All Stories

  1. The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification

    Article • Manchester School, July 2026, Wiley

    Professor David G McMillan

  2. (Some) future directions in financial markets and institutions research

    Article • Cogent Business & Management, June 2026, Taylor & Francis

    Professor David G McMillan

  3. Stock-bond return correlation: Understanding the changing behaviour

    Article • Journal of International Financial Markets Institutions and Money, January 2026, Elsevier

    Professor David G McMillan

  4. The predictive power of the oil variance risk premium

    Article • Resources Policy, April 2025, Elsevier

    Professor David G McMillan

  5. Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors

    Article • Journal of Asset Management, March 2025, Springer Science + Business Media

    Professor David G McMillan

  6. Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers

    Article • Journal of Forecasting, December 2024, Wiley

    Professor David G McMillan

  7. Oil price shocks and stock–bond correlation

    Article • The North American Journal of Economics and Finance, September 2023, Elsevier

    Professor David G McMillan

  8. Using interest rates to predict economic growth: Are corporate bonds better?

    Article • International Journal of Finance & Economics, July 2023, Wiley

    Professor David G McMillan

  9. Do financial markets predict macroeconomic performance? US evidence from risk‐based measures

    Article • Manchester School, July 2023, Wiley

    Professor David G McMillan

  10. Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets

    Article • Finance Research Letters, July 2023, Elsevier

    Professor David G McMillan

  11. Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets

    Article • Journal of Economics and Finance, May 2023, Springer Science + Business Media

    Professor David G McMillan

  12. Expected profitability, the 52-week high and the idiosyncratic volatility puzzle

    Article • European Journal of Finance, December 2022, Taylor & Francis

    Professor David G McMillan

  13. Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

    Article • Empirical Economics, September 2022, Springer Science + Business Media

    Professor David G McMillan

  14. Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations

    Article • Resources Policy, March 2022, Elsevier

    Professor David G McMillan

  15. The Time-Varying Relation between Stock Returns and Monetary Variables

    Article • Journal of Risk and Financial Management, December 2021, MDPI AG

    Professor David G McMillan

  16. Capital structure and political connections: evidence from GCC banks and the financial crisis

    Article • International Journal of Emerging Markets, September 2021, Emerald

    Professor David G McMillan

  17. Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility

    Article • Journal of Futures Markets, July 2021, Wiley

    Professor David G McMillan

  18. Forecasting sector stock market returns

    Article • Journal of Asset Management, May 2021, Springer Science + Business Media

    Professor David G McMillan

  19. Significance, relevance and explainability in the machine learning age: an econometrics and financial data science perspective

    Article • European Journal of Finance, December 2020, Taylor & Francis

    Professor David G McMillan

  20. Predicting GDP growth with stock and bond markets: Do they contain different information?

    Article • International Journal of Finance & Economics, August 2020, Wiley

    Professor David G McMillan

  21. Forecasting U.S. stock returns

    Article • European Journal of Finance, January 2020, Taylor & Francis

    Professor David G McMillan

  22. Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries

    Article • Cogent Economics & Finance, January 2020, Taylor & Francis

    Professor David G McMillan

  23. 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

  24. Cross-asset relations, correlations and economic implications

    Article • Global Finance Journal, August 2019, Elsevier

    Professor David G McMillan

  25. Predicting firm level stock returns: Implications for asset pricing and economic links

    Article • The British Accounting Review, June 2019, Elsevier

    Professor David G McMillan

  26. Stock return predictability: Using the cyclical component of the price ratio

    Article • Research in International Business and Finance, April 2019, Elsevier

    Professor David G McMillan

  27. The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation

    Article • International Journal of Financial Studies, December 2018, MDPI AG

    Professor David G McMillan

  28. Rational functions: an alternative approach to asset pricing

    Article • Applied Economics, November 2018, Taylor & Francis

    Professor David G McMillan, Mohammed Elgammal

  29. INFORMATION TRANSMISSION ACROSS EUROPEAN EQUITY MARKETS DURING CRISIS PERIODS

    Article • Manchester School, August 2018, Wiley

    Professor David G McMillan

  30. 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

  31. 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

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

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

    Professor David G McMillan

  33. 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

  34. Stock returns and volatility dynamics in China

    Article • China Finance Review International, May 2015, Emerald

    Professor David G McMillan

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

    Article • Managerial Finance, May 2015, Emerald

    Professor David G McMillan

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

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

    Professor David G McMillan

  37. 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

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

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor David G McMillan

  39. Forecasting Stock Returns: Do Commodity Prices Help?

    Article • Journal of Forecasting, October 2014, Wiley

    Professor David G McMillan

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

    Article • Managerial Finance, July 2014, Emerald

    Professor David G McMillan

  41. Forecasting Stock Returns: Do Commodity Prices Help?

    Article • SSRN Electronic Journal, January 2014, Elsevier

    Professor David G McMillan

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

    Article • Managerial Finance, October 2013, Emerald

    Professor David G McMillan

  43. 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

  44. 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

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

    Article • Journal of Macroeconomics, June 2013, Elsevier

    Professor David G McMillan

  46. UK stock market predictability: evidence of time variation

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

    Professor David G McMillan

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

    Article • Finance Research Letters, March 2013, Elsevier

    Professor David G McMillan

  48. Dynamic capital structure adjustment: US MNCs & DCs

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

    Professor David G McMillan

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  51. Insider employee stock option trading and stock prices

