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George Milunovich

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This is information that was supplied by George Milunovich in registering through RePEc. If you are George Milunovich , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: George
Middle Name:
Last Name: Milunovich
Suffix:

RePEc Short-ID: pmi115

Email:
Homepage: http://www.econ.mq.edu.au/staff/position/staff_by_position/george_milunovich
Postal Address: Division of Economic and Financial Studies Macquarie University NSW 2109 Australia Phone:+61 2 9850 8543
Phone:

Affiliation

Department of Economics
Faculty of Business and Economics
Macquarie University
Location: Sydney, Australia
Homepage: http://www.econ.mq.edu.au/
Email:
Phone:
Fax:
Postal: Sydney NSW 2109
Handle: RePEc:edi:edmqqau (more details at EDIRC)

Works

as in new window

Working papers

  1. Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 312, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series, National Centre for Econometric Research 22, National Centre for Econometric Research.
  3. George Milunovich & Roselyne Joyeux, 2007. "Testing Market Efficiency and Price Discovery in European Carbon Markets," Research Papers, Macquarie University, Department of Economics 0701, Macquarie University, Department of Economics.
  4. George Milunovich & Ronald D. Ripple, 2006. "Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil," Research Papers, Macquarie University, Department of Economics 0607, Macquarie University, Department of Economics.
  5. Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 177, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. George Milunovich, 2006. "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers, Macquarie University, Department of Economics 0610, Macquarie University, Department of Economics.
  7. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 160, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers, Macquarie University, Department of Economics 0506, Macquarie University, Department of Economics.
  9. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "House Prices in Australia - 1970 to 2003 - Facts and Explanations," Research Papers, Macquarie University, Department of Economics 0504, Macquarie University, Department of Economics.
  10. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings, Econometric Society 55, Econometric Society.

Articles

  1. Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, De Gruyter, vol. 5(2), pages 117-131, May.
  2. George Milunovich & Antony Tan, 2013. "Testing for contagion in US industry portfolios -- a four-factor pricing approach," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(1), pages 15-26, January.
  3. Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011. "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 87(276), pages 37-44, March.
  4. George Milunovich, 2011. "Measuring the Impact of the GFC on European Equity Markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1237-1246.
  5. Roselyne Joyeux & George Milunovich, 2010. "Testing market efficiency in the EU carbon futures market," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(10), pages 803-809.
  6. George Milunovich & Ronald Ripple, 2010. "Crude Oil Volatility: Hedgers or Investors," Economics Bulletin, AccessEcon, vol. 30(4), pages 2877-2883.
  7. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 1008-1021, May.
  8. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(4), pages 275-289, October.
  9. Susan Thorp & George Milunovich, 2007. "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does It Pay To Switch?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 30(3), pages 355-377.
  10. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, Elsevier, vol. 17(1), pages 1-22, September.
  11. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970-2003," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 81(s1), pages S96-S103, 08.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2005-08-13
  2. NEP-ECM: Econometrics (1) 2004-10-30
  3. NEP-EEC: European Economics (1) 2007-05-04
  4. NEP-ENE: Energy Economics (2) 2007-01-14 2007-05-04
  5. NEP-ENV: Environmental Economics (1) 2007-05-04
  6. NEP-ETS: Econometric Time Series (5) 2004-10-30 2006-06-03 2008-08-21 2012-10-13 2012-12-22. Author is listed
  7. NEP-FMK: Financial Markets (4) 2005-08-13 2006-03-05 2006-06-03 2007-01-14. Author is listed
  8. NEP-FOR: Forecasting (1) 2006-03-05
  9. NEP-GEO: Economic Geography (1) 2006-03-05
  10. NEP-MST: Market Microstructure (1) 2007-05-04
  11. NEP-RMG: Risk Management (1) 2005-08-13
  12. NEP-SEA: South East Asia (1) 2008-08-21
  13. NEP-URE: Urban & Real Estate Economics (1) 2006-03-05

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