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Details about George Milunovich

E-mail:
Homepage:https://www.georgemilunovich.com/
Postal address:Department of Actuarial Studies and Business Analytics Macquarie Business School Macquarie University Sydney, Australia
Workplace:Department of Economics, Business School, Macquarie University, (more information at EDIRC)

Access statistics for papers by George Milunovich.

Last updated 2022-12-06. Update your information in the RePEc Author Service.

Short-id: pmi115


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Working Papers

2018

  1. Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness, Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research (2018) Downloads View citations (8) (2018)

2016

  1. Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
    Discussion Papers, School of Economics, The University of New South Wales Downloads
    See also Journal Article Inference in partially identified heteroskedastic simultaneous equations models, Journal of Econometrics, Elsevier (2020) Downloads View citations (1) (2020)

2015

  1. Testing for Identification in SVAR-GARCH Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article Testing for identification in SVAR-GARCH models, Journal of Economic Dynamics and Control, Elsevier (2016) Downloads View citations (22) (2016)
  2. 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 Downloads View citations (3)

2012

  1. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (15)

    See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (48) (2015)

2008

  1. Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)

2007

  1. Testing Market Efficiency and Price Discovery in European Carbon Markets
    Research Papers, Macquarie University, Department of Economics Downloads

2006

  1. Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil
    Research Papers, Macquarie University, Department of Economics Downloads
  2. Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia
    Research Papers, Macquarie University, Department of Economics Downloads
  3. Information processing and measures of integration: New York, London and Tokyo
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2005

  1. Asymmetric Risk and International Portfolio Choice
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  2. House Prices in Australia - 1970 to 2003 - Facts and Explanations
    Research Papers, Macquarie University, Department of Economics Downloads
  3. Valuing Volatility Spillovers
    Research Papers, Macquarie University, Department of Economics Downloads
    Also in International Finance, University Library of Munich, Germany (2005) Downloads View citations (2)

    See also Journal Article Valuing volatility spillovers, Global Finance Journal, Elsevier (2006) Downloads View citations (22) (2006)

2004

  1. Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (1)

Journal Articles

2022

  1. Assessing the connectedness between Proof of Work and Proof of Stake/Other digital coins
    Economics Letters, 2022, 211, (C) Downloads View citations (1)
  2. Cryptocurrency exchanges: Predicting which markets will remain active
    Journal of Forecasting, 2022, 41, (5), 945-955 Downloads View citations (5)
  3. Rail stations and residential sorting: The case of Sydney metropolitan area
    Urban Studies, 2022, 59, (15), 3132-3149 Downloads

2020

  1. Forecasting Australia's real house price index: A comparison of time series and machine learning methods
    Journal of Forecasting, 2020, 39, (7), 1098-1118 Downloads View citations (7)
  2. Inference in partially identified heteroskedastic simultaneous equations models
    Journal of Econometrics, 2020, 218, (2), 317-345 Downloads View citations (1)
    See also Working Paper Inference in Partially Identified Heteroskedastic Simultaneous Equations Models, Discussion Papers (2016) Downloads (2016)
  3. Mapping out network connections between residential property markets
    Economics Letters, 2020, 189, (C) Downloads View citations (1)

2019

  1. Bubble detection and sector trading in real time
    Quantitative Finance, 2019, 19, (2), 247-263 Downloads View citations (12)

2018

  1. Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness
    Australian Economic Review, 2018, 51, (4), 551-563 Downloads View citations (8)
    See also Working Paper Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness, Papers (2018) Downloads View citations (8) (2018)
  2. Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
    Journal of Business & Economic Statistics, 2018, 36, (2), 288-308 Downloads View citations (4)

2016

  1. Testing for identification in SVAR-GARCH models
    Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 Downloads View citations (22)
    See also Working Paper Testing for Identification in SVAR-GARCH Models, SFB 649 Discussion Papers (2015) Downloads View citations (3) (2015)

2015

  1. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 Downloads View citations (48)
    See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) Downloads View citations (10) (2012)
  2. Speculative bubbles, financial crises and convergence in global real estate investment trusts
    Applied Economics, 2015, 47, (27), 2878-2898 Downloads View citations (5)

2014

  1. Local and global illiquidity effects in the Balkans frontier markets
    Applied Economics, 2014, 46, (31), 3861-3873 Downloads

2013

  1. On Identifying Structural VAR Models via ARCH Effects
    Journal of Time Series Econometrics, 2013, 5, (2), 117-131 Downloads View citations (21)
  2. Regional and global contagion in real estate investment trusts
    Journal of Property Investment & Finance, 2013, 31, (1), 53-77 Downloads View citations (11)
  3. Testing for contagion in US industry portfolios -- a four-factor pricing approach
    Applied Financial Economics, 2013, 23, (1), 15-26 Downloads View citations (5)

2012

  1. Linkages between international REITs: the role of economic factors
    Journal of Property Investment & Finance, 2012, 30, (5), 473-492 Downloads View citations (5)

2011

  1. International Commodity Prices and the Australian Stock Market
    The Economic Record, 2011, 87, (276), 37-44 Downloads View citations (3)
  2. Measuring the Impact of the GFC on European Equity Markets
    Economics Bulletin, 2011, 31, (2), 1237-1246 Downloads View citations (1)

2010

  1. Crude Oil Volatility: Hedgers or Investors
    Economics Bulletin, 2010, 30, (4), 2877-2883 Downloads
  2. Measuring the Impact of Carbon Allowance Trading on Energy Prices
    Energy & Environment, 2010, 21, (5), 367-383 Downloads View citations (16)
  3. Testing market efficiency in the EU carbon futures market
    Applied Financial Economics, 2010, 20, (10), 803-809 Downloads View citations (54)
  4. Unobservable shocks as carriers of contagion
    Journal of Banking & Finance, 2010, 34, (5), 1008-1021 Downloads View citations (50)

2007

  1. Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York
    Journal of Multinational Financial Management, 2007, 17, (4), 275-289 Downloads View citations (4)
  2. SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?
    Journal of Financial Research, 2007, 30, (3), 355-377 Downloads View citations (8)

2006

  1. Valuing volatility spillovers
    Global Finance Journal, 2006, 17, (1), 1-22 Downloads View citations (22)
    See also Working Paper Valuing Volatility Spillovers, Research Papers (2005) Downloads (2005)

2005

  1. Explaining House Prices in Australia: 1970–2003
    The Economic Record, 2005, 81, (s1), S96-S103 Downloads View citations (78)
 
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