pp. 692-711. https://doi.org/10.1016/j.intfin.2008.12.002
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Are RiskMetrics forecasts good enough? Evidence from 31 stock markets
McMillan D & Kambouroudis DS (2009) Are RiskMetrics forecasts good enough? Evidence from 31 stock markets. International Review of Financial Analysis, 18 (3), pp. 117-124. https://doi.org/10.1016/j.irfa.2009.03.006
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Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates
McMillan D (2009) Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates. International Journal of Finance and Economics, 14 (2), pp. 139-155. https://doi.org/10.1002/ijfe.358
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Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries
McMillan D (2009) Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries. Journal of International Financial Markets, Institutions and Money, 19 (2), pp. 258-273. https://doi.org/10.1016/j.intfin.2007.12.002
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Non-linear predictability in stock and bond returns: When and where is it exploitable?
Guidolin M, Hyde S, McMillan D & Ono S (2009) Non-linear predictability in stock and bond returns: When and where is it exploitable?. International Journal of Forecasting, 25 (2), pp. 373-399. https://doi.org/10.1016/j.ijforecast.2009.01.002
