Accounting & Marketing

ISSN: 2168-9601

Open Access

David G McMillan

David G McMillan

David G McMillan
University of Stirling, Accounting and Finance Division, UK


David McMillan is a Professor of Finance at the University of Stirling, UK. He has previously held a similar position at the University of St Andrews, UK. His research interests include empirical finance, with focus on asset pricing, volatility and forecasting asset returns. He has published widely on these topic in Internationally respected peer-reviewed journals.

Research Interest

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.


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Citations: 412

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