George Milunovich : Citation Profile

Macquarie University

11

H index

12

i10 index

449

Citations

RESEARCH PRODUCTION:

28

Articles

12

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 24
   Journals where George Milunovich has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 18 (3.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi115
   Updated: 2026-02-21    RAS profile: 2025-07-07    
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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:

Lütkepohl, Helmut (23)

Chang, Chia-Lin (13)

Nguyen, Duc Khuong (12)

Netšunajev, Aleksei (11)

Volkov, Vladimir (11)

GUPTA, RANGAN (10)

Tansuchat, Roengchai (9)

De Pace, Pierangelo (8)

Flavin, Thomas (7)

Schlaak, Thore (7)

Guidolin, Massimo (7)

Cites to:

Bekaert, Geert (22)

Lütkepohl, Helmut (21)

Engle, Robert (21)

Lanne, Markku (19)

Rigobon, Roberto (17)

Shiller, Robert (12)

Campbell, John (12)

Harvey, Campbell (10)

Phillips, Peter (10)

Dufour, Jean-Marie (9)

Bollerslev, Tim (8)

Main data

Where George Milunovich has published?

Journals with more than one article published# docs
Economics Letters3
Applied Economics2
Economics Bulletin2
Applied Financial Economics2
The Economic Record2
Journal of Forecasting2
Journal of Banking & Finance2
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 (2025 and 2024)

YearTitle of citing document
2025A COMPARATIVE STUDY OF DEEP LEARNING MODELS FOR COTTON PRICE FORECASTING IN GUJARAT, INDIA. (2025). Khokhar, A N ; Chandan, G Y. In: International Journal of Agriculture and Environmental Research. RePEc:ags:ijaeri:355578.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024The puzzle of Carbon Allowance spread. (2024). Baviera, Roberto ; Manzoni, Pietro ; Azzone, Michele. In: Papers. RePEc:arx:papers:2405.12982.

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2024Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210.

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2025A bias test for heteroscedastic linear least-squares regression. (2025). Blankmeyer, Eric. In: Papers. RePEc:arx:papers:2508.15969.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2025The Interrelation Between the Carbon Trading Systems and Energy Markets and Economic Outlook: A Comparative Analysis Using VECM and ARDL. (2025). Unal, Pinar. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:3:p:145-169.

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2025Fraud Prevention in the Public Sector: The Role of Internal Audit. (2025). Tjakrawala, Kurniawan ; Supriadi, Taufiq ; Marota, Rochman ; Enyke, Juska Meidy ; Suryadnyana, Nyoman Adhi. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:3:p:170-183.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2026Structural drivers of growth at risk: insights from a VAR-quantile regression approach. (2026). Fonseca, Luís ; Urrutia, Leonardo ; Fornari, Fabio ; Carboni, Giacomo. In: Working Paper Series. RePEc:ecb:ecbwps:20263171.

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2025Ethereums Merge: Market liquidity, efficiency and volatility in the Proof of Stake Era. (2025). Suardi, Sandy ; Xu, Caihong ; Liu, Bin ; Prodromou, Tina. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000394.

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2024Chinas risk contagion using the mixed-frequency macro-financial network. (2024). Xu, Qifa ; Gao, Haijing ; Jiang, Cuixia. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000347.

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2024Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy. (2024). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005280.

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2024Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty. (2024). Hsu, Yuan-Teng ; Vigne, Samuel A ; Wang, Jying-Nan ; Liu, Hung-Chun. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553.

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2025Quantile return and volatility spillovers and drivers among energy, electricity, and cryptocurrency markets. (2025). Han, Xiaoyu ; Jia, Fang ; Jiang, Dongming. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001306.

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2025The puzzle of Carbon Allowance spread. (2025). Manzoni, Pietro ; Baviera, Roberto ; Azzone, Michele. In: Energy Economics. RePEc:eee:eneeco:v:146:y:2025:i:c:s014098832500283x.

