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Personal profile


I have contributed to several areas of econometrics and empirical economics including forecasting, modelling of volatility, and the identification of structural/causal models. Over the last two years I have worked on a number of forecasting projects, incorporating machine learning methods into time series forecasts.

I have published 29 refereed journal articles since 2005, including five A* and nine A ranked publications, according to the 2019 Australian Business Deans Council (ABDC) journal quality List. As part of my recent work I investigate identification issues in structural econometric models within various macroeconomic and finance applications. This has led to a number of publications in top journals such as the Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Economic Dynamics and Control, and the Journal of Banking and Finance. I also work in the area of real estate economics and have published six journal articles on that topic. In my early research I focused on modelling and forecasting asset returns and volatilities.

I have obtained research grants from top funding bodies. For instance, I have been successful as a Chief Investigator on two ARC Discovery Projects – DP120102239 and DP190102049. Outcomes of those projects have been awarded prizes at conferences and by academic journals. I have also had a number of smaller research grants secured from other sources.

The ordering of author names in my publications is typically alphabetical, as is common in the field of economics and does not represent author contributions. In joint work with research students, the student names are often listed first.

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Research Outputs

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

Inference in partially identified heteroskedastic simultaneous equations models

Lütkepohl, H., Milunovich, G. & Yang, M., 12 May 2020, In : Journal of Econometrics.

Research output: Contribution to journalArticle

  • 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 journalArticle

    Open Access
  • 1 Citation (Scopus)
    18 Downloads (Pure)

    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 journalArticle

  • 2 Citations (Scopus)
  • 1 Citation (Scopus)

    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 journalArticle

  • 8 Citations (Scopus)