George Milunovich

Associate Professor

20052021
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Projects 2006 2021

Research Outputs 2005 2019

  • 34 Article
  • 1 Conference proceeding contribution
  • 1 Entry for encyclopedia/dictionary/reference book
  • 1 Abstract

Bubble detection and sector trading in real time

Milunovich, G., Shi, S. & Tan, D., 1 Feb 2019, In : Quantitative Finance. 19, 2, p. 247-263 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Bubble
Market index
Trading strategies
Speculative bubbles
Industry

Cryptocurrencies, mainstream asset classes and risk factors: A study of connectedness

Milunovich, G., Dec 2018, In : The Australian Economic Review. 51, 4, p. 551-563 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Connectedness
Assets
Risk factors
Linkage
Granger causality test

Simultaneous equation systems with heteroscedasticity: identification, estimation, and stock price elasticities

Milunovich, G. & Yang, M., 2018, In : Journal of Business and Economic Statistics. 36, 2, p. 288-308 21 p.

Research output: Contribution to journalArticleResearchpeer-review

Quasi-maximum Likelihood
price elasticity
Heteroscedasticity
Simultaneous equations
Stock Prices

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Milunovich, G., Luetkepohl, H. & Yang, M., 16 Nov 2017, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to journalArticleResearchpeer-review

Testing for identification in SVAR-GARCH models

Lütkepohl, H. & Milunovich, G., 1 Dec 2016, In : Journal of Economic Dynamics and Control. 73, p. 241-258 18 p.

Research output: Contribution to journalArticleResearchpeer-review

GARCH Model
Identification (control systems)
Testing
Statistical tests
Volatility