Details about Yuliya Lovcha

Access statistics for papers by Yuliya Lovcha.

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

Short-id: plo338

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

2016

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

2014

6. Testing Unemployment Theories: A Multivariate Long Memory Approach
   CESifo Working Paper Series, CESifo
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013)
   See also Journal Article Testing unemployment theories: A multivariate long memory approach, Journal of Applied Economics, Universidad del CEMA (2016) View citations (8) (2016)

2013

7. A fractionally integrated approach to monetary policy and inflation dynamics
   Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (3)
8. Hours worked - Productivity puzzle: identification in fractional integration settings
   Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (6)
   See also Journal Article THE HOURS WORKED–PRODUCTIVITY PUZZLE: IDENTIFICATION IN A FRACTIONAL INTEGRATION SETTING, Macroeconomic Dynamics, Cambridge University Press (2015) View citations (2) (2015)
9. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)

2012

10. Can we use seasonally adjusted indicators in dynamic factor models?
    Working Papers, Banco de España
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012)
11. Term Structure Persistence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (24)
    See also Journal Article Term Structure Persistence, Journal of Financial Econometrics, Oxford University Press (2016) View citations (54) (2016)

2010

12. Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market
    MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary) View citations (2)
    See also Journal Article Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market, Journal of International Money and Finance, Elsevier (2013) View citations (5) (2013)

Journal Articles

2018

1. Monetary policy shocks, inflation persistence, and long memory
   Journal of Macroeconomics, 2018, 55, (C), 117-127 View citations (14)
2. On the invertibility of seasonally adjusted series
   Computational Statistics, 2018, 33, (1), 443-465
   See also Working Paper On the invertibility of seasonally adjusted series, Working Papers (2016) (2016)

2017

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

2016

4. Term Structure Persistence
   Journal of Financial Econometrics, 2016, 14, (2), 331-352 View citations (54)
   See also Working Paper Term Structure Persistence, Faculty Working Papers (2012) View citations (24) (2012)
5. Testing unemployment theories: A multivariate long memory approach
   Journal of Applied Economics, 2016, 19, 95-112 View citations (8)
   See also Working Paper Testing Unemployment Theories: A Multivariate Long Memory Approach, CESifo Working Paper Series (2014) (2014)

2015

6. Can we use seasonally adjusted variables in dynamic factor models?
   Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 377-391 View citations (5)
7. THE HOURS WORKED–PRODUCTIVITY PUZZLE: IDENTIFICATION IN A FRACTIONAL INTEGRATION SETTING
   Macroeconomic Dynamics, 2015, 19, (7), 1593-1621 View citations (2)
   See also Working Paper Hours worked - Productivity puzzle: identification in fractional integration settings, Working Papers (2013) View citations (6) (2013)

2013

8. 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 View citations (5)
   See also Working Paper Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market, MNB Working Papers (2010) View citations (2) (2010)