George Milunovich

Macquarie University - Department of Actuarial Studies and Business Analytics

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

  • Macquarie University - Department of Actuarial Studies and Business Analytics

  • Macquarie University, Macquarie Business School

SCHOLARLY PAPERS

27

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6,291

SSRN CITATIONS
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Top 22,026

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29

CROSSREF CITATIONS

22

Scholarly Papers (27)

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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 Actuarial Studies and Business Analytics, Australian National University (ANU) and University of Technology Sydney (UTS)
Downloads 1,973 (13,891)
Citation 2

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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 Actuarial Studies and Business Analytics and Macquarie University - Department of Economics
Downloads 1,220 (28,852)
Citation 2

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

3.

Bubble Detection and Sector Trading in Real Time

Number of pages: 38 Posted: 23 Aug 2016 Last Revised: 27 Nov 2017
George Milunovich, Shuping Shi, Shuping Shi and David Tan
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie UniversityDepartment of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 570 (80,840)
Citation 8

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

4.

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, Macquarie Business School and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 208 (242,492)
Citation 1

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

5.

Forecasting Australian Real House Price Index: A Comparison of Time Series and Machine Learning Methods

Macquarie Business School Research Paper
Number of pages: 33 Posted: 10 Jul 2019
George Milunovich
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 194 (258,332)

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Forecasting, Australian Real House Price Index, Time Series, Machine Learning, Neural Networks, Autoregression

6.

Cryptocurrency Exchanges: Predicting Which Markets Will Remain Active

Number of pages: 17 Posted: 17 Mar 2021
George Milunovich and Seung Ah Lee
Macquarie University - Department of Actuarial Studies and Business Analytics and Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie Business School
Downloads 189 (264,541)

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Cryptocurrency Exchange, Remain Active, Closure, Classification, Machine Learning, Forecasting

7.

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 Actuarial Studies and Business Analytics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 183 (272,251)
Citation 1

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

8.

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 Actuarial Studies and Business Analytics
Downloads 179 (277,489)
Citation 2

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

9.

Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 21 Posted: 31 Aug 2018 Last Revised: 20 Jun 2019
George Milunovich
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 158 (308,651)
Citation 1

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Bitcoin, Cryptocurrencies, Connectedness, Major Asset Classes, Risk Factors, Network, Granger Causality, Forecast Error Variance Decomposition

10.

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

Downloads 153 (317,293)
Citation 2

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 Actuarial Studies and Business Analytics and UNSW Australia Business School, School of Economics
Downloads 94 (457,740)

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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 Actuarial Studies and Business Analytics and UNSW Australia Business School, School of Economics
Downloads 59 (599,851)
Citation 3

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

11.

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 Actuarial Studies and Business Analytics and UNSW Australia Business School, School of Economics
Downloads 135 (350,484)
Citation 2

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Identification, Structural VAR, GARCH

12.

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 Actuarial Studies and Business Analytics
Downloads 118 (387,531)
Citation 1

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

13.

Assessing the Connectedness between Proof of Work and Proof of Stake/Other Digital Coins

Downloads 110 (407,774)
Citation 2

Assessing the Connectedness between Proof of Work and Proof of Stake/Other Digital Coins

Number of pages: 9 Posted: 07 Dec 2021
George Milunovich
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 75 (526,604)

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Cryptocurrency Connectedness, Proof of Work, Proof of Stake, network

Assessing the Connectedness between Proof of Work and Proof of Stake/Other Digital Coins

Number of pages: 9 Posted: 23 Nov 2021
George Milunovich
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 35 (749,977)

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Cryptocurrency Connectedness, Digital Coins, Proof of Work, Proof of Stake, Network, Linkages

14.

Measuring the Impact of the GFC on European Equity Markets

Number of pages: 10 Posted: 21 Jan 2011
George Milunovich
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 105 (421,357)

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GFC, European Equities, Structural Breaks, EGARCH

15.

Forecasting the Prices of Used Cars: A Comparative Analysis of Supervised Learning Algorithms

Number of pages: 19 Posted: 25 Jan 2023
George Milunovich, Lijun Wu and Yuanyuan Zhao
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University - Department of Actuarial Studies and Business Analytics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 104 (424,270)

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Forecasting, used car price, machine learning, LightGBM, boosting, stacking

16.

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
The University of Sydney Business School and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 97 (444,906)

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17.

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 Actuarial Studies and Business Analytics
Downloads 89 (470,082)
Citation 1

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Identification via heteroskedasticity, structural vector autoregression

18.

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 Actuarial Studies and Business Analytics
Downloads 87 (476,668)

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

19.

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 (deceased), Macquarie University - Department of Actuarial Studies and Business Analytics, The University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 85 (483,638)
Citation 11

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Contagion, Structural GARCH, Global Financial Crisis

20.

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 Actuarial Studies and Business Analytics and Institute of Economic Sciences Belgrade
Downloads 81 (497,767)

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Liquidity, Illiquidity Transmissions, Frontier Markets, Balkans

21.

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 Actuarial Studies and Business Analytics and The University of Sydney Business School
Downloads 76 (516,484)

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GARCH, spillover, integration, transmission, efficiency

22.

Measuring the Impact of Digital Exchange Cyberattacks on Bitcoin Returns

Number of pages: 10 Posted: 25 Jul 2022
George Milunovich and Seung Ah Lee
Macquarie University - Department of Actuarial Studies and Business Analytics and Macquarie University
Downloads 47 (653,414)

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bitcoin, Cryptocurrency Exchange Breach, Cyberattack, GARCH

23.

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 Actuarial Studies and Business Analytics and UNSW Australia Business School, School of Economics
Downloads 40 (696,166)

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

24.

Rail Location Neighbourhoods: Proximity Premiums and Residential Sorting in the Sydney Metropolitan Area

Number of pages: 33 Posted: 20 Jan 2021 Last Revised: 21 Jan 2021
Laurence Carleton, Roselyne Joyeux and George Milunovich
Macquarie University, Macquarie Business School, Macquarie University - Department of Economics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 31 (759,310)

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Residential Sorting, Sydney, Public Transit, Transport, House Prices

25.

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
Free University of Berlin (FUB), Macquarie University - Department of Actuarial Studies and Business Analytics and University of New South Wales (UNSW)
Downloads 30 (767,028)

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

26.

Forecasting Housing Prices with Network Information

Number of pages: 47 Posted: 06 Sep 2023
Zac Chen, George Milunovich, Shuping Shi, Shuping Shi and Ben Zhe Wang
CleanCo Queensland, Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie UniversityDepartment of Economics, Macquarie University and Macquarie University, Macquarie Business School
Downloads 23 (823,894)

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Housing prices, Connections, Sparsity, Large dimension, Shrinkage, Out-of-sample forecasting, Model confidence set

27.

Rail Accessibility and Residential Property Values: Estimating Value Capture Potential

Number of pages: 30 Posted: 09 Sep 2023
Laurence Carleton, Roselyne Joyeux and George Milunovich
Macquarie University, Macquarie Business School, Macquarie University - Department of Economics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 6 (981,727)

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Sydney, Rail Transport, House Prices, Hedonic Price Model, Geographically Weighted Regression, Value Capture