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Forecasting Australia's real house price index : A comparison of time series and machine learning methods

Milunovich, George - In: Journal of Forecasting 39 (2020) 7, pp. 1098-1118

Persistent link: https://www.econbiz.de/10012189079

Testing for identification in SVAR-GARCH models: Reconsidering the impact of monetary shocks on exchange rates

Lütkepohl, Helmut; Milunovich, George - 2015

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

Persistent link: https://www.econbiz.de/10010487882

Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness

Milunovich, George - In: Australian Economic Review 51 (2018) 4, pp. 551-563

Persistent link: https://www.econbiz.de/10012085482

Testing market efficiency and price discovery in European carbon markets

Milunovich, George; Joyeux, Roselyne - 2007

Persistent link: https://www.econbiz.de/10003464295

Hedgers, investors and futures return volatility : the case of NYMEX crude oil

Milunovich, George; Ripple, Ronald D. - 2006

Persistent link: https://www.econbiz.de/10003391540

International commodity prices and the Australian stock market

Heaton, Christopher; Milunovich, George; Passé-de … - In: The economic record : er 87 (2011), pp. 37-44

Persistent link: https://www.econbiz.de/10008987819

Testing market efficiency in the EU carbon futures market

Joyeux, Roselyne; Milunovich, George - In: Applied financial economics 20 (2010) 10/12, pp. 803-809

Persistent link: https://www.econbiz.de/10009009832

Speculative bubbles, financial crises and convergence in global real estate investment trusts

Joyeux, Roselyne; Milunovich, George - In: Applied economics 47 (2015) 25/27, pp. 2878-2898

Persistent link: https://www.econbiz.de/10010519839

Linkages between international REITs: the role of economic factors

Liu, Jing; Loudon, Geoffrey F.; Milunovich, George - In: Journal of property investment & finance 30 (2012) 5, pp. 473-492

Persistent link: https://www.econbiz.de/10009619209

Testing for contagion in US industry portfolios : a four-factor pricing approach

Milunovich, George; Tan, Antony - In: Applied financial economics 23 (2013) 1/3, pp. 15-26

Persistent link: https://www.econbiz.de/10009719046

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