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2025Assessment of banking risk in the context of the oil and gas bubbles. (2025). Dell'Atti, Stefano ; Onorato, Grazia ; di Tommaso, Caterina ; Paltrinieri, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325004177.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach. (2024). Yousaf, Imran ; Pham, Linh ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887.

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2024The impact of cryptocurrency-related cyberattacks on return, volatility, and trading volume of cryptocurrencies and traditional financial assets. (2024). Molnar, Peter ; Storsveen, Mattis ; Cheraghali, Hamid ; Veliqi, Florent. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003715.

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2024A U-shaped relationship between the crypto fear-greed index and the price synchronicity of cryptocurrencies. (2024). Hsu, Yuan-Teng ; Wang, Jying-Nan ; Liu, Hung-Chun. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011352.

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2025The crypto collapse chronicles: Decoding cryptocurrency exchange defaults. (2025). Sapkota, Niranjan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443124001598.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Demetrescu, Matei ; Salish, Nazarii. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Bei, Zeyun ; Zhou, Yinggang ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2025The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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2025Factors influencing asymmetries in Saudi Arabias housing market. (2025). Alsamara, Mouyad ; Boumimez, Fayal ; Chelghoum, Amirouche. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s170349492500012x.

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2024GDP nowcasting: A machine learning and remote sensing data-based approach for Bolivia. (2024). Bolivar Rosales, Osmar. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:5:y:2024:i:3:s2666143824000085.

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2024Hacks and the price synchronicity of bitcoin and ether. (2024). Hsu, Yuan-Teng ; Vigne, Samuel A ; Wang, Jying-Nan ; Liu, Hung-Chun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:294-299.

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2025The logic of policies for energy price regulation in the future: A synergistic developmental perspective based on energy and carbon markets. (2025). Zhou, Xing ; Xu, Jianze ; Zhang, Fenglan ; Ma, Pingping ; Jin, YI. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:222:y:2025:i:c:s1364032125006136.

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2024Revisiting the determinants of cryptocurrency excess return: Does scarcity matter?. (2024). Pham, Huy ; Thanh, Binh Nguyen ; Tiwari, Aviral Kumar ; Bui, Mai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pc:s1059056024007251.

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2025How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach. (2025). Bargigli, Leonardo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2025_13.rdf.

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2025Integration and Risk Transmission Dynamics Between Bitcoin, Currency Pairs, and Traditional Financial Assets in South Africa. (2025). Muteba, John Weirstrass ; Mudiangombe, Benjamin Mudiangombe. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:3:p:36-:d:1753336.

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2024The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments. (2024). Funari, Stefania ; Basso, Antonella ; Visentin, Guglielmo Alessandro ; Barro, Diana. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:15:p:2424-:d:1449736.

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2024Connectedness of Carbon Price and Energy Price under Shocks: A Study Based on Positive and Negative Price Volatility. (2024). Chang, Zhijia ; Yu, BO. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:12:p:5226-:d:1418235.

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2025Time-varying return correlations and spillovers between bitcoin and traditional assets: the impact of COVID-19 and US monetary policy. (2025). Zhang, Licheng ; Luo, Shengtao. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:3:d:10.1007_s10644-025-09876-1.

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2025Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators. (2025). Kishor, N. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:1:d:10.1007_s11146-023-09971-y.

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2025Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach. (2025). Fantazzini, Dean ; Magomedov, Said. In: MPRA Paper. RePEc:pra:mprapa:123416.

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2024The impact of designated market-makers on liquidity in frontier markets: Evidence from Zagreb and Ljubljana Stock Exchanges. (2024). Matek, Petar ; Galia, Maa. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:42:y:2024:i:1:p:95-121.

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2024Carbon Emissions Pricing: Linkages Between EU ETS Spot and Future Prices and Completeness of EU ETS Market. (2024). Varghese, Ann Mary ; Chatterjee, Debaleena ; Madhavan, Vinodh ; Pradhan, Rudra P ; Mondal, Saikat. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:4:p:450-470.

