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George Milunovich

Personal Details

First Name:George
Middle Name:
Last Name:Milunovich
Suffix:
RePEc Short-ID:pmi115
https://www.georgemilunovich.com/
Department of Actuarial Studies and Business Analytics Macquarie Business School Macquarie University Sydney, Australia

Affiliation

Department of Economics
Business School
Macquarie University

Sydney, Australia
https://www.mq.edu.au/macquarie-business-school/our-departments/department-of-economics
RePEc:edi:edmqqau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. George Milunovich, 2018. "Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness," Papers 1809.03072, arXiv.org.
  2. Helmut Lutkepohl & George Milunovich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers 2016-19, School of Economics, The University of New South Wales.
  3. Helmut Lütkepohl & George Milunovich, 2015. "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin 1455, DIW Berlin, German Institute for Economic Research.
  4. Helmut Luetkepohl & George Milunovich, 2015. "Testing for Identification in SVAR-GARCH Models," SFB 649 Discussion Papers SFB649DP2015-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
  6. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
  7. George Milunovich & Roselyne Joyeux, 2007. "Testing Market Efficiency and Price Discovery in European Carbon Markets," Research Papers 0701, Macquarie University, Department of Economics.
  8. George Milunovich & Ronald D. Ripple, 2006. "Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil," Research Papers 0607, Macquarie University, Department of Economics.
  9. Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. George Milunovich, 2006. "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers 0610, Macquarie University, Department of Economics.
  11. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "House Prices in Australia - 1970 to 2003 - Facts and Explanations," Research Papers 0504, Macquarie University, Department of Economics.
  12. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
  13. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society.

Articles

  1. Laurence Carleton & Roselyne Joyeux & George Milunovich, 2022. "Rail stations and residential sorting: The case of Sydney metropolitan area," Urban Studies, Urban Studies Journal Limited, vol. 59(15), pages 3132-3149, November.
  2. George Milunovich & Seung Ah Lee, 2022. "Cryptocurrency exchanges: Predicting which markets will remain active," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 945-955, August.
  3. Milunovich, George, 2022. "Assessing the connectedness between Proof of Work and Proof of Stake/Other digital coins," Economics Letters, Elsevier, vol. 211(C).
  4. George Milunovich, 2020. "Forecasting Australia's real house price index: A comparison of time series and machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1098-1118, November.
  5. Milunovich, George, 2020. "Mapping out network connections between residential property markets," Economics Letters, Elsevier, vol. 189(C).
  6. Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020. "Inference in partially identified heteroskedastic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
  7. George Milunovich & Shuping Shi & David Tan, 2019. "Bubble detection and sector trading in real time," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 247-263, February.
  8. George Milunovich, 2018. "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, vol. 51(4), pages 551-563, December.
  9. George Milunovich & Minxian Yang, 2018. "Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 288-308, April.
  10. Lütkepohl, Helmut & Milunovich, George, 2016. "Testing for identification in SVAR-GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 241-258.
  11. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
  12. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
  13. George Milunovich & Jelena Minović, 2014. "Local and global illiquidity effects in the Balkans frontier markets," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3861-3873, November.
  14. Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 117-131, May.
  15. George Milunovich & Stefan Trück, 2013. "Regional and global contagion in real estate investment trusts," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(1), pages 53-77, February.
  16. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 473-492, August.
  17. 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, vol. 87(276), pages 37-44, March.
  18. George Milunovich, 2011. "Measuring the Impact of the GFC on European Equity Markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1237-1246.
  19. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  20. George Milunovich & Ronald Ripple, 2010. "Crude Oil Volatility: Hedgers or Investors," Economics Bulletin, AccessEcon, vol. 30(4), pages 2877-2883.
  21. Fatemeh Nazifi & George Milunovich, 2010. "Measuring the Impact of Carbon Allowance Trading on Energy Prices," Energy & Environment, , vol. 21(5), pages 367-383, September.
  22. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October.
  23. 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, vol. 30(3), pages 355-377, September.
  24. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
  25. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970–2003," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages 96-103, August.
    RePEc:taf:apfiec:v:23:y:2013:i:1:p:15-26 is not listed on IDEAS
    RePEc:taf:apfiec:v:20:y:2010:i:10:p:803-809 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (7) 2004-10-30 2006-06-03 2008-08-21 2012-10-13 2012-12-22 2015-03-05 2015-06-20. Author is listed
  2. NEP-FIN: Finance (4) 2004-10-30 2006-03-05 2006-03-05 2006-06-03
  3. NEP-FMK: Financial Markets (4) 2005-08-13 2006-03-05 2006-06-03 2007-01-14
  4. NEP-ECM: Econometrics (2) 2004-10-30 2015-03-05
  5. NEP-ENE: Energy Economics (2) 2007-01-14 2007-05-04
  6. NEP-MON: Monetary Economics (2) 2015-03-05 2015-06-20
  7. NEP-ORE: Operations Research (2) 2015-06-20 2017-04-16
  8. NEP-CBA: Central Banking (1) 2015-03-05
  9. NEP-CFN: Corporate Finance (1) 2005-08-13
  10. NEP-EEC: European Economics (1) 2007-05-04
  11. NEP-ENV: Environmental Economics (1) 2007-05-04
  12. NEP-FOR: Forecasting (1) 2006-03-05
  13. NEP-GEO: Economic Geography (1) 2006-03-05
  14. NEP-MFD: Microfinance (1) 2015-03-05
  15. NEP-MST: Market Microstructure (1) 2007-05-04
  16. NEP-PAY: Payment Systems and Financial Technology (1) 2018-10-01
  17. NEP-RMG: Risk Management (1) 2005-08-13
  18. NEP-SEA: South East Asia (1) 2008-08-21
  19. NEP-URE: Urban and Real Estate Economics (1) 2006-03-05

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