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George Milunovich

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Photo of George Milunovich
  • Position: Associate Professor - Department of Economics
  • Qualifications: BCom Auckland, MCom Syd, PhD UNSW

Contact Details

Profile

Curriculum Vitae

Areas of Expertise

  • Applied Econometrics
  • Financial Econometrics
  • Time Series Econometrics
  • Financial Economics

Research Interests

  • Financial contagion
  • Interdependencies across financial markets
  • GARCH models
  • Structural models in econometrics; identification and estimation of SVAR models
  • Pairs trading and statistical arbitrage
  • Real estate markets

Current Working Papers

Bubble Detection and Sector Trading in Real Time (with S. Shi and D. Tan)

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

Publications

journal toggle icon open Refereed Journal Articles

  1. Lutkepohl, H. and Milunovich, G. "Testing for Identification in SVAR-GARCH Models" accepted for publication in the Journal of Economic Dynamics and Control (Sep 2016).
  2. Milunovich, G. and Yang, M. "Simultaneous equation systems with heteroskedasticity: Identification, estimation, and stock price elasticities", accepted for publication in the Journal of Business and Economic Statistics (Published online: 08 Feb 2016).
  3. Dungey, M., Milunovich, G., Thorp, S. and Yang, M. (2015) "Endogenous crisis dating and contagion using smooth transition structural GARCH", Journal of Banking and Finance, 58: 71-79.
  4. Joyeux, R. and Milunovich, G. (2015) "Speculative bubbles, financial crises and convergence in global real estate investment trusts", Applied Economics, 47(27): 2878-2898.
  5. Milunovich, G. and Minovic, J. (2014) "Local and global illiquidity effects in the Balkans frontier markets", Applied Economics,46(31): 3861-3873.
  6. Milunovich, G. and Yang, M. (2013) "On identifying structural VAR models via ARCH effects", Journal of Time Series Econometrics, 5(2): 117-–131.
  7. Milunovich, G. and Trueck, S. (2013) "Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009",Journal of Property Investment & Finance, 31(1): 53-77.
  8. Milunovich, G. and Tan, A. (2013), "Testing for contagion in US industry portfolios: a four-factor pricing approach", Applied Financial Economics, 23(1): 15-26.
  9. Liu, J., Loudon, G, and Milunovich, G. (2012), "Linkages between the U.S. and Asia-Pacific REITs: The role of economic and financial factors", Journal of Property Investment & Finance, 30(5), 100-119.
  10. Joyeux, R., and Milunovich, G., Rigg, J., (2012), "Forecasting demand for Australian passports", Asia Pacific Journal of Tourism Research, 17(1), 100-119.
  11. Milunovich, G. (2011), "Do equity market correlations really change over time? The case of the US and Asia-Pacific markets" Insurance Markets and Companies: Analyses and Actuarial Computations, 2(2), 107-114.
  12. Milunovich, G. (2011) "Measuring the impact of the GFC on European equity markets", Economics Bulletin, Vol.31(2), 1237-1246.
  13. Heaton, C, Milunovich, G, and Passe-de Silva, A., (2011), "International commodity prices and the Australian stock market" Economic Record,87, 37-44.
  14. Milunovich, G., (2010) "Temporal links between the Asia-Pacific and international stock markets: 1971-2010", Investment Management and Financial Innovations 7(2), 200-208.
  15. Dungey, M., Milunovich, G., and Thorp, S., (2010) "Unobservable shocks as carriers of contagion: A dynamic analysis using identified structural GARCH",Journal of Banking and Finance, 34(5), 1008-1021.
  16. Joyeux, R., and Milunovich, G., (2010) "Testing market efficiency in the EU carbon futures market", Applied Financial Economics 20(10), 803-809.
  17. Nazifi, F., and Milunovich, G., (2010) "Measuring the impact of carbon allowance trading on energy prices", Energy and Environment,21(5), 367-383.
  18. Milunovich, G. and Ripple, R., (2010) "Crude Oil Volatility: Hedgers or Investors", Economics Bulletin, 30(4), 2877-2883.
  19. Milunovich, G., (2009) "Size-Sorted Portfolios and Information Spillovers: Structural Evidence from Australia", Investment Management and Financial Innovations, 4(6), 75-83.
  20. Milunovich, G., and Thorp, S., (2007) "Measuring Equity Market Integration Using Uncorrelated Information Flows: Tokyo, London and New York", Journal of Multinational Financial Management, 17(4), 275 - 289.
  21. Milunovich, G., Stegman, A. and Cotton, D., (2007) "Carbon Trading Theory and Practice", Journal of the Australian Society of Securities Analysts (JASSA), (3), 3-9.
  22. Thorp, S., Milunovich, G., (2007), "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does it Pay to Switch", Journal of Financial Research, 30(3), 355 - 377.
  23. Milunovich, G. and Thorp, S., (2006), "Valuing Volatility Spillovers",Global Finance Journal, 17(1), 1-22.
  24. Abelson, P, Joyeux, R., Milunovich, G. and Chung, D. (2005) "Explaining House Prices in Australia: 1970-2003", Economic Record,(81), 96-103.