10
H index
10
i10 index
410
Citations
George Milunovich : Citation Profile
Macquarie University | RESEARCH PRODUCTION: 26 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2004 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with George Milunovich. | Is cited by:
| Cites to:
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Main data
Where George Milunovich has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Property Investment & Finance | 2 |
| The Economic Record | 2 |
| Economics Bulletin | 2 |
| Journal of Forecasting | 2 |
| Applied Financial Economics | 2 |
| Applied Economics | 2 |
| Economics Letters | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 3 |
Recent works citing George Milunovich (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769. Full description at Econpapers || Download paper |
| 2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64. Full description at Econpapers || Download paper |
| 2024 | Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper |
| 2023 | House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31. Full description at Econpapers || Download paper |
| 2023 | Systemic risk of Chinese financial institutions and asset price bubbles. (2023). Tian, Yiming ; Lee, Chien-Chiang ; Wei, Chunyan ; Zhang, Xiaoming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000037. Full description at Econpapers || Download paper |
| 2023 | Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy. (2023). Roubaud, David ; Tiwari, Aviral Kumar ; Roudari, Soheil ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006119. Full description at Econpapers || Download paper |
| 2023 | Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty. (2023). Zhao, Yanqi ; Duan, Kun ; Huang, Yingying ; Urquhart, Andrew. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005777. Full description at Econpapers || Download paper |
| 2024 | Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach. (2024). Goodell, John W ; Pham, Linh ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887. Full description at Econpapers || Download paper |
| 2023 | Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT. (2023). Goodell, John W ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000788. Full description at Econpapers || Download paper |
| 2024 | (Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854. Full description at Econpapers || Download paper |
| 2023 | Reprint of: Do retail traders destabilize financial markets? An investigation surrounding the COVID-19 pandemic. (2023). Blau, Benjamin ; Yasin, Awaid ; Butt, Hassan A ; Baig, Ahmed S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622003247. Full description at Econpapers || Download paper |
| 2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper |
| 2023 | Explosive behavior in the Chinese stock market: A sectoral analysis. (2023). Ferrer, Roman ; Yang, Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001750. Full description at Econpapers || Download paper |
| 2023 | Impact of Proof of Work (PoW)-Based Blockchain Applications on the Environment: A Systematic Review and Research Agenda. (2023). Sapra, Nishant ; Dash, Ashutosh ; Shaikh, Imlak. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:218-:d:1112406. Full description at Econpapers || Download paper |
| 2023 | CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5. Full description at Econpapers || Download paper |
| 2023 | A Novel Hybrid House Price Prediction Model. (2023). Erdogan, Birsen Eygi ; Akyuz, Sureyya Ozour ; Ata, Pinar Karadayi ; Yildiz, Ozlem. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10298-8. Full description at Econpapers || Download paper |
| 2023 | Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141. Full description at Econpapers || Download paper |
| 2023 | Changing vulnerability in Asia: contagion and spillovers. (2023). Volkov, Vladimir ; Dungey, Mardi ; Kangogo, Moses. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02322-5. Full description at Econpapers || Download paper |
| 2024 | Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065. Full description at Econpapers || Download paper |
| 2023 | Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68. Full description at Econpapers || Download paper |
| 2023 | Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage. (2023). Stasinakis, Charalampos ; Sermpinis, Georgios ; Wei, Mingzhe. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:852-871. Full description at Econpapers || Download paper |
| 2024 | Forecasting CPI with multisource data: The value of media and internet information. (2024). Jin, Wei ; Fan, Xinyue ; Zheng, Tingguo ; Fang, Kuangnan. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:702-753. Full description at Econpapers || Download paper |
Works by George Milunovich:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness.(2018) In: Australian Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2005 | Explaining House Prices in Australia: 1970-2003 In: The Economic Record. [Full Text][Citation analysis] | article | 76 |
| 2011 | International Commodity Prices and the Australian Stock Market In: The Economic Record. [Full Text][Citation analysis] | article | 3 |
| 2007 | SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH? In: Journal of Financial Research. [Full Text][Citation analysis] | article | 8 |
| 2013 | On Identifying Structural VAR Models via ARCH Effects In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2015 | Testing 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] | paper | 3 |
| 2010 | Crude Oil Volatility: Hedgers or Investors In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2011 | Measuring the Impact of the GFC on European Equity Markets In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2004 | Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 21 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | ||
| 2020 | Mapping out network connections between residential property markets In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2022 | Assessing the connectedness between Proof of Work and Proof of Stake/Other digital coins In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2020 | Inference in partially identified heteroskedastic simultaneous equations models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2006 | Valuing volatility spillovers In: Global Finance Journal. [Full Text][Citation analysis] | article | 23 |
| 2005 | Valuing Volatility Spillovers.(2005) In: International Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2010 | Unobservable shocks as carriers of contagion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 46 |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 60 |
| 2012 | Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
| 2012 | Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
| 2007 | Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 3 |
| 2012 | Linkages between international REITs: the role of economic factors In: Journal of Property Investment & Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | Regional and global contagion in real estate investment trusts In: Journal of Property Investment & Finance. [Full Text][Citation analysis] | article | 11 |
| 2015 | Testing for Identification in SVAR-GARCH Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2010 | Measuring the Impact of Carbon Allowance Trading on Energy Prices In: Energy & Environment. [Full Text][Citation analysis] | article | 17 |
| 2010 | Testing market efficiency in the EU carbon futures market In: Applied Financial Economics. [Full Text][Citation analysis] | article | 55 |
| 2013 | Testing for contagion in US industry portfolios -- a four-factor pricing approach In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
| 2014 | Local and global illiquidity effects in the Balkans frontier markets In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Speculative bubbles, financial crises and convergence in global real estate investment trusts In: Applied Economics. [Full Text][Citation analysis] | article | 5 |
| 2018 | Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Bubble detection and sector trading in real time In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
| 2005 | Asymmetric Risk and International Portfolio Choice In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Information processing and measures of integration: New York, London and Tokyo In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Forecasting Australias real house price index: A comparison of time series and machine learning methods In: Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
| 2022 | Cryptocurrency exchanges: Predicting which markets will remain active In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
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