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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, Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

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

  1. Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Australian Economic Review (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 in Journal of Econometrics (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 in Journal of Economic Dynamics and Control (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 (5)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (9)

    See also Journal Article in Journal of Banking & Finance (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 View citations (3)

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 View citations (2)
  3. Valuing Volatility Spillovers
    International Finance, University Library of Munich, Germany Downloads View citations (2)
    Also in Research Papers, Macquarie University, Department of Economics (2005) Downloads View citations (2)

    See also Journal Article in Global Finance Journal (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

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
  2. Inference in partially identified heteroskedastic simultaneous equations models
    Journal of Econometrics, 2020, 218, (2), 317-345 Downloads
    See also Working Paper (2016)
  3. Mapping out network connections between residential property markets
    Economics Letters, 2020, 189, (C) Downloads

2019

  1. Bubble detection and sector trading in real time
    Quantitative Finance, 2019, 19, (2), 247-263 Downloads View citations (5)

2018

  1. Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness
    Australian Economic Review, 2018, 51, (4), 551-563 Downloads View citations (1)
    See also Working Paper (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 (2)

2016

  1. Testing for identification in SVAR-GARCH models
    Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 Downloads View citations (17)
    See also Working Paper (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 (36)
    See also Working Paper (2012)
  2. Speculative bubbles, financial crises and convergence in global real estate investment trusts
    Applied Economics, 2015, 47, (27), 2878-2898 Downloads View citations (2)

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 (18)
  2. 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 Downloads View citations (6)
  3. Testing for contagion in US industry portfolios -- a four-factor pricing approach
    Applied Financial Economics, 2013, 23, (1), 15-26 Downloads View citations (3)

2012

  1. Linkages between international REITs: the role of economic factors
    Journal of Property Investment & Finance, 2012, 30, (5), 473-492 Downloads View citations (2)

2011

  1. International Commodity Prices and the Australian Stock Market
    The Economic Record, 2011, 87, (276), 37-44 Downloads View citations (1)
  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 (8)
  3. Testing market efficiency in the EU carbon futures market
    Applied Financial Economics, 2010, 20, (10), 803-809 Downloads View citations (27)
  4. Unobservable shocks as carriers of contagion
    Journal of Banking & Finance, 2010, 34, (5), 1008-1021 Downloads View citations (37)

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 (20)
    See also Working Paper (2005)

2005

  1. Explaining House Prices in Australia: 1970–2003
    The Economic Record, 2005, 81, (s1), S96-S103 Downloads View citations (73)
 
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