David G Mcmillan
Biographic Data
| ID | 3078598 |
|---|---|
| NAME | David G Mcmillan |
| GIVEN NAMES | David G |
| FAMILY NAME | Mcmillan |
| SIGNATURE | MCMILLAN D G |
| AFFILIATIONS | University of Stirling |
| ORCID | 0000-0002-5891-4193 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1998 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 1 |
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility network of international financial markets utilising the spatial connectedness of spillovers (consisting of nodes and edges). The findings show that spillo…
Testing for Asymmetries in UK Macroeconomic Time Series
This paper examines the asymmetric properties of a broad range of quarterly postwar UK macroeconomic time series using recently developed test statistics for contractionary ‘deepness’ and ‘steepness’ relative to trend. We also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick‐Prescott filtering and structural time series modelling. We find strong corroborative evidence of asymmetric steepness…
Testing for Asymmetries in UK Macroeconomic Time Series
This paper examines the asymmetric properties of a broad range of quarterly postwar UK macroeconomic time series using recently developed test statistics for contractionary ‘deepness’ and ‘steepness’ relative to trend. We also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick‐Prescott filtering and structural time series modelling. We find strong corroborative evidence of asymmetric steepness…
Testing for Asymmetries in UK Macroeconomic Time Series
This paper examines the asymmetric properties of a broad range of quarterly postwar UK macroeconomic time series using recently developed test statistics for contractionary ‘deepness’ and ‘steepness’ relative to trend. We also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick‐Prescott filtering and structural time series modelling. We find strong corroborative evidence of asymmetric steepness…
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility network of international financial markets utilising the spatial connectedness of spillovers (consisting of nodes and edges). The findings show that spillo…
Complex Systems and Time Series Analysis (2 works) · Economics (2 works) · Macroeconomics (2 works) · Market Dynamics and Volatility (2 works) · Bivariate analysis (1 work) · Business (1 work) · Consumption (sociology (1 work) · Econometrics (1 work) · Finance (1 work) · Financial crisis (1 work)