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2024Cryptocurrency market microstructure: a systematic literature review. (2024). Gonçalves, Tiago ; Almeida, Jos ; Gonalves, Tiago Cruz. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05627-5.

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2024Centralized exchanges vs. decentralized exchanges in cryptocurrency markets: A systematic literature review. (2024). Hgele, Sascha. In: Electronic Markets. RePEc:spr:elmark:v:34:y:2024:i:1:d:10.1007_s12525-024-00714-2.

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2024A fuzzy BWM and MARCOS integrated framework with Heronian function for evaluating cryptocurrency exchanges: a case study of Türkiye. (2024). Murat, Tolga ; Yuksel, Serhat ; Diner, Hasan ; Ecer, Fatih. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00543-w.

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2025Predictions of residential property price indices for China via machine learning models. (2025). Jin, Bingzi ; Xu, Xiaojie. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:2:d:10.1007_s11135-025-02080-3.

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2024Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2024). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2025Effects of eurozone and schengen area accession on real estate prices. (2025). Danijela, Ipi ; Josip, Viskovi. In: Financial Internet Quarterly (formerly e-Finanse). RePEc:vrs:finiqu:v:21:y:2025:i:4:p:84-93:n:1007.

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2025Can green bonds be a safe haven for equity investors?. (2025). Sheenan, Lisa ; Flavin, Thomas. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2270-2283.

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2024Forecasting CPI with multisource data: The value of media and internet information. (2024). Fan, Xinyue ; Jin, Wei ; Zheng, Tingguo ; Fang, Kuangnan. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:702-753.

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2025Forecasting house price index with social media sentiment: A decomposition–ensemble approach. (2025). Shao, Jin ; Yu, Lean ; Hong, Jingke ; Wang, Xianzhu. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:216-241.

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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]		paper12
2018Cryptocurrencies, 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: 12		article
2005Explaining House Prices in Australia: 1970–2003 In: The Economic Record.
[Full Text][Citation analysis]		article78
2011International Commodity Prices and the Australian Stock Market In: The Economic Record.
[Full Text][Citation analysis]		article3
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]		article18
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]		article22
2015Testing for identification in SVAR-GARCH models.(2015) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2020Mapping out network connections between residential property markets In: Economics Letters.
[Full Text][Citation analysis]		article1
2022Assessing the connectedness between Proof of Work and Proof of Stake/Other digital coins In: Economics Letters.
[Full Text][Citation analysis]		article8
2022Measuring the impact of digital exchange cyberattacks on Bitcoin Returns In: Economics Letters.
[Full Text][Citation analysis]		article8
2020Inference in partially identified heteroskedastic simultaneous equations models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Valuing volatility spillovers In: Global Finance Journal.
[Full Text][Citation analysis]		article23
2005Valuing Volatility Spillovers.(2005) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2010Unobservable shocks as carriers of contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article47
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article62
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		paper
2012Endogenous 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: 62		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]		article4
2013Regional and global contagion in real estate investment trusts In: Journal of Property Investment & Finance.
[Full Text][Citation analysis]		article11
2015Testing for Identification in SVAR-GARCH Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
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]		article20
2022Rail stations and residential sorting: The case of Sydney metropolitan area In: Urban Studies.
[Full Text][Citation analysis]		article0
2010Testing market efficiency in the EU carbon futures market In: Applied Financial Economics.
[Full Text][Citation analysis]		article57
2013Testing for contagion in US industry portfolios -- a four-factor pricing approach In: Applied Financial Economics.
[Full Text][Citation analysis]		article5
2014Local and global illiquidity effects in the Balkans frontier markets In: Applied Economics.
[Full Text][Citation analysis]		article1
2015Speculative bubbles, financial crises and convergence in global real estate investment trusts In: Applied Economics.
[Full Text][Citation analysis]		article6
2018Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article4
2019Bubble detection and sector trading in real time In: Quantitative Finance.
[Full Text][Citation analysis]		article13
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]		article13
2022Cryptocurrency exchanges: Predicting which markets will remain active In: Journal of Forecasting.
[Full Text][Citation analysis]		article7

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