- Title: Dr.
- Position: Associate Professor - Department of Economics
- Qualifications: BCom Auckland, MCom Syd, PhD UNSW
Areas of Expertise
- Applied Econometrics
- Financial Econometrics
- Time Series Econometrics
- Financial Economics
- 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)
- 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)
- 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)
- Milunovich, G. and Minovic, J. (2014) "Local and global illiquidity effects in the Balkans frontier markets", Applied Economics,46(31), 3861-3873.
- Milunovich, G. and Yang, M. (2013) "On identifying structural VAR models via ARCH effects", Journal of Time Series Econometrics, 5(2), 117131.
- 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.
- 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.
- 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.
- Joyeux, R., and Milunovich, G., Rigg, J., (2012), "Forecasting demand for Australian passports", Asia Pacific Journal of Tourism Research, 17(1), 100-119.
- 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.
- Milunovich, G. (2011) "Measuring the impact of the GFC on European equity markets", Economics Bulletin, Vol.31(2), 1237-1246.
- Heaton, C, Milunovich, G, and Passe-de Silva, A., (2011), "International commodity prices and the Australian stock market" Economic Record,87, 37-44.
- Milunovich, G., (2010) "Temporal links between the Asia-Pacific and international stock markets: 1971-2010", Investment Management and Financial Innovations 7(2), 200-208.
- 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.
- Joyeux, R., and Milunovich, G., (2010) "Testing market efficiency in the EU carbon futures market", Applied Financial Economics 20(10), 803-809.
- Nazifi, F., and Milunovich, G., (2010) "Measuring the impact of carbon allowance trading on energy prices", Energy and Environment,21(5), 367-383.
- Milunovich, G. and Ripple, R., (2010) "Crude Oil Volatility: Hedgers or Investors", Economics Bulletin, 30(4), 2877-2883.
- Milunovich, G., (2009) "Size-Sorted Portfolios and Information Spillovers: Structural Evidence from Australia", Investment Management and Financial Innovations, 4(6), 75-83.
- 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.
- 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.
- Thorp, S., Milunovich, G., (2007), "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does it Pay to Switch", Journal of Financial Research, 30(3), 355 - 377.
- Milunovich, G. and Thorp, S., (2006), "Valuing Volatility Spillovers",Global Finance Journal, 17(1), 1-22.
- Abelson, P, Joyeux, R., Milunovich, G. and Chung, D. (2005) "Explaining House Prices in Australia: 1970-2003", Economic Record,(81), 96-103.