George Milunovich, Business and Economics, Macquarie University

George Milunovich, Business and Economics, Macquarie University

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Photo of George Milunovich
  • Title: Dr.
  • 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

Testing for Identification in SVAR-GARCH Models - Reconsidering the Impact of Monetary Shocks on Exchange Rates (with H. Luetkepohl)

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

Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities (with M. Yang)

Publications

journal toggle icon openjournal toggle icon close Refereed Journal Articles

  1. Dungey, M., Milunovich, G., Thorp, S., and Yang, M. "Endogenous crisis dating and contagion using smooth transition structural GARCH", accepted for publication in Journal of Banking and Finance (Apr 2015)
  2. Joyeux, R., and Milunovich, G. "Speculative bubbles, financial crises and convergence in global real estate investment trusts" accepted for publication in Applied Economics (Jan 2015)
  3. Milunovich, G. and Minovic, J. (2014) "Local and global illiquidity effects in the Balkans frontier markets", Applied Economics,46(31), 3861-3873.
  4. Milunovich, G. and Yang, M. (2013) "On identifying structural VAR models via ARCH effects", Journal of Time Series Econometrics, 5(2), 117131.
  5. 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.
  6. 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.
  7. 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.
  8. Joyeux, R., and Milunovich, G., Rigg, J., (2012), "Forecasting demand for Australian passports", Asia Pacific Journal of Tourism Research, 17(1), 100-119.
  9. 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.
  10. Milunovich, G. (2011) "Measuring the impact of the GFC on European equity markets", Economics Bulletin, Vol.31(2), 1237-1246.
  11. Heaton, C, Milunovich, G, and Passe-de Silva, A., (2011), "International commodity prices and the Australian stock market" Economic Record,87, 37-44.
  12. Milunovich, G., (2010) "Temporal links between the Asia-Pacific and international stock markets: 1971-2010", Investment Management and Financial Innovations 7(2), 200-208.
  13. 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.
  14. Joyeux, R., and Milunovich, G., (2010) "Testing market efficiency in the EU carbon futures market", Applied Financial Economics 20(10), 803-809.
  15. Nazifi, F., and Milunovich, G., (2010) "Measuring the impact of carbon allowance trading on energy prices", Energy and Environment,21(5), 367-383.
  16. Milunovich, G. and Ripple, R., (2010) "Crude Oil Volatility: Hedgers or Investors", Economics Bulletin, 30(4), 2877-2883.
  17. Milunovich, G., (2009) "Size-Sorted Portfolios and Information Spillovers: Structural Evidence from Australia", Investment Management and Financial Innovations, 4(6), 75-83.
  18. 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.
  19. 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.
  20. Thorp, S., Milunovich, G., (2007), "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does it Pay to Switch", Journal of Financial Research, 30(3), 355 - 377.
  21. Milunovich, G. and Thorp, S., (2006), "Valuing Volatility Spillovers",Global Finance Journal, 17(1), 1-22.
  22. Abelson, P, Joyeux, R., Milunovich, G. and Chung, D. (2005) "Explaining House Prices in Australia: 1970-2003", Economic Record,(81), 96-103.

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