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Details about Yuliya Lovcha

E-mail:
Homepage:https://sites.google.com/site/ylovcha/home
Workplace:Departament d'Economia (Department of Economics), Facultat de Ciències Econòmiques i Empresarials (Faculty of Economics and Business), Universitat Rovira I Virgili Tarragona (Rovira I Virgili University of Tarragon), (more information at EDIRC)

Access statistics for papers by Yuliya Lovcha.

Last updated 2019-10-10. Update your information in the RePEc Author Service.

Short-id: plo338


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Working Papers

2018

  1. Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads

2016

  1. Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
  2. On the invertibility of seasonally adjusted series
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    See also Journal Article in Computational Statistics (2018)
  3. Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    See also Journal Article in Empirical Economics (2017)
  4. The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads View citations (2)

2014

  1. Testing Unemployment Theories: A Multivariate Long Memory Approach
    CESifo Working Paper Series, CESifo Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads

    See also Journal Article in Journal of Applied Economics (2016)

2013

  1. A fractionally integrated approach to monetary policy and inflation dynamics
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads View citations (3)
  2. Hours worked - Productivity puzzle: identification in fractional integration settings
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads View citations (5)
  3. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)

2012

  1. Can we use seasonally adjusted indicators in dynamic factor models?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Banco de España (2012) Downloads
  2. Term Structure Persistence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (11)
    See also Journal Article in Journal of Financial Econometrics (2016)

2010

  1. Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market
    MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary) Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2013)

Journal Articles

2018

  1. Monetary policy shocks, inflation persistence, and long memory
    Journal of Macroeconomics, 2018, 55, (C), 117-127 Downloads View citations (6)
  2. On the invertibility of seasonally adjusted series
    Computational Statistics, 2018, 33, (1), 443-465 Downloads
    See also Working Paper (2016)

2017

  1. Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market
    Empirical Economics, 2017, 53, (2), 405-422 Downloads
    See also Working Paper (2016)

2016

  1. Term Structure Persistence
    Journal of Financial Econometrics, 2016, 14, (2), 331-352 Downloads View citations (25)
    See also Working Paper (2012)
  2. Testing unemployment theories: A multivariate long memory approach
    Journal of Applied Economics, 2016, 19, 95-112 Downloads View citations (6)
    See also Working Paper (2014)

2015

  1. Can we use seasonally adjusted variables in dynamic factor models?
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 377-391 Downloads View citations (1)
  2. THE HOURS WORKED–PRODUCTIVITY PUZZLE: IDENTIFICATION IN A FRACTIONAL INTEGRATION SETTING
    Macroeconomic Dynamics, 2015, 19, (7), 1593-1621 Downloads View citations (2)

2013

  1. Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market
    Journal of International Money and Finance, 2013, 35, (C), 20-35 Downloads View citations (3)
    See also Working Paper (2010)
 
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