George Milunovich : Citation Profile

Are you George Milunovich?

Macquarie University

8

H index

7

i10 index

270

Citations

RESEARCH PRODUCTION:

24

Articles

11

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 16
   Journals where George Milunovich has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 13 (4.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmi115
   Updated: 2021-01-23    RAS profile: 2020-10-25    
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Relations with other researchers

Works with:

Lütkepohl, Helmut (3)

Yang, Minxian (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with George Milunovich.

Is cited by:

Lütkepohl, Helmut (18)

Chang, Chia-Lin (13)

McAleer, Michael (13)

GUPTA, RANGAN (10)

Netšunajev, Aleksei (10)

Tansuchat, Roengchai (9)

De Pace, Pierangelo (7)

Guidolin, Massimo (7)

Schlaak, Thore (6)

Balcilar, Mehmet (4)

Contessi, Silvio (4)

Cites to:

Engle, Robert (20)

Bekaert, Geert (20)

Lanne, Markku (15)

Rigobon, Roberto (14)

Shiller, Robert (12)

Lütkepohl, Helmut (11)

Campbell, John (9)

Dufour, Jean-Marie (9)

Phillips, Peter (9)

Harvey, Campbell (8)

Dungey, Mardi (8)

Main data

Where George Milunovich has published?

Journals with more than one article published# docs
The Economic Record2
Applied Financial Economics2
Applied Economics2
Journal of Banking & Finance2
Economics Bulletin2
Journal of Property Investment & Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3

Recent works citing George Milunovich (2021 and 2020)

YearTitle of citing document
2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020A Model of the Australian Housing Market. (2020). Tulip, Peter ; Saunders, Trent. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:s1:p:1-25.

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2020The International Spread of COVID-19 Stock Market Collapses. (2020). de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1013.

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2020Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity. (2020). Woźniak, Tomasz ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300324.

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2020Does oligopolistic banking friction amplify small open economys business cycles? Evidence from Australia. (2020). Afrin, Sadia. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:119-138.

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2020A mean-difference test based on self-normalization for alternating regime index data sets. (2020). Shin, Dong Wan ; Kim, Bo Gyeong. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176519300072.

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2020Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2020Modelling volatility spillovers from the US equity market to ASEAN stock markets. (2020). Vo, Xuan Vinh ; Anh, Thi Tuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19301635.

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2020Crisis transmission: Visualizing vulnerability. (2020). Volkov, Vladimir ; Islam, Raisul ; Dungey, Mardi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302665.

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2020The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase. (2020). Liu, Zhixin ; Chen, Hao ; Wu, You ; Zhang, Yinpeng . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2517-:d:336069.

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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Global Cities and Local Housing Market Cycles. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:61:y:2020:i:4:d:10.1007_s11146-019-09734-8.

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2020Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping. In: MPRA Paper. RePEc:pra:mprapa:102782.

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2020Inferring Financial Bubbles from Option Data. (2020). Kwok, Simon Sai Man ; Jarrow, Robert. In: Working Papers. RePEc:syd:wpaper:2020-04.

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2020A tale of two shocks: The dynamics of international real estate markets. (2020). Bekiros, Stelios ; Jayasekera, Ranadeva ; Ege, Oskar ; Uddin, Gazi Salah ; Dahlstrom, Amanda. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:1:p:3-27.

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2020From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2019). Tietjen, Oliver ; Pahle, Michael ; Mauer, Eva-Maria ; Friedrich, Marina. In: EconStor Preprints. RePEc:zbw:esprep:196150.

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2020From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2020). Mauer, Eva-Maria ; Friedrich, Marina ; Tietjen, Oliver ; Pahle, Michael. In: EconStor Preprints. RePEc:zbw:esprep:225210.

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Works by George Milunovich:

YearTitleTypeCited
2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness In: Papers.
[Full Text][Citation analysis]		paper1
2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness.(2018) In: Australian Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2005Explaining House Prices in Australia: 1970–2003 In: The Economic Record.
[Full Text][Citation analysis]		article72
2011International Commodity Prices and the Australian Stock Market In: The Economic Record.
[Full Text][Citation analysis]		article1
2007SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH? In: Journal of Financial Research.
[Full Text][Citation analysis]		article8
2013On Identifying Structural VAR Models via ARCH Effects In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article12
2015Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper3
2010Crude Oil Volatility: Hedgers or Investors In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2011Measuring the Impact of the GFC on European Equity Markets In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2004Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper1
2016Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article15
2015Testing for Identification in SVAR-GARCH Models.(2015) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2020Mapping out network connections between residential property markets In: Economics Letters.
[Full Text][Citation analysis]		article0
2020Inference in partially identified heteroskedastic simultaneous equations models In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2006Valuing volatility spillovers In: Global Finance Journal.
[Full Text][Citation analysis]		article21
2005Valuing Volatility Spillovers.(2005) In: International Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2010Unobservable shocks as carriers of contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article40
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2012Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2007Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article3
2012Linkages between international REITs: the role of economic factors In: Journal of Property Investment & Finance.
[Full Text][Citation analysis]		article2
2013Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009 In: Journal of Property Investment & Finance.
[Full Text][Citation analysis]		article6
2008Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper7
2010Measuring the Impact of Carbon Allowance Trading on Energy Prices In: Energy & Environment.
[Full Text][Citation analysis]		article7
2010Testing market efficiency in the EU carbon futures market In: Applied Financial Economics.
[Full Text][Citation analysis]		article25
2013Testing for contagion in US industry portfolios -- a four-factor pricing approach In: Applied Financial Economics.
[Full Text][Citation analysis]		article3
2014Local and global illiquidity effects in the Balkans frontier markets In: Applied Economics.
[Full Text][Citation analysis]		article0
2015Speculative bubbles, financial crises and convergence in global real estate investment trusts In: Applied Economics.
[Full Text][Citation analysis]		article2
2018Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2019Bubble detection and sector trading in real time In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2005Asymmetric Risk and International Portfolio Choice In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2006Information processing and measures of integration: New York, London and Tokyo In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Forecasting Australias real house price index: A comparison of time series and machine learning methods In: Journal of Forecasting.
[Full Text][Citation analysis]		article0

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