George Milunovich

Macquarie University - Department of Economics

Sydney NSW 2109

Australia

SCHOLARLY PAPERS

20

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CITATIONS
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Top 17,474

in Total Papers Citations

19

Scholarly Papers (20)

1.

A Review of Carbon Trading Theory and Practice

Number of pages: 20 Posted: 29 May 2007
George Milunovich, Alison Stegman and Deborah Cotton
Macquarie University - Department of Economics, Australian National University (ANU) and University of Technology Sydney (UTS)
Downloads 1,631 (7,468)

Abstract:

Carbon-dioxide allowances, economics of climate change, global warming

2.

Market Efficiency and Price Discovery in the EU Carbon Futures Market

Applied Financial Economics, Vol. 20, No. 10, 2010
Number of pages: 28 Posted: 29 May 2007 Last Revised: 24 May 2014
George Milunovich and Roselyne Joyeux
Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 886 (19,708)
Citation 8

Abstract:

Carbon-Dioxide Allowances, Futures, Cost-of-Carry, Price Discovery, Market Efficiency, Cointegration, Granger Causality, Volatility Spillover, Global Warming

3.

Linkages between the U.S. and Asia-Pacific REITs: The Role of Economic and Financial Factors

Number of pages: 17 Posted: 27 Jul 2011
Jing Liu, Geoffrey Loudon and George Milunovich
Macquarie University, Macquarie University, Faculty of Business and Economics and Macquarie University - Department of Economics
Downloads 113 (182,791)

Abstract:

Real Estate Investment Trusts (REITs), Conditional Correlations, Economic Drivers, Asia-Pacific, Property Investment

4.

Regional and Global Contagion in Real Estate Investment Trusts: The Case of the Financial Crisis of 2007-2009

Number of pages: 20 Posted: 01 Mar 2012
George Milunovich and Stefan Trück
Macquarie University - Department of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 112 (180,671)

Abstract:

Financial Contagion, Real Estate Investment Trusts, Equity Markets, Global Financial Crisis

Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities

UNSW Australian School of Business Research Paper No. 2013ECON01
Number of pages: 34 Posted: 18 Feb 2013
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 62 (304,201)

Abstract:

Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes

Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities

Number of pages: 33 Posted: 22 Jan 2013
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 32 (404,091)

Abstract:

Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes

6.

Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts

Number of pages: 24 Posted: 07 Aug 2013
Roselyne Joyeux and George Milunovich
Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 93 (183,935)

Abstract:

Real Estate Investment Trusts, REITs, Financial Crisis, Financial Contagion, Convergence, Price Bubbles

7.

On Identifying Structural VAR Models via ARCH Effects

Number of pages: 9 Posted: 21 Aug 2010 Last Revised: 01 Sep 2010
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 88 (226,020)
Citation 1

Abstract:

Identification, Structural VAR, GARCH

8.

Asymmetric Risk and International Portfolio Choice

UTS Quantitative Finance Research Paper No. 160
Number of pages: 31 Posted: 26 May 2006
Susan Thorp and George Milunovich
University of Sydney Business School and Macquarie University - Department of Economics
Downloads 83 (255,025)

Abstract:

9.

Do Equity Market Correlations Really Change Over Time? The Case of the US and Asia-Pacific Markets

Number of pages: 16 Posted: 14 Nov 2011 Last Revised: 30 Sep 2012
George Milunovich
Macquarie University - Department of Economics
Downloads 64 (279,493)

Abstract:

stock market interdependencies, Asia-Pacific region, constant conditional correlation, dynamic conditional correlation, international diversification

10.

Measuring the Impact of the GFC on European Equity Markets

Number of pages: 10 Posted: 21 Jan 2011
George Milunovich
Macquarie University - Department of Economics
Downloads 64 (277,357)

Abstract:

GFC, European Equities, Structural Breaks, EGARCH

11.

Information Processing and Measures of Integration: New York, London and Tokyo

UTS Quantitative Finance Research Paper No. 177
Number of pages: 45 Posted: 26 May 2006
George Milunovich and Susan Thorp
Macquarie University - Department of Economics and University of Sydney Business School
Downloads 56 (310,659)

Abstract:

GARCH, spillover, integration, transmission, efficiency

12.

Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH

FIRN Research Paper
Number of pages: 26 Posted: 04 Dec 2012 Last Revised: 10 Apr 2015
Mardi H. Dungey, George Milunovich, Susan Thorp and Minxian Yang
University of Tasmania, Macquarie University - Department of Economics, University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 39 (342,160)
Citation 1

Abstract:

Contagion, Structural GARCH, Global Financial Crisis

13.

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

DIW Berlin Discussion Paper No. 1455
Number of pages: 30 Posted: 12 Mar 2015
Helmut Luetkepohl and George Milunovich
German Institute for Economic Research (DIW Berlin) and Macquarie University - Department of Economics
Downloads 33 (279,493)

Abstract:

Structural vector autoregression, conditional heteroskedasticity, GARCH, identification via heteroskedasticity

14.

Local and Global Illiquidity Effects in the Balkans Frontier Markets

Number of pages: 21 Posted: 04 May 2013
George Milunovich and Jelena Minovic
Macquarie University - Department of Economics and Institute of Economic Sciences Belgrade
Downloads 33 (339,224)

Abstract:

Liquidity, Illiquidity Transmissions, Frontier Markets, Balkans

15.

Explaining House Prices in Australia: 1970-2003

Economic Record, Vol. 81, No. S1, pp. S96-S103, August 2005
Number of pages: 8 Posted: 03 Sep 2005
Peter Abelson, Roselyne Joyeux, George Milunovich and Demi Chung
Macquarie University, Macquarie University - Department of Economics, Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 26 (421,093)
Citation 9
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Abstract:

16.

Complete and Partial Identification of the A- and B-Models in the Context of Heteroskedastic SVARs

Number of pages: 15 Posted: 21 Aug 2014
George Milunovich
Macquarie University - Department of Economics
Downloads 24 (348,311)

Abstract:

Identification via heteroskedasticity, structural vector autoregression

17.

International Commodity Prices and the Australian Stock Market

Economic Record, Vol. 87, Issue 276, pp. 37-44, 2011
Number of pages: 8 Posted: 14 Mar 2011
Christopher Heaton, George Milunovich and Anthony Pass-De-Silva
Macquarie University - Department of Economics, Macquarie University - Department of Economics and affiliation not provided to SSRN
Downloads 3 (537,135)
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Abstract:

G14, G15, C52

18.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

UNSW Business School Research Paper No. 2016-19
Number of pages: 48 Posted: 02 Feb 2017
Helmut Luetkepohl, George Milunovich and Minxian Yang
German Institute for Economic Research (DIW Berlin), Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 0 (498,603)

Abstract:

Heteroskedasticity, Simultaneous Equations Models, Testing for Identification, Davies' Problem

19.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

DIW Berlin Discussion Paper No. 1632
Number of pages: 49 Posted: 17 Jan 2017
Helmut Lütkepohl, George Milunovich and Minxian Yang
Freie Universität Berlin, Macquarie University - Department of Economics and University of New South Wales (UNSW)
Downloads 0 (531,987)

Abstract:

Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem

20.

Bubble Detection and Sector Trading in Real Time

Number of pages: 38 Posted: 23 Aug 2016 Last Revised: 27 May 2017
George Milunovich, Shuping Shi and David Tan
Macquarie University - Department of Economics, Department of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 0 (88,710)

Abstract:

Speculative bubbles, price-earnings ratio, explosive dynamics, real-time trading, stochastic dominance