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

    Professor David G McMillan

  52. 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

  53. Insider trading and stock prices

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

    Professor David G McMillan

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

    Article • Journal of Asset Management, March 2012, Nature

    Professor David G McMillan

  55. 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

  56. Contemporary issues in financial institutions and markets

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

    Professor David G McMillan

  57. Does Information Help Intra-Day Volatility Forecasts?

    Article • Journal of Forecasting, August 2011, Wiley

    Professor David G McMillan

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  60. Does the BEYR help predict UK sector returns?

    Article • Journal of Asset Management, May 2011, Nature

    Professor David G McMillan

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

    Article • Manchester School, April 2011, Wiley

    Professor David G McMillan

  62. 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

  63. 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

  64. 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

  65. 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

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

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

    Professor David G McMillan

  67. Persistence and time-varying coefficients

    Article • Economics Letters, July 2010, Elsevier

    Professor David G McMillan

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

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

    Professor David G McMillan

  69. Return and volatility spillovers in three euro exchange rates

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  71. 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

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

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

    Professor David G McMillan

  73. The efficiency of African equity markets

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

    Professor David G McMillan

  74. 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

  75. Are share prices still too high?

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

    Professor David G McMillan

  76. 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

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  79. 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

  80. 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

  81. 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

  82. Intra-day volatility forecasts

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

    Professor David G McMillan

  83. 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

  84. 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

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

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

    Professor David G McMillan

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

    Article • Bulletin of Economic Research, January 2009, Wiley

    Professor David G McMillan

  87. 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

  88. 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

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

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

    Professor David G McMillan

  90. Efficiency of the South African equity market

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

    Professor David G McMillan

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

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

    Professor David G McMillan

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

    Article • Quantitative Finance, April 2008, Taylor & Francis

    Professor David G McMillan

  93. 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

  94. 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

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

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

    Professor David G McMillan

  96. 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

  97. Weekly volatility forecasts with applications to risk management

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

    Professor David G McMillan

  98. 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

  99. 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

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

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

    Professor David G McMillan

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

    Article • International Journal of Forecasting, January 2007, Elsevier

    Professor David G McMillan

  102. 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

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

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

    Professor David G McMillan

  104. 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

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

    Article • Managerial Finance, June 2006, Emerald

    Professor David G McMillan

  106. 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

  107. 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

  108. 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

  109. Asymmetric risk premium in value and growth stocks

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

    Professor David G McMillan

  110. 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

  111. Volatility dynamics and heterogeneous markets

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

    Professor David G McMillan

  112. Cointegrating behaviour between spot and forward exchange rates

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

    Professor David G McMillan

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

    Article • Resources Policy, September 2005, Elsevier

    Professor David G McMillan

  114. Smooth-transition error-correction in exchange rates

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

    Professor David G McMillan

  115. 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

  116. 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

  117. Non-linear dynamics in international stock market returns

    Article • Review of Financial Economics, January 2005, Elsevier

    Professor David G McMillan

  118. Threshold adjustment in spot-futures metals prices

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

    Professor David G McMillan

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

    Article • Journal of Forecasting, September 2004, Wiley

    Professor David G McMillan

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

    Article • Manchester School, September 2004, Wiley

    Professor David G McMillan

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

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

    Professor David G McMillan

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

    Article • Economics Letters, August 2004, Elsevier

    Professor David G McMillan

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

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

    Professor David G McMillan

  124. 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

  125. 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

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  128. Return-volume dynamics in UK futures

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

    Professor David G McMillan

  129. 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

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

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

    Professor David G McMillan

  131. 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

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

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

    Professor David G McMillan

  133. Are International Value Premiums Driven by the Same Set of Fundamentals?

    Article • January 2002, Elsevier

    Professor David G McMillan

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

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

    Professor David G McMillan

  135. Nonlinear error correction in spot and forward exchange rates

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

    Professor David G McMillan

  136. 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

  137. Common stochastic volatility trend in European exchange rates

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

    Professor David G McMillan

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

    Article • Resources Policy, September 2001, Elsevier

    Professor David G McMillan

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  141. Forecasting UK stock market volatility

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

    Professor David G McMillan

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

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

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

    Professor David G McMillan

  145. Asymmetric volatility in industrial production: some international evidence

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

    Professor David G McMillan

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

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

    Professor David G McMillan

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

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan

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

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan

  149. Evidence of Hidden Inflation in Zimbabwe

    Article • SSRN Electronic Journal, Elsevier

    Professor David G McMillan