Professor David McMillan
Professor of Finance, Accounting and Finance
Background
Obtained a PhD from the University of Swansea in 1998. Has held positions in the Universities of Aberdeen, Durham and St Andrews.Research Interests
Financial Econometrics, Time-Series Modelling of Asset Returns and Volatility, Links between Financial and Macroeconomic Data; Interest Rate Dynamics; House PricesSelected Publications
‘Does information help intra-day volatility forecasts?’ (with Raquel Quiroga), Journal of Forecasting, (2011), (forthcoming).‘Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data’ (with A. E. H. Speight), Journal of Forecasting, (2011), (forthcoming).
‘Profit Persistence Revisited: The Case of the UK’ (with Mark E Wohar). Manchester School, (2011), (forthcoming).
‘Common Volatility, Spillovers and Time-Varying Correlations in Three Euro Rates’ (with I. Ruiz and A. E. H. Speight). European Journal of Finance, (2010), 16, 753-767.
‘Forecasting Exchange Rates: Non-Linear Adjustment and Time-Varying Equilibrium’ (with Axel Grossman) Journal of International Finance, Institutions and Money, (2010), 20, 436-450.
‘Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence’ Journal of Business Finance and Accounting, (2010), 37, 668-686.
‘Persistence and Time Varying Coefficients’ (with Mark E. Wohar). Economics Letters, (2010), 108, 85-88.
‘The Confusing Time-Series Behaviour of Real Exchange Rates: Are Asymmetries Important?’
Journal of International Financial Markets, Institutions and Money, (2009), 19, 692-711.
‘Are RiskMetrics Forecasts Good Enough? Evidence from 31 Stock Markets’ (with D. Kambouroudis). International Review of Financial Analysis, (2009), 18, 117-124.
‘Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?’ (with M. Guidolin, S. Hyde and S. Ono). International Journal of Forecasting, (2009), 25, 373-399.
‘Persistent Mispricing in a Recently Opened Emerging Index Futures Market: Arbitrageurs Invited’ (with N. Ülkü). Journal of Futures Markets, (2009), 29, 218-243.
‘Forward Interest Rate Premium and Asymmetric Adjustment: Evidence from 16 Countries’ Journal of International Financial Markets, Institutions and Money, (2009), 19, 258-273.
‘Dividends, Prices and the Present Value Model: Firm-Level Evidence’ (with J. Goddard and J.Wilson). European Journal of Finance, (2008), 14, 195-210.
‘Efficiency of the IBEX Spot-Futures Basis: The Impact of the Mini-Futures’ (with Raquel Quiroga Garcia). Journal of Futures Markets, (2008), 28, 398-415.
