Details about George Milunovich

Access statistics for papers by George Milunovich.

Last updated 2025-07-07. Update your information in the RePEc Author Service.

Short-id: pmi115

Working Papers

2018

1. Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
   Papers, arXiv.org View citations (12)
   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) View citations (12) (2018)

2016

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

2015

3. 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)
4. Testing for identification in SVAR-GARCH models
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   See also Journal Article Testing for identification in SVAR-GARCH models, Journal of Economic Dynamics and Control, Elsevier (2016) View citations (23) (2016)

2012

5. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
   Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (15)
   See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) View citations (49) (2015)

2008

6. 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

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

2006

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

2005

11. Asymmetric Risk and International Portfolio Choice
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
12. House Prices in Australia - 1970 to 2003 - Facts and Explanations
    Research Papers, Macquarie University, Department of Economics
13. Valuing Volatility Spillovers
    International Finance, University Library of Munich, Germany View citations (2)
    Also in Research Papers, Macquarie University, Department of Economics (2005)
    See also Journal Article Valuing volatility spillovers, Global Finance Journal, Elsevier (2006) View citations (22) (2006)

2004

14. Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model
    Econometric Society 2004 Australasian Meetings, Econometric Society 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) View citations (8)
2. Cryptocurrency exchanges: Predicting which markets will remain active
   Journal of Forecasting, 2022, 41, (5), 945-955 View citations (8)
3. Measuring the impact of digital exchange cyberattacks on Bitcoin Returns
   Economics Letters, 2022, 221, (C) View citations (8)
4. Rail stations and residential sorting: The case of Sydney metropolitan area
   Urban Studies, 2022, 59, (15), 3132-3149

2020

5. Forecasting Australia's real house price index: A comparison of time series and machine learning methods
   Journal of Forecasting, 2020, 39, (7), 1098-1118 View citations (13)
6. Inference in partially identified heteroskedastic simultaneous equations models
   Journal of Econometrics, 2020, 218, (2), 317-345 View citations (1)
   See also Working Paper Inference in Partially Identified Heteroskedastic Simultaneous Equations Models, Discussion Papers (2016) (2016)
7. Mapping out network connections between residential property markets
   Economics Letters, 2020, 189, (C) View citations (1)

2019

8. Bubble detection and sector trading in real time
   Quantitative Finance, 2019, 19, (2), 247-263 View citations (13)

2018

9. Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness
   Australian Economic Review, 2018, 51, (4), 551-563 View citations (12)
   See also Working Paper Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness, Papers (2018) View citations (12) (2018)
10. Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
    Journal of Business & Economic Statistics, 2018, 36, (2), 288-308 View citations (4)

2016

11. Testing for identification in SVAR-GARCH models
    Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 View citations (23)
    See also Working Paper Testing for identification in SVAR-GARCH models, SFB 649 Discussion Papers (2015) (2015)

2015

12. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 View citations (49)
    See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) View citations (10) (2012)
13. Speculative bubbles, financial crises and convergence in global real estate investment trusts
    Applied Economics, 2015, 47, (27), 2878-2898 View citations (5)

2014

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

2013

15. On Identifying Structural VAR Models via ARCH Effects
    Journal of Time Series Econometrics, 2013, 5, (2), 117-131 View citations (24)
16. Regional and global contagion in real estate investment trusts
    Journal of Property Investment & Finance, 2013, 31, (1), 53-77 View citations (11)
17. Testing for contagion in US industry portfolios -- a four-factor pricing approach
    Applied Financial Economics, 2013, 23, (1), 15-26 View citations (5)

2012

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

2011

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

2010

21. Crude Oil Volatility: Hedgers or Investors
    Economics Bulletin, 2010, 30, (4), 2877-2883
22. Measuring the Impact of Carbon Allowance Trading on Energy Prices
    Energy & Environment, 2010, 21, (5), 367-383 View citations (17)
23. Testing market efficiency in the EU carbon futures market
    Applied Financial Economics, 2010, 20, (10), 803-809 View citations (56)
24. Unobservable shocks as carriers of contagion
    Journal of Banking & Finance, 2010, 34, (5), 1008-1021 View citations (51)

2007

25. 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)
26. SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?
    Journal of Financial Research, 2007, 30, (3), 355-377 View citations (8)

2006

27. Valuing volatility spillovers
    Global Finance Journal, 2006, 17, (1), 1-22 View citations (22)
    See also Working Paper Valuing Volatility Spillovers, International Finance (2005) View citations (2) (2005)

2005

28. Explaining House Prices in Australia: 1970–2003
    The Economic Record, 2005, 81, (s1), S96-S103 View citations (79)