yuliya.lovcha
Lovcha , Yuliya
Associate Professor
Specialization Time series, Macroeconomics, Finance
e-mail yuliya.lovcha@urv.cat
Phone 977759847
Office 303
Group grit
PhD Universidad de Alicante

Publications

Articles in journals JCR
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2022): "Long-memory and volatility spillovers across petroleum futures", Energy, 243, 122950
  • Lovcha, Yuliya , Pérez-Laborda, Alejandro and Sikora, I. (2022): "The determinants of CO2 prices in the EU emission trading system", Applied Energy, 305, 117903
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2020): "Dynamic Cyclical Connectedness between Oil and Natural Gas Volatilities", Economic Modelling, 84, 181-189
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2020): "Dynamic frequency connectedness between oil and natural gas volatilities", Economic Modelling, 84, 181-189
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2020): "Trimmed Whittle Estimation of the SVAR vs Filtering Low-Frequency Fluctuations: Applications to Technology Shocks.", Studies in Nonlinear Dynamics and Econometrics, 24, 1-18
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2019): "Identifying technology shocks via spectral variance decompositions", Macroeconomic Dynamics, 1-27,
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2018): "Monetary Policy Shocks, Inflation Persistence, and Long Memory", Journal of Macroeconomics, 55, 117-127
  • Lovcha, Yuliya , Pérez-Laborda, Alejandro and Gil-Alaña, L. (2018): "On the Invertibility of Seasonally Adjusted Series", Computational Statistics, 33, 443-465
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2017): "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market", Empirical Economics, 53, 2, 405-422
  • Abbtitti, Mirko. , Gil-Alana, Luis A. , Lovcha, Yuliya and Moreno, Antonio (2016): "Term Structure Persistence", Journal of Financial Econometrics, 14 (2), 331-352
  • Caporale, Guglielmo Maria. , Gil-Alana, Luis A. and Lovcha, Yuliya (2016): "Testing Unemployment Theories: A Multivariate Long Memory Approach", Journal of Applied Economics, 19, 95-112
  • Camacho, Maximo. , Lovcha, Yuliya and Perez Quiros, Gabriel (2015): "Can we use seasonally adjusted indicators in dynamic factor models?", Studies in Nonlinear Dynamics and Econometrics, 19, 377-391
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2015): "Hours worked - Productivity puzzle: identification in fractional integration settings", Macroeconomic Dynamics, 19, 1593-1621
  • Lovcha, Yuliya and Pérez-Laborda, Alejandro (2013): "Is exchange rate – customer order flowrelationship linear? Evidence from the Hungarian FX market", Journal of International Money and Finance, 35, 20–35