George Milunovich

Macquarie University - Department of Economics

Sydney NSW 2109

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

  • Macquarie University - Department of Economics

  • Macquarie University, Macquarie Business School

SCHOLARLY PAPERS

22

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19

CROSSREF CITATIONS

66

Scholarly Papers (22)

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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 Economics, Australian National University (ANU) and University of Technology Sydney (UTS)
Downloads 1,764 (9,358)
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 Economics and Macquarie University - Department of Economics
Downloads 1,009 (22,291)
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 and David Tan
Macquarie University - Department of Economics, Department of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 414 (72,856)
Citation 6

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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 Economics
Downloads 160 (192,381)

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

5.

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 151 (201,994)

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

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 150 (203,114)
Citation 1

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

7.

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

Downloads 126 (233,417)

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 Economics
Downloads 126 (234,272)

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

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

Australian Economic Review, Vol. 51, Issue 4, pp. 551-563, 2018
Number of pages: 13 Posted: 30 Nov 2018
George Milunovich
Macquarie University - Department of Economics
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8.

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

Downloads 114 (251,241)
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 Economics and UNSW Australia Business School, School of Economics
Downloads 72 (340,190)
Citation 3

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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 Economics and UNSW Australia Business School, School of Economics
Downloads 42 (441,254)
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Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes

9.

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 113 (252,819)
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Identification, Structural VAR, GARCH

10.

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 94 (286,604)
Citation 1

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

11.

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 Economics
Downloads 87 (300,947)

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

12.

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 Economics
Downloads 86 (303,150)

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13.

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 83 (309,871)
Citation 1

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GFC, European Equities, Structural Breaks, EGARCH

14.

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 76 (326,355)

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

15.

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 The University of Sydney Business School
Downloads 62 (364,216)

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GARCH, spillover, integration, transmission, efficiency

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 57 (379,611)
Citation 1

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Identification via heteroskedasticity, structural vector autoregression

17.

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 57 (379,611)

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Liquidity, Illiquidity Transmissions, Frontier Markets, Balkans

18.

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 Economics, The University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 57 (379,611)
Citation 4

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Contagion, Structural GARCH, Global Financial Crisis

19.

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 (506,304)
Citation 6
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20.

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 22 (529,506)

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

21.

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 Economics and University of New South Wales (UNSW)
Downloads 9 (611,553)

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

22.

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 (653,646)
Citation 3
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G14, G15, C52