Details about George Milunovich
Access statistics for papers by George Milunovich.
Last updated 2020-10-25. Update your information in the RePEc Author Service.
Short-id: pmi115
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Working Papers
2018
- Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
Papers, arXiv.org View citations (1)
See also Journal Article in Australian Economic Review (2018)
2016
- Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
Discussion Papers, School of Economics, The University of New South Wales 
See also Journal Article in Journal of Econometrics (2020)
2015
- Testing for Identification in SVAR-GARCH Models
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
See also Journal Article in Journal of Economic Dynamics and Control (2016)
- Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
2012
- Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (8)
See also Journal Article in Journal of Banking & Finance (2015)
2008
- Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
NCER Working Paper Series, National Centre for Econometric Research View citations (7)
2007
- Testing Market Efficiency and Price Discovery in European Carbon Markets
Research Papers, Macquarie University, Department of Economics View citations (3)
2006
- Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil
Research Papers, Macquarie University, Department of Economics
- Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia
Research Papers, Macquarie University, Department of Economics
- Information processing and measures of integration: New York, London and Tokyo
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2005
- Asymmetric Risk and International Portfolio Choice
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
- House Prices in Australia - 1970 to 2003 - Facts and Explanations
Research Papers, Macquarie University, Department of Economics View citations (2)
- Valuing Volatility Spillovers
Research Papers, Macquarie University, Department of Economics View citations (2)
Also in International Finance, University Library of Munich, Germany (2005) View citations (2)
See also Journal Article in Global Finance Journal (2006)
2004
- Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
Journal Articles
2020
- Forecasting Australia's real house price index: A comparison of time series and machine learning methods
Journal of Forecasting, 2020, 39, (7), 1098-1118
- Inference in partially identified heteroskedastic simultaneous equations models
Journal of Econometrics, 2020, 218, (2), 317-345 
See also Working Paper (2016)
- Mapping out network connections between residential property markets
Economics Letters, 2020, 189, (C)
2019
- Bubble detection and sector trading in real time
Quantitative Finance, 2019, 19, (2), 247-263 View citations (5)
2018
- Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness
Australian Economic Review, 2018, 51, (4), 551-563 View citations (1)
See also Working Paper (2018)
- Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
Journal of Business & Economic Statistics, 2018, 36, (2), 288-308 View citations (2)
2016
- Testing for identification in SVAR-GARCH models
Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 View citations (15)
See also Working Paper (2015)
2015
- Endogenous crisis dating and contagion using smooth transition structural GARCH
Journal of Banking & Finance, 2015, 58, (C), 71-79 View citations (33)
See also Working Paper (2012)
- Speculative bubbles, financial crises and convergence in global real estate investment trusts
Applied Economics, 2015, 47, (27), 2878-2898 View citations (2)
2014
- Local and global illiquidity effects in the Balkans frontier markets
Applied Economics, 2014, 46, (31), 3861-3873
2013
- On Identifying Structural VAR Models via ARCH Effects
Journal of Time Series Econometrics, 2013, 5, (2), 117-131 View citations (18)
- Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009
Journal of Property Investment & Finance, 2013, 31, (1), 53-77 View citations (6)
- Testing for contagion in US industry portfolios -- a four-factor pricing approach
Applied Financial Economics, 2013, 23, (1), 15-26 View citations (3)
2012
- Linkages between international REITs: the role of economic factors
Journal of Property Investment & Finance, 2012, 30, (5), 473-492 View citations (2)
2011
- International Commodity Prices and the Australian Stock Market
The Economic Record, 2011, 87, (276), 37-44 View citations (1)
- Measuring the Impact of the GFC on European Equity Markets
Economics Bulletin, 2011, 31, (2), 1237-1246 View citations (1)
2010
- Crude Oil Volatility: Hedgers or Investors
Economics Bulletin, 2010, 30, (4), 2877-2883
- Measuring the Impact of Carbon Allowance Trading on Energy Prices
Energy & Environment, 2010, 21, (5), 367-383 View citations (7)
- Testing market efficiency in the EU carbon futures market
Applied Financial Economics, 2010, 20, (10), 803-809 View citations (25)
- Unobservable shocks as carriers of contagion
Journal of Banking & Finance, 2010, 34, (5), 1008-1021 View citations (36)
2007
- Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York
Journal of Multinational Financial Management, 2007, 17, (4), 275-289 View citations (4)
- SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?
Journal of Financial Research, 2007, 30, (3), 355-377 View citations (8)
2006
- Valuing volatility spillovers
Global Finance Journal, 2006, 17, (1), 1-22 View citations (20)
See also Working Paper (2005)
2005
- Explaining House Prices in Australia: 1970–2003
The Economic Record, 2005, 81, (s1), S96-S103 View citations (73)
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